Asset Liability Management

The standard PMS software by much-net AG offers essential Asset Liability Management (ALM) modules measuring, monitoring, analysing and controlling the risks (e.g. interest rate risk) and returns originating from the interplay of both sides of a balance sheet. Cash flow analyses and cash flow projections including reinvestment assumptions are available as well as interest income analyses, term transformations, replication portfolios, margin calculations, contribution margins, condition contributions, RORAC and specialised treasury result analyses.

Credit risk is measured applying various models including advanced spread-based approaches. Aggregated risks can be monitored using the PMS limit system. The basis are mark-to-market and mark-to-model valuations for a broad range of instruments including hedge instruments which can be found on the asset and liability side of the balance sheet.

PMS offers hedging (instruments and effectiveness measurement) on top of collateralisation and netting as a means of mitigating interest rate and credit risk. Compliance modules covering regulatory requirements from Basel 2 over Large Exposures to Liquidity Regulations directly feed PMS interfaces to supervisory authorities or external regulatory reporting systems. To measure liquidity risk, liquidity Value-at-Risk, liquidation-adjusted Value-at-Risk and liquidity spread methods are available in addition to cash flow methods.

Stress testing for instruments and portfolios not only includes standards such as FX and interest rate stress, but also liquidity, rating, volatility, correlation, inflation, spread or gross domestic product stress.

For more information, please contact our sales department, phone: +49(0)2 28-9 11 46-0 or email.