Market Risk

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Regulatory Reporting Market Risk Liquidity Capital Adequacy Margin Management & FTP Financial Planning Hedge Accounting Data Platform

Overview

The ALMIS® Market Risk module evaluates and reports on interest rate risk in the banking book and foreign exchange rate risk.

Features

  • IRRBB & FX
  • A full range of interest rate risk and fx reporting and analysis in accordance with latest BASEL 3 and EBA guidance covering EVE and NII shocks and sensitivities
  • Pre-payment and other behavioural inputs
  • Comprehensive gap and basis risk
  • Static and dynamic analysis
  • Economic and earnings sensitivity
  • Value at Risk
  • Basis risk analysis and reporting
  • Flexible gap reporting across categories, market and any combination of time periods
  • Pricing and fair value of instruments to multiple yield curves
"Using the same data for ALM outputs and the auto-population of regulatory returns is efficient"
Director of Finance and Control
"The reports we produce using the ALMIS® ALM functionality provide invaluable insight on our balance sheet"
Robin Collett, Financial Controller