Market Risk

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    Regulatory ReportingMarket RiskLiquidityCapital AdequacyMargin Management & FTPFinancial PlanningHedge AccountingData 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
    "Updating and mapping of data is quite simple and the autopopulation 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