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The Protecht.ALM Team

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Risk Analytics, Risk Management Software

Moving from ALM Risk Data to ALM Business Intelligence

As Albert Einstein said “If you can't explain it simply, you don't understand it well enough”…

Interest rate risk measurement typically has a number of processes attached to it:

  • Reconciliation of balance sheet data;
  • Confirmation of rates used for Earnings at Risk (EAR) and volatility calculations;
  • Parameters and assumptions appropriately checked;
  • Key outputs checked for reasonableness; and
  • Attribution analysis to interpret movement in measures.

Much time is devoted to these processes to derive a set of point in time numbers - such as: Value at Risk (VaR), Present Value of a Basis Point (PVBP) or EAR at a particular run date. However, how much consideration and effort do you need to give to turning this point in time data into useful business intelligence? 

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