Balance Sheet Risk Management
Balance Sheet Risk Management is an increasingly critical board agenda in delivering shareholder value to banks through an effective management of the market and liquidity risks in their banking books.
Our Balance Sheet Risk Management consulting covers:
- Funds Transfer Pricing
- Asset and Liability Management
- Setting up the Central Funding Unit
- Analysis of market rate structures for the local market
- Behavioural modeling of non-contractual balances
- Simulation of Banking Book net interest incomes for different FTP pricing methods and assumptions
- Using Principal Component Analysis to understand market rate structures
- Selection of software for FTP and ALM
- Economic Capital Framework and Capital Management