zeb Enhances its ALM Functionality

Posted: 17 November 2017  |  Source: zeb

With the ALM Release 5.16, zeb.control has implemented various enhancements regarding the scope of functions as well as in the RTF module. From now on, lower interest limits can be taken into account and modeled in both the single transaction and the base item costing. Volatility matrices that are detached from the business being valued, are delivered as market data.

The corresponding volatilities delivered can be differentiated according to relevant parameters (e.g. broken down into currency, interest market or model). Furthermore, alternative liquidity cash flows can be imported and pro-cessed. For example, this allows for the consideration of implicit options in LQM and IRRBB. Besides the functional innovations, several enhancements with respect to the risk-bearing capacity module have been made in the ALM Release 5.16:

• Implementation of a pragmatic method for calculating the credit spread risk
• Optional use of the Herfindahl-Hirschmann-index in the Gordy formula to calculate credit risk
• More flexible calculation of risks
• Selection and deselection of benchmarks in options, e.g. as risk coverage potential deduction or increase
• Parameterization of so far rigidly assigned standard parameters

In addition, an ad-hoc report similar to the “overview by portfolio” has been integrated with the web reporting of the RRM, which also allows for a drill down to single transactions

• Related topic:
• Liquidity / ALM