BankRisk

BankRisk is an Asset/Liability Model designed to meet the Interest Rate Risk (IRR) modeling of mid-market banking institutions. It models IRR based on detail level data for Loans, CD’s, etc. gathered from each clients core processing system. The output is designed to give the ALCO board and banking executives the most relevant analysis in a concise, easy to understand report.

Features:

• Seven different rate shock scenarios
• Allows user to flatten or steepen yield curve as desired
• Robust yield and cost forecasting for all assets and liabilities
• Adept at modeling option related issues such as prepayments on loans and bonds
• Consistent process for estimating accurate modified durations for all assets, liabilities and capital which leads to accurate and meaningful diagnosis of EVE and long term interest rate risk
• Very time efficient with a completed report in under an hour
• Allows for many customizable, bank specific inputs and parameters
• Works with BondRisk and SwapRisk
• Automated ALCO minutes production saves time and trouble
• Automated UBPR liquidity measurements
• Automated back testing of forecasted net interest margin vs. actual
• Calculates how future net interest income would change based on altering modified duration mismatch inherent in overall balance sheet by using current market rates