Evolution of the ALM model through ALQUID

An European Entity has an ALM tool that only covers local regulatory requirements and does not fully meet its ALM management requirements. In addition, this tool does not allow multi-user simultaneous user access from different areas of the entity.
The goal is to implement an ALM solution that, in addition to meeting regulatory requirements, is capable of responding to management requirements and evolving the ALM model to integrate the Interest Rate Risk and Liquidity Risk processes.

Challenges

Scenarios and simulations cannot be neither configured nor run from a management point of view.
Availability of data and input information adapted to the current tool.
ALM tool with limited multi-user capabilities.
Misalignment between the local and global ALM model.
Mismatches between IRRBB and Liquidity calculations.

Approach / Strategy

A Pragmatic approach that allows the entity to cover all its requirements and allows access to different environments:

Starting from an extraction of source data from the Entity, without impact on the ETL for the information processing of the existing IRRBB tool.
ETL development that allows adapting the information source to the ALQUID file, adding new dimensions required by users for management.
Creation of different user profiles in order to allow multi-user simultaneous user access as well as collaboration between the different areas of the Entity (Finance and Risk).
Parameterization of a common model parameterization for both Risk and Finance to ensure coherent and correlated results.
Definition and generation of new reports for the ALCO that allows the inclusion of the management vision.
Execution of and support to the entire ALM process during the first 6 months, generating all the necessary information for the ALCO.

ALQUID Benefits

Management vision incorporation. In addition to the regulatory vision, ALQUID allows the Entity to incorporate the vision and management scenarios, directly impacting the optimization of the financial margin and the preventive management of structural risk.
Consistency of results between Finance & Risk. A common ALM solution supported by a model that ensures the consistency and traceability of results while providing flexibility to each such area in the behaviors and assumptions that can be considered.
Multi-user and multi-area access-> Unlimited independent access to the tool from the different business areas. Different user profiles according to permissions. Training sessions of the tool to guarantee user autonomy.
IRRBB and Liquidity -> Interest rate risk and Liquidity risk calculations and in the same tool ensuring consistency of results between them.
Flexibility, user autonomy and reporting capability. Users have the autonomy to generate any report from scratch, allowing drill-down until reaching the operation level. Traceability and replicability. Comparison between the results of different closes and analysis of the evolution of results.