Market Risk Management & ALM
Market risk means the possibility that the value of a financial transactions or portfolio may deteriorate by market factors. By recognizing each risk factor, we can effectively measure market risk using the gap analysis between assets and liabilities; sensitivities such as duration; and indices including VaR (Value at Risk) and EaR (Earnings at Risk). We verify a wide range the market risk measurement models and the parameter estimation methods that are being used by our customers.
Also, we offer consulting services for ALM (Asset Liability Management) integrating the market risks inherent in assets and liabilities, managing cash balance management and profitability, we also offer consulting services on the methods to control losses from market portfolios so that it does not exceed a predetermined amount during a certain period. In addition, we offer the software package ALMGauge which supports market risk management and ALM.
For pool assets such as mortgages, we also support your Market Risk Management ,ALM and profitability analysis, using credit score models, prepayment models and core deposit models.