Risk: Asset / Liability

Novantas helps clients enhance their asset / liability management. Today’s vended asset / liability models provide exceptional measurement capabilities. Novantas helps with the challenge of using this information more effectively by helping to align the functional capabilities, reporting, and decision processes with an institution’s specific needs.

We evaluate interest rate risk positions, strategies and management processes. Our recommendations are based on our experience as practitioners and consultants measuring and managing interest rate risks. We provide insights into the policy limit alignment with capabilities and needs, integrating VAR-based and scenario risk measurement approaches, earnings and market value volatility tradeoffs, reporting effectiveness, and middle office appropriateness, in addition to other related capabilities.

Novantas is an expert at bank funding and liquidity. We help our clients refine their liquidity measurement to improve the understanding of their position and their position relative to peers. We help develop scenarios to test normal operating and stressed liquidity scenarios. We suggest alternative funding strategies to balance overall liquidity position and risk with cost.

Funds transfer pricing (FTP) capabilities are critical to price and value assets and liabilities. Novantas has refined FTP methodologies in a number of ways that institutions construct these curves, including the logic for constructing the base curve, valuing liquidity, and applying options approaches to products with significant behavioral attributes.