ALM, Stress Testing & Risk Analytics for Banking
DFAST, CCAR, and Basel III compliance with enterprise-grade portfolio risk management and capital adequacy analytics.
Balance-sheet analytics across every asset, every rate path, every regulatory horizon.
Templated scenarios plus custom multi-factor stress, with automated reporting and full documentation.
Duration, convexity, DV01, OAS with stochastic models, and full key-rate profiles across the horizon.
Same-day regulatory reporting replaces multi-day batch, with real-time portfolio risk at any aggregation.
Everything the banks portfolio needs, driven by a single analytics engine.
Regulatory Stress Testing
Comprehensive stress testing framework supporting DFAST, CCAR, Basel III, and custom stress scenarios. Every fixed income asset is simulated across every scenario path, producing the full risk profile at each projection date.
- DFAST and CCAR regulatory scenario templates
- Basel III capital adequacy analytics
- Custom multi-factor stress scenarios
- Interest rate shock and credit spread scenarios
- Automated reporting and documentation
Asset-Liability Management
Assets run alongside derivative hedges and can be paired against liability streams. Generate analytics for the entire balance sheet ensuring hedge analytics offset asset risk and the portfolio key rate profile aligns with funding and deposit structures.
- Full balance sheet analytics across assets, hedges, and liabilities
- Key rate duration profiles for curve risk management
- Cash flow projections under multiple rate environments
- Scenario-based repricing at every horizon point
- Portfolio-level aggregation and reporting
Enterprise Risk Analytics
Advanced risk analytics including yield, spread, OAS, duration, convexity, and key rate durations. Shock analysis reprices any instrument across interest rate and credit risk dimensions across the full projection horizon.
- Value-at-Risk (VaR) calculations
- Duration, convexity, and DV01 analytics
- Option-adjusted spread (OAS) with stochastic models
- Key rate duration and key spread duration profiles
- Risk attribution and decomposition
Asset Coverage
Security Master Database covering millions of instruments across the global fixed income market. Complete coverage of the asset classes banks hold, from treasuries and agencies to structured products and derivatives.
- US Treasuries, Agencies, and Government bonds
- Corporate bonds (fixed, floating, convertible)
- Municipal securities (revenue, general obligation)
- Structured products: RMBS, CMBS, ABS, CLOs with industry-leading structured deal waterfalls
- Derivatives: IRS, Xccy, Swaptions, FX Forwards
Scenario Modeling
Powerful scenario modeling to evaluate portfolio performance under various market conditions. Interest rate shocks shift benchmark curves and reforecast cash flows; credit shocks isolate the price impact of spread changes.
- Interest rate shock scenarios (parallel, twist, butterfly)
- Credit spread widening and tightening analysis
- Historical scenario replay
- Custom economic scenario generator support
- Macroeconomic factor integration
Enterprise Infrastructure
Cloud-native platform with auto-scaling compute, SOC 2 Type II certification, and comprehensive API access for integration with existing banking systems.
- SOC 2 Type II certified with annual audits
- Auto-scaling compute: no capacity constraints
- REST API and Python SDK
- Enterprise SSO and authentication
- Customizable dashboards and reporting workflows
Real-world impact
On-demand regulatory analytics
A regional banking institution replaced multi-day batch processing with on-demand stress testing and scenario analysis, enabling same-day regulatory reporting and real-time portfolio risk measurement.
See banking analytics in action
Request a demo to see DFAST/CCAR stress testing, ALM analytics, and portfolio risk management for your institution.