Financial Risk & ALM
Interest-rate risk in the banking book (IRRBB), liquidity risk (LCR / NSFR / ILAAP), and asset-liability management — from scenario design and behavioural modelling to hedging and governance.
Background reading on this work: IRRBB: EVE vs NII Sensitivity in Practice and Liquidity Stress Testing Under LCR & NSFR.
Outcomes you can expect
- EVE and NII sensitivities that survive regulatory challenge
- Liquidity stress scenarios boards can act on
- A clear line from ALM analytics to hedging and pricing
Typical engagements
- IRRBB framework: EVE, NII, and supervisory outlier tests
- Behavioural models for non-maturity deposits and prepayments
- Liquidity stress testing and contingency funding plans
- ALM governance and ALCO reporting design
Insights articles that go deeper on financial risk & alm.
IRRBB: EVE vs NII Sensitivity in Practice
EVE and NII look at the same balance sheet through very different lenses. Getting the mix right — and knowing when each one misleads — is what separates a real IRRBB framework from a compliance exercise.
Read the articleLiquidity Stress Testing Under LCR & NSFR
LCR and NSFR are the compliance floor. A useful liquidity framework is a set of plausible, severe, differentiated scenarios with pre-agreed actions — not a stack of green boxes.
Read the articleIRRBB Beyond the Headline EVE Number
The EVE number is the output of a hundred assumptions, and two or three of them usually decide it. Volatile rates are when that stops being an academic point.
Read the articleCapital Modelling Under the Revised Solvency II Framework: Preparing for 2027
A practitioner tour of Solvency II capital modelling — standard formula, internal models, risk margin and the lambda factor — with a clear separation between the framework in force today and the revised framework that applies from 30 January 2027.
Read the article