Assessment of the ALM Risk Framework of a Captive Financial Company

Captive Financial Company of a multinational Group operating in the capital goods industry

The Treasury area requested the support of MACFIN to carry out an assessment of the ALM Risk framework of some of the Group’s financial companies aimed at identifying possible areas of improvement and formulating proposals for possible adjustments, taking into account applicable regulatory requirements and reference best practices.

Industry

Service

Goals

Analyze

the ALM Risk framework from the perspective of internal organization, analysis methodologies, tools used and reporting

Identify

any areas for improvement in the ALM Risk framework, taking into account regulatory developments and best practices in the financial sector

Activities

Analysis of the operations

of the companies, their degree of exposure to risks and the main features of the ALM Risk framework (i.e. roles and responsibilities, methodologies and stress testing, IT & Data, etc.)

Benchmarking

on a set of companies with similar operations belonging to the industrial and financial sectors (e.g. specialized banks, non-bank intermediaries, etc.)

Gap analysis

and identification of the adjustments to be made in order to reinforce the monitoring of interest rate and liquidity risks, and update the framework with respect to regulatory and market developments.

Results

Independent review

of methodologies and tools in use to manage interest rate and liquidity risks from an operational and regulatory compliance perspective

Definition of the essential requirements

of a new "target" operating model for the management of the ALM Risk framework, meeting both regulatory requirements and operational and business needs

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