Assessment of the ALM Risk Framework
Captive finance company of a multinational group operating in the capital goods sector
The Treasury area requested the support of MACFIN to conduct an assessment of the ALM Risk framework of some of the Group’s financial companies, in order to identify possible areas of improvement and formulate proposals for possible adjustments, with reference to applicable regulatory requirements and best practices.
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
Activity
Analysis of the operations
of the companies included in the scope of intervention, 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
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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