Interest Rate Model Calibration in ALM

Client Needs & Objectives

The following reference is an overview of our expertise in complex IR model reviews or  calibrations.

This expertise is also used in different contexts (ALM, IRBB, Market, FX pricing, liquidity forecasting …).

  • Context: A 2-month project with the ALM team of the institutions
  • Client: Top French banking institutions

Our Approach

The project was complete (quantitative and qualitative) and thus required a full understanding of the bank’s balance sheet (360°vision).

  • Rate model review and impact on the bank’s balance profile (Nielson Sigel model).
  • Deformation of the related assets and liabilities according to the reviewed behavioural models
  • Analysis of the provision models on the regulatory banking books

Main Deliverables

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