Asset & Liability Management is a strategic function for managing performance, risk, and liquidity within financial institutions. At Cogniwave Dynamics, we support banks, insurance companies, and asset managers in implementing robust, intelligent, and regulatory-compliant ALM frameworks.
Our approach combines quantitative expertise, deep understanding of regulatory constraints (IRRBB, LCR, NSFR, Solvency), and advanced AI and financial simulation technologies to deliver a forward-looking, integrated, and actionable view of balance sheet dynamics.
Precise Management of Balance Sheet Equilibrium and Structural Risks
We operate across all critical dimensions of ALM:
- Interest Rate Risk (IRRBB)
We deploy modeling and stress testing tools to assess:
- Regulatory indicators: ΔEVE (Economic Value of Equity) and ΔNII (Net Interest Income).
- Impact of interest rate shocks prescribed by the EBA (six standardized scenarios).
- Non-contractual client behaviors (e.g., sight deposit modeling, early repayments).
- Simulation of net interest margins.
- Liquidity Risk (Short-term & Structural)
Cogniwave Dynamics develops solutions to:
- Calculate and simulate LCR (Liquidity Coverage Ratio) and NSFR (Net Stable Funding Ratio) indicators.
- Implement liquidity stress scenarios
- Automate regulatory liquidity reporting (ALMM, Additional Monitoring Metrics).
- Optimize the liquidity buffer based on maturities and refinancing profile.
- Structural Foreign Exchange Risk
We assist institutions in assessing and hedging currency conversion risks on long/short FX positions, aligned with cash flow projections and capital requirements.
- Balance Sheet Optimization and Strategic Allocation
Our balance sheet analytics engines enable:
- Dynamic balance sheet projections.
- Risk-adjusted calculation of ROE / RWA / EVA to guide strategic decision-making.
- Assessment of the risk-return-cost equilibrium across growth or deleveraging strategies.
Advanced Simulation and Augmented Intelligence for ALM
We embed in our ALM solutions:
- Multi-scenario stochastic simulation engines (yield curves, spreads, credit spreads, FX).
- Optimization algorithms under regulatory and prudential constraints.
- Machine learning models to calibrate client behavior and predict future flows.
- Interactive dashboards to visualize in real time the impact of shocks, strategic adjustments, or regulatory changes.
ALM and Regulatory Integration
We ensure full alignment between ALM strategies and supervisory requirements (IRRBB,ICAAP / ILAAP, Solvency II, IFRS 9 / IFRS 17)
High-Value ALM Services
- ALM diagnostics and strategic recommendations
- Deployment of AI-enhanced ALM simulation engines
- IRRBB / LCR / NSFR modeling and liquidity stress testing
- Balance sheet optimization (funding structure, duration gap, P&L)
- Automation of ALM-related regulatory reporting
- Integration of ALM within the ICAAP/ILAAP framework
Managing Financial Resilience in an Uncertain World
In a context marked by interest rate volatility, liquidity pressures, and the normalization of monetary policies, ALM is becoming a key driver of resilience and value creation. With Cogniwave Dynamics, you gain a strategic partner capable of transforming your financial and regulatory data into fast, reliable, and insightful balance sheet decisions.
