ALM
The challenge
ALM is no longer just one technical topic among others in the steering of a banking or insurance balance sheet. It has become the terrain on which the prudential soundness of a financial institution is decided, under a combination of unprecedented pressures: interest-rate volatility, tougher regulatory requirements (IRRBB, NSFR, LCR, EVE/NII under finalized Basel), customer behavior that is increasingly difficult to model, heightened supervisory expectations on the quality of the framework, and the need to reconcile accounting and prudential views.
On this ground, the cost of approximation is immediate. A flawed run-off assumption distorts the measurement of interest-rate risk. A delay in producing prudential indicators damages the dialogue with the ECB. Weak model governance can lead to a regulatory downgrade and, ultimately, to additional capital requirements.
OMOTE Advisory supports financial institutions precisely on these points of friction.
Our Approach
ALM is one of the three disciplines that form our core business. Our teams — financial experts, statistical engineers, and quantitative analysts — combine in-depth knowledge of structural risk management with a precise understanding of balance-sheet mechanics in both banking and insurance.
Every ALM engagement rests on three principles.
Practitioners' expertise, not methodologists. The vast majority of our consultants held ALM roles in banks or insurers before joining the firm. They know what an ECB request actually looks like in practice, how to debate an internal benchmark with the Risk function, and why a run-off model cannot be debugged from an armchair.
A usable deliverable, not another study. Whether the engagement is a metrics audit, the implementation of a new stress-testing process, or the overhaul of run-off models, the final deliverable must be absorbable by the in-house teams — including the code, the documentation, and end-user training.
Commitment all the way to execution. We don't deliver a report and disappear. On ALM topics, the gap between the recommendation and operational reality is precisely what our clients expect us to close with them.
Areas of focus
Prudential steering and compliance
Design, implementation and production of ALM metrics: static and dynamic gap, net interest income, EVE, LCR and NSFR liquidity ratios, interest rate and FX sensitivities, etc. Audit and certification of existing metrics.
Design and build of internal and regulatory reporting frameworks, and recurring production of submissions to supervisors (ECB, ACPR, BAM, BCEAO, Fed, ...). Management of SREP exercises — ICAAP, ILAAP, RAF — from framework design through to dialogue with the regulator.
Modeling and stress testing
Design and overhaul of behavioral run-off models: non-maturing deposits, French regulated savings accounts, home purchase savings plans, customer behavior across varying rate environments. Modeling of implicit and explicit balance sheet options (prepayment, optionality embedded in structured products).
Design, calibration and execution of internal stress tests — historical, hypothetical, combined multi-risk. Independent validation of ALM models in line with SR 11-7 and TRIM principles.
Governance and consistency
Implementation of ALM governance frameworks: roles, responsibilities, committees, escalation processes. Accounting consistency between regulatory metrics and internal management indicators. Alignment between the ALM function and other departments (risk, finance, treasury, controlling).
Industrialization through RIALTO KERNEL
For institutions looking to automate their ALM processes, RIALTO KERNEL provides two dedicated modules: IRRBB and ALM-LIQUIDITY. They are built on Flow Insight Core, our proprietary engine for behavioral cash-flow modeling. They can serve as the primary engine, or plug into existing run-off engines — the platform is designed to connect, not to replace what already works.