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Asset & Liability Management

Sia Partners has gained a reputable expertise in asset-liability management, both in liquidity and interest rate activities. We cover a wide range of ALM functions such as reporting production, process automatization, modeling, and global liquidity and interest rate risk management.

Second level ALM function for Risk Management

We assist financial institutions in setting up a second-level ALM function, which is capable of controlling and optimising the activity of the first-level ALM function thanks to its robust and efficient system (expertise, organisation, processes and IT tools).

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Define and deploy the second level ALM function

Sia Partners has accompanied a major French bank in the definition and operational deployement of its second level ALM function in their Risk Management Division in order to carry independent, regular and efficient second level ALM controls in compliance with regulatory constraints. 

ALM Modelling in the Banking Sector

We support banks throughout the different lifecycle stages of their ALM models (requirement identification, model selection, calibration, back testing, documentation, audit), in the generation of interest rates scenarios, and also in the definition and implementation of the proper governance.

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Behavioural models Review and validation

Sia Partners assisted a major French bank in the review and the validation of the behavioural models of its international retail banking branches in order to comply with the European regulatory requirements regarding the calculation methodology for each type of risk.

Perspective on ALM: transformation and innovation

Offer new perspectives on tomorrow’s ALM in order to anticipate, prepare and accelerate industry transformation, in order to address the arising challenges facing ALM functions (greater responsiveness, operational efficiency, shared models, regulatory constraints, ALM functions’ attractiveness,…)

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Helping to Accelerate Production Processes

Sia Partners helped a major French Bank increase the production frequency of the liquidity metrics (LCR, NSFR, etc.). The ultimate goal was to produce those metrics on a daily basis thanks to process automation.

Interest Rate Risk in the Banking Book management (IRRBB)

We assist financial services institutions in adapting their interest rate risk management systems and processes. In particular, to comply with current and future IRRBB regulatory requirements.

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Regulatory recommendations on IRRBB

Sia Partners provided project management expertise to a Tier 1 Global Bank in the implementation of several European regulator recommendations, to adapt the bank’s production processes of interest rate risk indicators (EVE, NIM, basis risk, optionality) to IRRBB regulatory requirements. 

Liquidity Management & Stress testing

Sia Partners helps financial institutions adapt their liquidity risk systems and processes, particularly to optimise scarce resource management or comply with current and future regulatory requirements.

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SSM Crisis Liquidity Management Template

Sia Partners coordinated the response to the ECB's request: from the normative decryption to the post-mortem, including the steering of the exercise, the segmentation and prioritisation of the data to be collected, as well as the drafting of the corpus of documents