QuantALM stands for Quantitative Asset Liability Management. Since 2009, the QuantALM team has been developing software tools that support the quantitative aspects of Asset Liability Management. These tools are also well-suited for use in other banking departments such as controlling, risk management, and beyond.
Flexibility
Our software solutions are designed to meet a wide range of requirements, and we are always open to further enhancements.
Performance
Quantitative analysis involves numerous calculation steps—only well-designed code can deliver results within reasonable processing times.
QuantPlan
A software tool for projecting a bank’s balance sheet into the future at the single-deal level, using various strategies, scenarios, and assumptions. It offers more than seventy input variables and over one hundred output variables, enabling detailed and flexible analysis.
Existing business
All contractual, behavioural, dimensional, and transfer pricing features of the deals collected in the portfolio object are taken into account during the projection of existing deals.
Dimensionality
The ability to create a customized structure for projections and reported results is essential for flexibly meeting the requirements that arise during budgeting, stress testing, and forecasting.
New business
The Planning Strategy object defines all the necessary information for creating new business, including volume and timing, contractual terms, transfer pricing, behavioural characteristics, and pricing.
Scenarios
There is one shared history, but many possible futures. Market objects—such as interest rate curves, liquidity spread curves, transfer pricing spreads, FX pairs, and other market factors—evolve according to the values defined in the selected scenario.
High level of customization
Create your own custom functions to model client interest rates, loan prepayments, early deposit withdrawals, or movements on savings accounts. These functions can utilize deal-specific variables, date lookup functions, scenario-based market values, and a wide range of mathematical, logical, or text operations.
Demonstration
It’s difficult to gain a complete understanding from videos or presentations that only cover fragments of the overall system. The following video demonstrates how the system works within a simplified banking environment.
ProfCalc
A software tool that calculates ex-ante transfer pricing components for newly negotiated business, as well as ex-post components for already executed deals.
Cash flow based methods
Iterative method — uncompromising in its precision, avoiding inaccuracies caused by cash flow features such as payment frequencies and delays, compounding, day count conventions, and business day adjustments.
Formula-based cash flow method — fast, but less robust and precise compared to iterative approach.
Ex-ante vs ex-port calculation
Ex-ante — used for indicative and final pricing during negotiations with the client, prior to signing the deal contract.
Ex-post — batch calculation of multiple deals that have already been executed.
Calculation types
In addition to standard transfer pricing components such as the transfer rate and liquidity spread, the calculator also supports breakage cost and net present value (NPV) calculations.
Knowledge
We use the excellent banking education portal study.bearning.com to share our expertise. Here, you’ll find a variety of insightful courses, such as:
