Nine modules, one chain, one foundation, for ALM and banking risk.
The bank selects all or some modules, with an entry level suited to its systems. Each module embeds its calculation engine, its analysis and simulation routines, and its outputs.
The modules, one by one.
Seven metrics engines, two upstream engines and the Kernel foundation. Click a module for its role, inputs, outputs and an example in conversation.
IRRBB Insight Core
Interest rate risk in the banking book: EVE (economic value of equity), NII (net interest income) and sensitivities; scenarios, contribution analysis, bridges and ITS reporting.
View module →CSRBB Insight Core
Credit spread risk in the banking book: shock calibration, EVE and NII sensitivities under spread changes, explanation and reporting.
View module →GAP Insight Core
Balance sheet schedules and mismatches: rate and liquidity gaps, static, dynamic, stressed and combined views, survival horizons.
View module →LCR Insight Core
Short-term liquidity: ratio production, component analysis, security-level simulation, multi-bridge between reporting dates and reporting.
View module →NSFR Insight Core
Funding stability: ratio calculation, analysis of available and required stable funding, bridges between reporting dates and reporting.
View module →ALMM Insight Core
Additional liquidity monitoring: additional metrics, including the Contractual Maturity Ladder, analyses and regulatory outputs, on the same basis as the LCR (liquidity coverage ratio) and NSFR (net stable funding ratio).
View module →Flow Insight Core
Cash flow engine: contractual and behavioural cash flows, interest projection and funds transfer pricing (FTP), in contractual, central or stressed view.
View module →Quant ALM Insight Core
Calibration of behavioural models (sight deposits, regulated savings, prepayments, customer options) made dynamic for simulation.
View module →Solvency Insight Core
Solvency: own funds by tier, credit, market and operational RWA (risk-weighted assets), ratios against regulatory minima, leverage ratio and large exposures, stress, projection and reporting.
View module →Kernel: the analytical core
Orchestrates engines and modules, links calculations to analyses and ensures traceability of data, assumptions and processing.
View module →ICAAP and ILAAP: internal assessments that are produced, explained and defensible.
RIALTO feeds the components of both internal assessments. ICAAP (internal capital adequacy assessment process): IRRBB (interest rate risk in the banking book), stressed projections of capital metrics, projection of solvency ratios in the normative perspective, stress and reverse stress tests. ILAAP (internal liquidity adequacy assessment process): gaps, survival horizon, liquidity stress, stressed LCR and NSFR projection. Every figure stays traced, every assumption documented.
One common source.
A common accounting source, enriched with management data, feeds every metric: consistent scopes and controls across gaps, LCR, NSFR, ALMM (additional liquidity monitoring metrics) and IRRBB, traceability down to the source data.
Solvency and risks.
Own funds, credit, market and operational RWA, leverage ratio and large exposures, on the same architecture. Other areas of finance are envisaged next.
See RIALTO reason over your numbers.
We simulate a full analysis with your data types and the scenario of your choice.