Asset/Liability Process Verification and Benchmarking

Banks that utilize an in-house developed model and especially an outsourced model need to perform ongoing monitoring of the bank’s overall A/L process to confirm that the model is appropriately implemented, is being used, and is performing as intended. R2Metrics will:

Process Verification

  • Verify internal and external data inputs for accuracy, completeness, and consistency
  • Confirm that the ALM is appropriate for the bank’s current and planned balance sheet composition along with its interest rate risk Profile
  • Confirm the model is capable of modeling stress scenarios and that the bank is periodically running stressed scenarios
  • Analysis of any model overrides and model customization to be justified
  • If the primary ALM is an outsourced model, check for current 3rd party validation
  • Review of recent internal audits


  • Parallel simulation of primary ALM with R2Metrics’ proprietary ALM, BankRisk and a comparison of yield sensitivities
  • Security portfolio yield forecast, sensitivity forecast, and prices compared to R2Metrics proprietary security model, BondRisk
  • Differences will be investigated and analyzed to determine the cause and we will suggest corrective action

Note: If your bank is utilizing a widely used outsourced model with a current independent evaluation of model soundness, and does not have access to the calculation engine methodologies, the above service in conjunction with back testing, outcome analysis, and assumption analysis will constitute an A/L Validation.

Contact Us

(205) 991-9415 6930 Cahaba Valley Road, Suite 201 , Birmingham, AL 35242