Interest Rate Model Calibration in ALM

Client Needs & Objectives

The following reference is an overview of our expertise in complex IR model reviews or  calibrations.

This expertise is also used in different contexts (ALM, IRBB, Market, FX pricing, liquidity forecasting …).

  • Context: A 2-month project with the ALM team of the institutions
  • Client: Top French banking institutions

Our approach

The project was complete (quantitative and qualitative) and thus required a full understanding of the bank’s balance sheet (360°vision).

  • Rate model review and impact on the bank’s balance profile (Nielson Sigel model).
  • Deformation of the related assets and liabilities according to the reviewed behavioural models
  • Analysis of the provision models on the regulatory banking books

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JOINING FORCES TO SHAPE A BOLDER FUTURE FOR OUR CLIENTS

After 13 years of a wonderful journey, alongside talented colleagues and valued clients, it is time for Chappuis Halder & Co. to begin a new adventure as Capgemini Invent.

 

As thinkers and doers, we have supported clients around the world and have consistently invested in expertise to provide thought leadership and deliver impactful projects related to Finance, Risk and Compliance ESG, Business development and Organization transformation, Data, Tech, and Cybersecurity.

 

Joining forces with Capgemini Invent presents an extraordinary opportunity to accelerate and go above and beyond as a global team to “Seize the full potential of financial services”.

Our journey continues as