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Oracle and IBM ALM


Oracle,  here. And here. This is very similar to NIMo.

Rigorous Calculations

Oracle Financial Services ALM is designed to operate on transaction-level data, using Oracle’s highly accessible and flexible financial data model. Each account, as well as all forecasted new-business activity, is modeled independently on a daily cash flow basis.

Oracle Financial Services ALM generates market valuations of instruments with embedded options, VaR projections, and EaR projections using a highly tuned Monte Carlo simulation process. Within a Monte Carlo process, you choose one of four term structure models, including Vasicek, Extended Vasicek (Hull and White), Merton, and Ho and Lee. State-of-the-art modeling techniques are integrated into this process. The Monte Carlo engine prepares the risk-free curve, using complex cubic or quartic spline smoothing techniques. For no-arbitrage models, the Monte Carlo engine constructs a Hull and White trinomial lattice for yield-curve calibration.

To optimize performance, random number generation methodologies are enhanced with low-discrepancy sequence techniques. This advancement from crude Monte Carlo enables you to improve time to convergence by a factor of 10 to 1 on average, while still maintaining the proper distribution of results necessary for at-risk analysis.

Rather than requiring you to specify a single confidence level, the VaR and EaR calculators provide a complete value probability distribution over the specified “at risk” period for individual portfolios as well as for the entire balance sheet. If desired, system- generated rate paths are created and analyzed to better explicate the riskier scenarios.

The model supports a wide range of products with a variety of amortization and repricing methods, including:

  • Derivatives, Swaps, Caps, Floors, FRAs, Futures, Forwards and FX Derivatives
  • Negative amortization mortgages
  • Irregular payment and repricing schedules on, for example, agricultural or construction loans
  • Deferred principal and other irregular payment frequencies
  • Conventional loans
  • Step-up loans
  • Balloons
  • Bullet instruments
  • Leases
  • Annuities

IBM, here. Looks like Risk Management

Algo Asset Liability Management is an asset and liability management framework that helps banks and financial institutions identify opportunities for profit and concentrations of risk across the balance sheet. It offers an integrated view of market and liquidity risk across multiple risk factors and asset classes to help support shareholder value creation and significantly reduce financial uncertainty in constructing hedging strategies.
Algo Asset Liability Management features include:
Sophisticated analytics and reporting tools help assess earning sensitivity, future market valuation and liquidity risk.
Comprehensive regulatory compliance supports Basel III, IAS 39 and FAS 133 international accounting rules and more.
Scenario-based Optimizer enables risk-informed assessment of the trade-off between earnings and values.
Comprehensive asset and liabilities coverage spans off-balance sheet items, with measures such as NIM and FTP.
Internal limits support enables forecasts of future business to take into account corporate limits for liquidity and hedging policies.


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