The MPS ALM Model Verification Service establishes the high levels of business and regulatory confidence needed to fully use an ALM model as a performance management and risk analysis tool.
MPS model risk assessments provide industry-leading solutions for verifying and validating that an ALM model meets business best practice requirements, specific OCC 2000-16 mandates, FDIC Winter 2005 Supervisory Insights article on Model Governance and Sarbanes-Oxley 404 related specifications. They provide the high confidence level that only a truly independent certification, produced by experienced ALM model users and financial management experts, can bring.
With this MPS service, your institution is empowered to:
- Meet current regulatory mandates relating to verifying and validating an ALM model
- Precisely manage total balance sheet risk and return for higher current performance
- Accurately measure interest rate risk (IRR), with least loss in current performance
- Better understand the behavior of all assets and liabilities, including those with options
- Enhance and optimize ALCO processes, IRR limits and ALCO policies
- Benefit from the insights of an experienced and seasoned ALM model assessment team
- Understand the workings of your ALM model better and more fully utilize it in ALCO
MPS ALM Model Verification Reports
MPS offers three standard reports, each with optional components that meet unique client needs.
MPS Comprehensive ALM Model Verification Report
This report is for managers who want to verify and validate their ALM model in multiple dimensions, to create the confidence needed to fully use it as a high performance management tool and gain regulatory compliance. Based on the report, management and the Board will acquire a comprehensive understanding of their model's theoretic abilities and its actual forecast accuracy in multiple testing dimensions plus the highest level possible of regulatory compliance. The conceptual match of the model to the institution and supporting ALCO processes are reviewed also.
MPS Select (Technical) ALM Model Verification Report
This report is for managers who want to focus on verifying and validating the technical aspects of their ALM model, such as basic data, category definitions, contractual inputs, behavioral assumptions, and outputs. Based on the report, regulatory compliance and knowledge of the model's theoretical abilities and actual forecast accuracy are gained.
MPS ALM Model Review Report
This report is for managers who want a technical ALM model assessment without providing a copy of the model backup to MPS. This is generally due to model vendor license restrictions, or where the institution outsources its ALM model processing. MPS provides a focused review of data sheets, model set up attribute and assumptions reports, and model produced forecast outputs. By closely reviewing all available materials, a professional opinion as to the technical accuracy of the model is developed.
Optional Components
MPS can provide data audits, consulting to enhance ALCO policies and processes, and other custom deliverables with most reports. Verification of other financial models, for example mortgage pipeline software, can also be delivered. In addition, MPS has solutions for quantifying core deposit behavior and value inputs, defining loan prepayments and pay downs, non-linear rate ramps, and other model input needs.