A computer-implemented method for qualitative and quantitative modeling and analysis of Asset Liability Management (ALM), as well as Credit Risk, Market Risk, Operational Risk, and Liquidity Risk (CMOL), said method comprising the steps of:
- organizing and manage one or more historical data elements;
- receiving one or more historical performance inputs from said user,
- wherein said one or more historical performance inputs are comprised of one or more input types selected from the group consisting of balance sheets, assets, liabilities, foreign exchange instruments, interest-sensitive investment instruments, historical stock prices and market returns on investment vehicles,
- wherein data elements entered by said user into said user interface for each input type are selected from a group consisting of assets, liabilities, and currencies that are interest rate-sensitive historical performance data;
- analyzing said historical performance input,
- wherein said ALM-CMOL analytics module performs a risk-based performance management and analysis is performed on each of said one or more historical performance data elements;
- creating historical performance and risk-based historical analysis charts,
- wherein one or more graphs are generated based on said risk-based historical performance management and analysis of each of said one or more historical performance data elements;
- analyzing historical- and risk-level trends of said one or more historical performance inputs,
- wherein patterns of change in historical and risk levels for said one or more historical performance inputs can be plotted over time;
- forecasting changes in said historical and risk levels of said one or more historical performance data elements,
- wherein said historical- and risk-level trends are evaluated to provide a predictive analysis of future, historical- and risk-level change of said one or more historical performance data elements via stress testing, scenario analysis, historical simulation, and analytical Monte Carlo risk simulation;
- computing the required Economic Regulatory Capital (ERC) as prescribed by the three Basel Accords in accordance with the different credit types (credit issues such as loans, credit lines, and debt at the commercial, retail, or personal levels);
- computing one or more risk-based results and Key Risk Indicators (KRI) such as Value at Risk (VaR), Loss Given Default (LGD), Exposure at Default (EAD), Economic Capital (EC), and Economic Regulatory Capital (ERC) based on said historical performance and on stress-tested, scenario-driven, and simulated future state of events
- providing said one or more risk-based results to said user,
- recommending one or more of said one or more risk-based results to said user;
- and
- creating a repository of historical and forward-looking KRI metrics and results.