• Careers
Logo Created with Sketch.
Wilary Winn LLC
  • (651) 224-1200
  • Services
    CECL
    & ALM
    • Credit Risk
      • Current Expected Credit Loss (CECL)
      • Capital Stress Testing
      • Concentration Risk Management
      • Real Return Analyses
    • Outsourced ALM Advisory
      • Interest Rate Risk Management
      • Budgeting and Balance Sheet Optimization
      • Liquidity Stress Testing
    Mergers &
    Acquisitions
    • Preliminary and Final Merger Valuation
    • Accretion True-up
    • Goodwill Impairment Testing
    • ASC 310-30
    Valuation of
    Loan Servicing
    • Residential MSRs
    • SBA 7(a) Loan Servicing
    • Commercial Servicing
    Additional
    Services
    • Mortgage Banking Derivatives (IRLCs)
    • Fair Value Footnotes
    • ALM Model Validation
    • Non-Maturity Sensitivity Analyses
    • SBA 7(a) Gain on Sale
    • TDRs
    • Non-Agency MBS
    • TruPS
    Overview of Services
  • Our Company
    • About Us
    • Our Team
    • Relationships
  • Services
    • Overview of Services
    • CECL & ALM
    • Mergers & Acquisitions
    • Valuation of Loan Servicing
    • Additional Services
  • Resources
  • News & Events
  • Contact Us
  • Careers

ALM Model Validation

We validate all of the industry’s primary ALM models.

Why Choose Us

We believe that a review of ALM modeling should be comprehensive and performed in the context of our client’s policies and procedures and recent financial performance. Our model validation begins with a thorough review of our client’s ALM policies and procedures to better understand our client’s goals, objectives and risk tolerances. Next, we review our client’s financial statements for at least the most recent 10 years to understand the institution’s recent financial performance.

Only then do we begin our thorough review of our client’s existing ALM model and ALCO reports, because we believe we must first have the appropriate context for our review and recommendations.

Our Approach

As part of our work, we obtain the data and assumption set inputs (prepayments, pricing lags, pricing betas, etc.) used to produce our client’s most recent ALM reporting package. We input the data and assumptions into the ZM Desk Model to ensure our client’s model is producing expected category level outputs consistent with the category level inputs. Next, we analyze our client’s data aggregations and make recommendations for improvement. We then benchmark our client’s input assumptions to industry standards as well as our client’s experience, including the results from back-testing. As a final step, we make overall recommendations regarding our client’s interest rate risk profile, ALM modeling, and strategies designed to mitigate risk, all in the context of our client’s policies and procedures and actual financial results.

Services

  • Additional Services
    • Mortgage Banking Derivatives (IRLCs)
    • Fair Value Footnotes
    • ALM Model Validation
    • Non-Maturity Sensitivity Analyses
    • SBA 7(a) Gain on Sale
    • TDRs
    • Non-Agency MBS
    • TruPS
Featured

Best Practices in ALM [WW University PowerPoint]

This September 2016 PowerPoint shows how measuring interest rate and credit risks on an integrated basis can lead to more informed loan pricing and better decisions regarding asset mix and the resulting capital at risk.

Read More

What our clients say

I feel like I know something about ALM. I started my career analyzing bonds. I had the benefit of making some investment mistakes early. I worked for an ALM software […]

Matt Wohlers, CFA, Executive Vice President & Chief Financial Officer, Blackhawk Community Credit Union – Janesville, WI
Read More

How can we help you?

Contact Us Today

About Wilary Winn

Want to receive information about our upcoming events and latest white papers? Sign up here.
  • Careers
  • Who We Are
  • Testimonials
  • Resources
  • Request Speaker
  • News & Events
  • File Upload
  • Contact Us

What We Do

  • CECL & ALM
  • Mergers & Acquisitions
  • Valuation of Loan Servicing
  • Additional Services
  • © 2023 Wilary Winn LLC
  • (651) 224-1200
  • Website Credits
  • Privacy Policy