QRM

Asset/Liability system is the industry leader in risk management software and is used by many of the world's largest financial institutions. QRM provides a full balance sheet market value analysis based on specific position data, product specific behavioral assumptions, market data and interest rate scenarios generated using one of several arbitrage-free term structure models. QRM has the ability to specify a benchmark sector to mark balance sheet items to market based on actual prices of similar traded instruments. The model utilizes these advanced pricing models, Andrew Davidson & Co. (ADCo) prepayment vectors, Intex, Interactive Data pricing, Bloomberg, and non-maturity deposit assumptions to most accurately calcuate NEV in the up/down 300 rate shock scenarios.

Clients are able to accurately and thoroughly measure the risk of their balance sheet under any economic scenario by utilizing deterministic and/or stochastic forecasts. QRM accurately prices an instruments' embedded optionality, whether it is a cap or floor, an option to enter a swap, or a prepayment option. Our analysts work with clients to model even the most complex assets, liabilities, and off-balance-sheet instruments. Clients are also able to run Net Interest Income (NII) forecasts and perform future market valuations.

Wescorp utilizes QRM for internal balance sheet risk management and can make it more effective for you to provide detailed Asset/Liability Management Analysis. Our consultants provide complete guidance through all facets of balance sheet analysis and work with clients to obtain a greater understanding of the risk profiles and how best to manage their interest rate risk exposure.