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Asset / Liability Management System

Savvysoft STARS ALM

Use Savvysoft STARS ALM to manage assets and liabilities, optimize the debt and investment mix, and measure risk across scenarios

Savvysoft STARS ALM handles investments in every asset class, including both domestic and international debt and equity, as well as fixed and floating debt issuance, and swaps. Users are able to add as many asset classes as they need, and enter expected returns, volatilities and correlations for all asset classes.

STARS ALM utilizes our award-winning TOPS pricing models to handle fair value option pricing and hedge effectiveness for all OTC derivative instruments in all markets including:

Powerful scenario-based analysis

STARS ALM generates thousands of multi-period scenarios consisting of cash flows and valuations (for example scenarios of cash flows 1 year out, 2 years out, 3 years out, for as long a time horizon as is needed).

STARS ALM generated scenarios are derived taking into account the rebalancing of the assets back to the desired asset mix, as well as the relevant user-defined policies for bond reissuance upon maturity and a call event. STARS ALM also handles collateral posting on swaps.

Exceedingly fast optimization

Savvysoft STARS is capable of deriving an efficient frontier based on the scenario data. This represents the highest return for each given level of risk, or alternatively the lowest risk for each given rate of return. Given user preferences, the efficient frontier can then be reduced to a single point which represents the optimal mix of assets and liabilities.

Flexible risk measurement

Savvysoft STARS ALM can measure the risk and return of any arbitrary investment portfolio, debt portfolio and set of swaps. This allows the user to easily see the amount of improvement in risk and return that can be achieved by following the system’s recommendations.

Automatically generate a multitude of key financial ratios

The measures of risk and return can be flexibly defined by the user, and STARS ALM offers many ways to view the risk and return statistics. For example, a graph of the efficient frontier is available, as well as a table showing the holdings for each point on the frontier. A frequency distribution of cash flows across scenarios is also available, as well as cash flow over time, and bar charts of the current and proposed asset mixes.

Key ratios are calculated across the scenarios, including:

The STARS ALM user may display these ratios alongside their expected value as well as percentile values.

All STARS ALM graphs and tables are presentation quality and may be directly inserted in Microsoft Office documents (Word, Excel and PowerPoint).

For a demonstration of STARS ALM, or more information, please click here.

 

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