Second Pillar Consulting provides fresh eyes and industry best practices to assist organizations with managing their balance sheets based on sound risk management practices. Our experts have run ALM departments at some of the largest financial institutions in the country. Second Pillar Consultants have implemented, validated, and assisted in the selection of numerous vendor models. In fact we have our own in-house term structure models we’ve constructed to support model validation. We’ve even built our own multi-factor prepayment models. Our consultants have helped institutions in revamping ALCO reporting and agendas and have developed deposit and prepayment studies and defended those to regulators. We have almost 70 years of combined experience in asset liability management.
Our Expertise & Experience
Asset Liability Committee (ALCO) Support – We provide various ALCO services including revising existing ALCO reporting to increase transparency.
Model Implementations – We lead model implementations, providing guidance on vendor selection and implementation options, appropriate security, input data mapping, and management reporting.
Interest Rate Risk Limitations – We help establish thresholds based upon the institution’s risk appetite.
Funds Transfer Pricing (FTP) Model Validation – We build, help implement, and validate FTP models.
Deposit Studies – We provide guidance and understanding of pricing sensitivity to gain a better understanding of the duration of your deposit portfolio.
Prepayment Studies – We help in determining the factors and sensitivity of your portfolio to prepayment.
Liquidity Stress Testing – We build and validate liquidity models.
Contingent Funding Plans – Our consultants have overseen the construction of CFPs and worked with management and regulators on their approval and therefore we can assist in helping you construct or enhance an existing CFP. We can also assist in building liquidity models to help assess and stress the adequacy of your liquidity position.
Board Education on Interest Rate Risk and Liquidity Management – We offer courses that have been developed specifically for Boards, where we demystify interest rate risk and explain it in easy to understand terms. Your directors will come away with a deep appreciation of the drivers of risk and how to better oversee it moving forward.