ALM software helps to understand the link between assets and liabilities

The valuation of assets and liabilities is a topic with an ever increasing importance. As there is no active market for most liabilities and some assets, alternative valuation methods should be used (e.g. discounted cash flows, replicating portfolio, stochastic valuation, …). The valuation of these assets and liabilities depends heavily on the models and assumptions used.

Our internally developed ALM software Ev-AL-U helps insurers and pension funds to better understand the link between their assets and liabilities. Ev-AL-U performs risk neutral (valuation) and real world (risk analysis) calculations.

Applications are:

  • Optimization of the strategic asset allocation
  • Projection of future P&Ls and balance sheets (e.g. ORSA)
  • Calculation of the economic balance sheet under Solvency II
  • Calculation of MCEV and/or IFRS4 phase II
  • Prospective profit sharing
  • Specific questions concerning investment policy

Our expertise in the valuation of portfolios and (re)insurance companies is used frequently for Mergers and Acquisitions.