ALM Stochastic Module

January 26, 2016 - This new module completes the offer by APL Italiana for the activities of forecast returns calculations and measures of portfolio risk and performance.

The main features of the module include the possibility to launch the stochastic forecasts just on assets, or on a combination of assets and liabilities, and to generate scenarios of prices, accruals and coupons according to two models:  for bonds, Hull & White to a factor and for shares, Black & Scholes.

The ALM Stochastic module also carries out the asset allocation and the calculation of the liabilities scenario by scenario using the same methods as the ALM Determinstic. The forecast can be launched on any number of scenarios desired, even if the order is in the 1000s and over a period of several decades.

The ALM Stochastic module also introduces a summary screen with the most important fields, various methods of results representation, the graphical representation of results for single scenarios, their totals and a tab of all the results.

If you would like further information please contact one of our Help Desk service consultants.