04 · Capabilities
Balance Sheet
Balance sheet questions are the ones a treasury or ALM committee has to defend to a regulator and a board. We build the behavioral models, stress tests, and liquidity forecasts with the assumption registers and validation evidence that review requires.
What you might be trying to decide.
Engagements start from a decision. These are the kinds of questions balance sheet work usually begins with.
- 01Which deposit assumptions matter most to earnings across the rate paths we are planning for?
- 02How does the balance sheet behave under the severe scenario, and where does capital bind first?
- 03How much liquidity buffer is enough, and how fast does it erode in a stress?
- 04Are our segment betas still right, and what evidence would tell us they have changed?
Work we can scope.
Capabilities are areas of work, not off-the-shelf products. Each is scoped to the question, and its status is shown honestly.
| No. | Capability | What it covers | Form | Status |
|---|---|---|---|---|
| BS-01 | Call report analytics | Queryable FFIEC bank financial data. | data | Needs Confirmation |
| BS-02 | Asset-liability management | ALM and interest rate risk models. | model | Needs Confirmation |
| BS-03 | Deposit models | Deposit profitability, betas, and runoff forecasting. | model | Needs Confirmation |
| BS-04 | Bank stress testing | Scenario-based capital and loss modeling. | model | Needs Confirmation |
| BS-05 | Regulatory capital monitoring | Tracking against CET1, leverage, LCR, and NSFR thresholds. | tool | Needs Confirmation |
| BS-06 | Liquidity forecasting | Rolling cash forecasts and buffer optimization for treasury teams. | tool | In exploration |
| BS-07 | Counterparty credit monitoring | Early warning on counterparty credit deterioration. | tool | Needs Confirmation |
Form: data · model · tool · researchStatus reflects the internal portfolio inventory and is updated as work is confirmed
How we approach it
- Deposit segmentation with betas, lags, floors, and migration held in a governed register
- Rate-path scenario engines linked to earnings and economic value
- Stress scenarios that separate macro assumptions from balance-sheet mechanics
- Validation by backtest, benchmark, and challenger model
- Documentation written to model risk management standards
What an engagement produces
- Assumption register with bounds, sources, and version history
- Scenario workbook or model with documented code
- Validation memo and challenger results
- Committee-ready figures with tables
- Transfer documentation so the treasury team can run and update the model
Have a balance sheet question?
Bring the decision and whatever evidence you have. We will tell you what kind of engagement fits, and what it would produce.
Discuss a question