Case Studies

Recent Engagements

Successfully persuaded the executive of a US Regional to implement best-practices Funds Transfer Pricing. Led the development of the FTP methodologies, advised management regarding FTP implementation, and provided support on a range of other Treasury issues.

Reviewed and evaluated the risk management processes within a number of financial institutions. These evaluations have addressed interest rate risk, liquidity risk and market risk. Deliverables encompass: model validations, design and development of enhanced ALM processes, and the acquisition of new models.

Developed an interest rate risk limits framework, grounded in economic capital principles, for a US financial institution.

Prepared a Basle Two primer for the Canadian banking sector. It includes an analysis of the impact of Basle II on risk-weighted assets and capital. A series of calculators were developed to facilitate the analysis of individual banks.

Provided ALM and Treasury expertise to a government review of the effectiveness of its Mortgage Backed Securities program. This engagement involved a comprehensive review of Bank Treasurers, capital markets participants and other stakeholders. Analyses addressed cost of funds alternatives, FTP processes and mortgage pricing dynamics.