An Intelligent System for Asset and Liability Assessment

Urs Bühler, Luca Bosatta, Lawrence Poynter

In the volatile and competitive banking market Asset and Liability Management (ALM) is becoming increasingly mission critical. Swiss Bank has built an intelligent system, called BALET (BALance sheet Estimation Tool), which supports this ALM process by automating the assessment of financial indicators. To provide alternative options, BALET simulates the possible effects of various economic trends. BALET’s principal user is a company’s chief financial officer or corporate treasurer who’s goal is to propose options that directly reduce the organisation’s operational financial exposure, particularly when associated with interest rate risk and fluctuations. BALET’s architecture consists of intelligent agents which defines these options (the simulation agent), analyse the alternatives (the analysis agent), generate hedges (the hedging agent), explore various interest assumptions and their implications (the interest rate agent), and generate intelligent reports (the report agent). These agents operate over an object-oriented business model of a company’s balance sheet. BALET is in operational use at Swiss Bank and over 12 of their customers.

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