ZM Financial Systems recently received third-party model certification validation for its web-based asset liability management model, (Version 4.70). Certified by ALM First Analytics, LLC, “accurately produces results and model estimates are in-line with expectation.”

In attestation of model validity, this most recent validation focused on base cash flow projections; discount curve development; stochastic modeling capabilities; servicing modeling; prepayment penalty modeling; first lien residential mortgage prepayment modeling; deposit modeling; and, derivative modeling. The full scope of the validation for includes:

  • Valuation and income simulations
  • Ability to model various scenarios and sensitivity analyses
    • Interest rate scenarios
    • Shape of yield curve
    • Shape of forward rates
    • Level of spreads
    • Level of prepayment and decay rates
    • Level of rate responsiveness
  • Deposit modeling
  • Derivative modeling
  • Mortgage servicing rights modeling
  • Deterministic and stochastic modeling
  • Proprietary first lien residential mortgage modeling
  • Third-party data licensing to retrieve security detail and cash flows
  • Standardized and custom model result reporting