8.27 Accessing Asset Liability Management, Interest Rate Audit Results

Forecast Rates, Implied Forward Rates, and Stochastic – One-Month Rates can be written to an audit table to facilitate validation of results and for reporting and analysis in ALM BI.

Within the ALM Process - Audit Block, selecting the Forecast Rates option allows you to output the interest rates, currency rates, and economic indicator values for each scenario used in your ALM simulation run.

When running a stochastic ALM process, because 360 One-Month Rates are written out for each rate path, selecting the rate output option will result in a large amount of rate data being written to the Interest Rates Audit table.

Both the Deterministic – Forecast Rates and the Stochastic One Month Rates audit results are written to the FSI_INTEREST_RATES_AUDIT table.