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Asset Liability Management (ALM): Measuring Liquidity Risk: Cost-to-Close Liquidity Gap

Asset Liability Management (ALM) includes effective liquidity management. One way of assessing a bank’s exposure to liquidity risk is to consider the gaps that exist between its assets and liabilities for pre-defined time buckets, and then calculate the cost that would be incurred to close out those gaps. The course goes through the methodology of calculating this cost, i.e. the liquidity risk measure:

ALM: Quantifying Liquidity Risk: Cost-to-Close Liquidity Gap Methodology

And then presents an example of how the methodology is applied:

ALM: Liquidity Risk Measure: Cost-to-Close Example

Asset Liability Management Crash Course - Buy now

Asset Liability Management Crash Course – Buy now

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