Asset Liability Modeling

Asset Liability Modeling

The Asset Liability Management (ALM) process is used to manage business and financial objectives of a financial institution by assessing and evaluating portfolio assets and liabilities  in an integrated manner. It is a continuous process involving the formulation, implementation, review and subsequent revision (if needed) of asset liability management strategies to ensure that sensitivity to interest rate changes are within acceptable risk tolerance levels. ALM addresses interest rate mismatch and liquidity risks through tools such as duration and convexity metrics, maturity bucket gap management and value at risk based concepts such as Earnings at Risk and Market Value of Equity.

Recent ALM Posts

  1. Calculating EXCEL Duration Between Bond Coupon Payments
  2. CIR Interest Rate Model – Appropriate Time Step
  3. ILAAP ALM LCR Reports template validator
  4. Liquidity gap – Implementation.
  5. ALM training for board & ALCO members.
  6. Asset liability mismatch – NII, Earnings, gaps, asset & liability sensitivity
  7. Net Interest Income (NII) vs Economic Value (EVE)
  8. Asset Liability Management Training Guide. 3rd Edition.
  9. Asset Liability Management? Why do we need it, how do we use it?
  10. Bank Asset Liability Management (ALM) – A quick review of ALM strategies

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