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Category Archives: Asset Liability Management

Calculating EXCEL Duration Between Bond Coupon Payments

Excel duration between coupon dates How does EXCEL calculate DURATION for settlement dates between coupon dates? This was a question posed by one of our readers recently. We have already examined the calculation of Excel Duration and Price functions when settlement dates equal coupon payments dates in

CIR - Projected rates

CIR Interest Rate Model – Appropriate Time Step

What is the appropriate time step to use in estimating parameters for, and projecting short rates using, the CIR model? Can estimates based on daily time series data be used in an interest rate model that projects short rates at a monthly time interval? The


ILAAP ALM LCR Reports template validator

ILAAP ALM LCR Reports template validator This product is designed for banking professionals, consultants, implementation teams and model auditors responsible for asset liability management and risk management model testing, validation and audits within banking and other deposit taking institutions. The tool is designed to validate

Liquidity Gap

Liquidity gap – Implementation.

Liquidity Gap Implementation challenges. A quick review of common liquidity gap implementation challenges as part of the bank asset liability management platform implementation.  What is Liquidity Gap? The liquidity gap reports presents a summarized view of the bank’s balance sheet by breaking total assets and liabilities

Positive gap rules for bank ALM analysis & strategy

ALM training for board & ALCO members.

ALM training for Board members. 7 posts. 60 minutes. I have long felt a need a for a high level overview course on Asset Liability Management training for board members, executive committee and ALCO teams. A course that focuses in equal measure on high level