ALM’s Purpose and Uses
3 mins read Why ALM? This post looks at ALM’s purpose, the principal ways banks make use of it, and its core drivers.
3 mins read Why ALM? This post looks at ALM’s purpose, the principal ways banks make use of it, and its core drivers.
6 mins read Default ALM strategies In our last post, we looked at a history of US Treasuries’ yield curve shifts between 1978
4 mins read The mandate of the ALM (ALCO) committee has increased with changes in the Basel II framework to accommodate liquidity and funding concentration concerns. Commonly known as Basel II extensions or the Basel III framework, the changes put a renewed focus on liquidity coverage ratio and funding concentration. To be fair both interest rate mismatch and liquidity profiling were already areas of focus under the original Pillar III Internal Capital Adequacy Assessment Process requirements.
5 mins read Calculating EAR Earnings-at-Risk (EAR) is computed in order to evaluate the impact of interest rate change on earnings. The approach