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ALM includes the allocation and management of assets, equity, interest rate and credit risk management including risk overlays, and the calibration of company-wide tools within these risk frameworks for optimisation and management in the local regulatory and capital environment.
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The exact roles and perimeter around ALM can vary significantly from one bank (or other financial institutions) to another depending on the business model adopted and can encompass a broad area of risks. Traditional ALM programs focus on
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because they represent the most prominent risks affecting the organization balance-sheet (as they require coordination between assets and liabilities).
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Often an ALM approach passively matches assets against liabilities (fully hedged) and leaves surplus to be actively managed.
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Bank for
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Bank Asset and
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Asset - Liability
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