NDLI: Asset Liability Management Risk

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Asset Liability Management Risk

Content Provider	Scilit
Author	Roncalli, Thierry
Copyright Year	2020
Description	Asset liability management (ALM) corresponds to the processes that address the mismatch risk between assets and liabilities. These methods concern financial institutions, which are mainly defined by a balance sheet. For example, this is the case of pension funds and insurance companies. In this chapter, we focus on ALM risks in banks, and more precisely ALM risks of the banking book. Previously, we have already seen some risks that impact the banking book such as credit or operational risk. In what follows, we consider the four specific ALM risks: liquidity risk$ ^{1}$ , interest rate risk, option risk and currency risk. Generally, ALM risks are little taught in university faculties because they are less known by academics. In fact, asset liability management is a mix of actuarial science, accounting and statistical modeling, and seems at first sight less mathematical than risk management. Another difference is that the ALM function is generally within the finance department and not within the risk management department. This is because ALM implies to take decisions that are not purely related to risk management considerations, but also concerns commercial choices and business models. Book Name: Handbook of Financial Risk Management
Related Links	https://content.taylorfrancis.com/books/download?dac=C2017-0-55420-6&isbn=9781315144597&doi=10.1201/9781315144597-7&format=pdf
Ending Page	452
Page Count	84
Starting Page	369
DOI	10.1201/9781315144597-7
Language	English
Publisher	Informa UK Limited
Publisher Date	2020-04-23
Access Restriction	Open
Subject Keyword	Book Name: Handbook of Financial Risk Management History and Philosophy of Science Models Risk Management Banking Asset Liability Management
Content Type	Text
Resource Type	Chapter

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