Asset Liability Management. Assumptions, common questions, default convention, ALM tweak and hacks. Linking ALM reports to value at risk.
Asset liability management training for board and ALCO members. A short 7 post guide reviews core ALM training concepts within 60 minutes.
ICAAP, ILAAP for European banks. Brief review of Internal Capital Adequacy / Liquidity Assessment Process with quick stops at EBA / PRA guidance.
Asset Liability Management. Assumptions, common questions, default convention, ALM tweak and hacks. Linking ALM reports to value at risk.
Understanding the evolution of bank stress test model. How do the Fed and OCC CCAR requirements compare with earlier standards and the way forward.
Capital estimation for Liquidity Risk Management is a difficult exercise. It comes up as part of the internal liquidity risk management process as well as the internal capital adequacy assessment process (ICAAP). This post and the liquidity risk management series that follows suggests a framework for ongoing discussion based on the work done by our team with a number of regional banking customers
IAS 30 reporting. ALM Liquidity Maturity and Regulatory reporting models. Data, pre-processing, Excel Pivot Tables and Charts.
A quick review of effective asset liability strategies against common interest rate shift expectations.
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