The Handbook of ALM in Banking: Interest Rates, Liquidity and the Balance Sheet

The Handbook of ALM in Banking provides a complete overview on good practices for asset and liability management in banking.

New regulations, which require a more consistent treatment of banking books and trading books as well as more aligned business strategies, call for the integrated management of assets and liabilities in banks. At the same time, stronger separation of retail banking activities from investment banking is being proposed. Consequently, there is greater focus on efficient allocation of financial resources and respective risk management. Asset and liability management and transfer pricing play a pivotal role in this context.

This book provides a comprehensive overview of state-of-the-art asset and liability modelling, risk management techniques and transfer pricing. The book considers the aspects key to these issues: liquidity, funding, interest rates and balance sheet management.

In recent years, there has been increased focus on the universal banking model as well as new regulations focusing on asset and liability management (ALM) practices. In an environment of low interest rates and expansionary monetary policy, there is increased competition around loan and deposit businesses, as well as moves to integrate trading book assets and liabilities into the ALM framework.

Consequently, ALM is at the top of banks’ agendas.

Edited by industry experts Andreas Bohn and Marije Elkenbracht-Huizing, The Handbook of ALM in Banking brings together key contributions from those implementing new ALM frameworks in light of these latest developments.

The book examines the intricacies of loans and deposits in the context of revisions to statutory deposit protection schemes. It also assesses the demands on banks’ liquidity reserves and collateral, as well as funding implications.

The increased regulatory focus on earnings at risk and on capital and balance sheet consumption is also unde