In This Chapter

Asset Liability Management Risk

Authored by: Thierry Roncalli

Handbook of Financial Risk Management

Print publication date:  April  2020
Online publication date:  April  2020

Print ISBN: 9781138501874
eBook ISBN: 9781315144597
Adobe ISBN:


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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.

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