Abstract

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.