Asset and liability management (ALM)
Republic First’s securities portfolio lost over $100m in 2024
Fair-value losses on non-agency RMBS holdings accelerated as rate cut expectations dimmed
UBS to lose group banking book risk manager
Senior risk manager of Swiss banks’ combined banking books to leave for new opportunities
Commerzbank’s rate-shock loss sensitivity rises 33%
Bank’s liabilities modelled to reprice faster than assets in a 200bp parallel hike scenario
Filling the gaps in Basel’s interest rate risk measures
Reverse stress-testing or VAR may work better than existing outlier tests, but are hard to manage
Europe’s lenders sail into uncharted waters of the banking book
Regulators are pushing banks to map their credit spread risk. Here be dragons?
ECB mulls intervention on uneven banking book reporting
Inconsistency among EU banks on whether deposits and loans are in scope for credit spread risk
How small and medium-sized banks can enhance deposits modelling frameworks
Recent events have called into question the reliability of deposits as a primary source of funding for small and medium-sized banks. Stickiness of deposits that generations of bankers had counted on suddenly seem ephemeral
ALM banking after the crisis: stress-testing for more robust liquidity management practices
A panel of industry experts discusses a new age of depositor behaviour and the expected evolution of regulations in the wake of the ALM banking crisis. They share insights on achieving integrated approaches to ALM, as well as dynamic hedging strategies…
ALM technology systems 2023: market update and vendor landscape
Chartis' 2023 ALM research report returns to the key themes highlighted in the 2021 report. This update re-evaluates the complex ALM framework, which broadly comprises distinct segments that include funds transfer pricing, liquidity risk management and…
Risk Technology Awards 2023: Bank runs become sprints
The abrupt collapse of SVB is changing what banks want from ALM software
Regulators’ remorse: SVB and the case for IRRBB capital charges
Basel Committee chair among those who say Pillar 1 capital requirement could have helped control SVB risks
Basel’s IRRBB shock scenario update hit by US crisis
Recalibration of shocks had been touted for Q3, but wider rethink may now cause delay
Dutch pensions have extra year to restructure hedges
January 2028 implementation date allows more time for long-dated swaps to roll off
After SVB downfall, EBA stress test seeks out unrealised losses
European regulator asks for data on the fair value and sensitivity of bonds and their hedges
Western Alliance’s rate-risk gauge breaches internal guidance
EVE depletion for 100bp and 200bp hike scenarios highest disclosed by any US regional bank
Europe’s new IRRBB test: the riddle with no answer
A proposed compromise on net interest income test is not scientific, but exact calibration may be impossible
US regionals remain laggards on EVE measure
Majority of lenders in Q1 did not report key metric that could have detected SVB’s risks
Banks dispute EBA’s new threshold for IRRBB test
Banks say new proposal for identifying outliers on net interest income is still too severe
Incorporating climate risk into ALM frameworks at banks
In this webinar convened by Risk.net in collaboration with SS&C Algorithmics, experts discuss the challenges and benefits of incorporating climate risk into asset-liability management frameworks at banks
Bank runs prompt rethink of IRRBB deposit models
ALM managers are looking for ways to separate the impact of rate hikes from idiosyncratic risks
First Republic burned through short-term investments in 2022
Cash and securities maturing within a year went from over- to undermatching short-term funding liabilities