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Listed below are invaluable articles which should help you develop a state-of-the-art asset liability management process.

General Topics       
Value At Risk
RAROC
Regulatory Policies and Guidelines

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General Topics

Principles for the Management of Interest Rate Risk

Basle Committee 

Risk Standards Overview

CMRA

 

CMRA

Stress Testing

CMRA

Integrating Stress Testing with Risk Management

CMRA

Risk Management Programs

CMRA

Stress Testing for Market Shocks

CMRA

Ten Common Failures in Independent Risk Oversight

CMRA

  

Transparent to Opaque and Everything
in Between

CMRA

 

   

Value At Risk

What is VAR 

CMRA

 A Primer on Value At Risk

CMRA

3 VAR Methodologies

CMRA

Square Root of Time

CMRA

Vignettes on VAR

CMRA

VAR - Variance Covariance Implementation

CMRA

VAR- Measuring skewness and kurtosis

CMRA

VAR - Monte Carlo Simulation

CMRA

Report Card on Value at Risk

CMRA

VAR: Seductive but Dangerous

CMRA

VAR for MBS

CMRA

   

RAROC

Performance of Models-Based Capital Charges for Market Risk

CMRA

   

Regulatory Policies and Guidelines

Permissible Activities

FDIC

FDIC DOS Manual Of Examination Policies: Liquidity and Funds Management, Section 6.1 

FDIC

FDIC DOS Manual Of Examination Policies: Funding Sources and Other Liabilities, Section 6.2 

FDIC

FDIC DOS Manual Of Examination Policies: Market Risk, Section 7.1 

FDIC

Bank Holding Company Supervision Manual, Risk Activities and Interest Rate Risk, See Sections 2126 and 2127

FRB

Commercial Bank Supervision Manual, Asset Liability Management, See Section 4020

FRB

Management of Interest Rate Risk, Investment Securities, and Derivatives Activities (12/04/98)

OTS

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