ILAAP ALM LCR Reports template validator This product is designed for banking professionals, consultants, implementation teams and model auditors responsible for asset liability management and risk management model testing, validation and audits within banking and other deposit taking institutions. The tool is designed to validate

The post ILAAP ALM LCR Reports template validator appeared first on Finance Training Course.

Liquidity Gap Implementation challenges. A quick review of common liquidity gap implementation challenges as part of the bank asset liability management platform implementation.  What is Liquidity Gap? The liquidity gap reports presents a summarized view of the bank’s balance sheet by breaking total assets and liabilities

The post Liquidity gap – Implementation. appeared first on Finance Training Course.

Bank Asset Liability Management – Study Guide – 3rd Edition.

The brand new, revised 3rd edition of the ALM Study Guide is out. With 177 pages, 189 figures and illustrations, the new edition weighs in at thrice the size of the 2nd edition and spends more time on building a stronger foundation for […]

Bank Asset Liability Management (ALM) – A quick review of default ALM strategies.

In our last post we looked at a history of US Treasuries yield curve shifts between 1978 and 2010.

We now move to a simplified analysis of the maturity distribution of assets and liabilities on a bank balance sheet in anticipation of expected yield […]

Convexity & Duration calculator for US Treasury Bills, Notes and Bonds. To demonstrate how Duration and Convexity are calculated for specific US Treasuries we select instruments from recent US Treasury bill, note and bond auctions. Please note that we are determining these metrics (Convexity & Duration) at issue. We will calculate Macaulay, Modified and Effective Duration […]