Risk Modeling: Asset Liability Management (ALM)

Johannes Wernz

Chapter 9 in Bank Management and Control, 2014, pp 93-96 from Springer

Abstract: Abstract Some banks like Dexia (Belgium) or Depfa (Ireland, later part of HRE, Germany) had refinancing schemes that were quite risky because there was a big asset mismatch. Loans were provided long-term whereas refinancing was done short-term. Often the yield curve is such that long-term interest rates are higher than short-term interest rates. Before the financial crises, there were some nice gains as a result of this difference in interest rates. Nevertheless, when the financial crisis began in 2007 the yield curve twisted and the asset mismatch led to big losses. It is possible that asset mismatches might cause further issues for banks in the near future. Even the U.S. Fed will presumably face such a problem soon.

Keywords: Asset Liability Management (ALM); Long-term Interest Rates; Yield Curve; Interest Rate; Net Stable Funding Ratio (NSFR) (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:mgmchp:978-3-642-40374-3_9

Ordering information: This item can be ordered from
http://www.springer.com/9783642403743

DOI: 10.1007/978-3-642-40374-3_9

Access Statistics for this chapter

More chapters in Management for Professionals from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().