Difference between revisions of "ALM Models"
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* [[Interest Rate Risk]] | * [[Interest Rate Risk]] | ||
* Currency Risk | * Currency Risk | ||
| − | * Optionality | + | * [[Optionality Risk]] (embedded options such as the [[Prepayment Option]] and associated [[Prepayment Risk]]) |
* [[Credit Risk]] | * [[Credit Risk]] | ||
* [[Liquidity Risk]] | * [[Liquidity Risk]] | ||
== Issues and Challenges == | == Issues and Challenges == | ||
| − | + | While many of the underlying issues relevant for ALM are extremely well understood (e.g., interest rate models) and ALM managers are generally making use of advanced tools there is relatively less documentation to demonstrate best practice. | |
| − | While many of the underlying issues relevant for ALM are extremely well understood (e.g., interest rate models) and ALM managers are generally making use of advanced tools there | ||
| − | is relatively less documentation to demonstrate best practice. | ||
== See Also == | == See Also == | ||
| − | |||
* [http://en.wikipedia.org/wiki/Asset_liability_management Wikipedia:Asset and Liability Management] | * [http://en.wikipedia.org/wiki/Asset_liability_management Wikipedia:Asset and Liability Management] | ||
[[Category:ALM Models]] | [[Category:ALM Models]] | ||
Latest revision as of 17:51, 1 December 2022
Definition
ALM Models is a broad description of models that are used for asset and liability management.
They encompass any of the following areas:
- Interest Rate Risk
- Currency Risk
- Optionality Risk (embedded options such as the Prepayment Option and associated Prepayment Risk)
- Credit Risk
- Liquidity Risk
Issues and Challenges
While many of the underlying issues relevant for ALM are extremely well understood (e.g., interest rate models) and ALM managers are generally making use of advanced tools there is relatively less documentation to demonstrate best practice.
