MANAGEMENT
CONTENTS
Serial Topic Page No
I. Guidance-cum-completion certificate 7
II. Acknowledgement 8
ASSET LIABILITY
MANAGEMENT 2009
7.3. Types of liquidity risk 37
7.4. Measuring and managing market risk 38
7.5. Case study on dynamic liquidity 41
7.6. Structural liquidity statement 43
8. Management of Interest Rate Risk 44
8.1. Types of Interest rate risk 47
8.2. Effects of Interest rate risk 51
8.3. Interest rate risk management techniques 51
8.4. Sound interest rate risk management principles 52
9 Management of Exchange Rate Risk 53
9.1. Types of exchange risk 54
9.2. Tools and techniques of managing foreign exchange 55
risk
9.3. Steps in forex risk management 56
9.4. Strategies for foreign exchange management 58
10. Fund Transfer Pricing 59
11. Value at Risk (VaR) & Duration based ALM 61
11.1. The idea behind VaR 61
11.2. Methods of calculating VaR 61
11.3. Uses of VaR 62
12. Importance of IT and software in ALM 63
12.1. A Typical ALM System 64
13. Collection and Analysis of Data 68
13.1. ALM: A Banks Case Study 69
13.2. Data Analysis 69
14. Findings and recommendations 71
14.1. Liquidity under crisis scenario 71
14.2. Estimation of liquidity under market crisis scenario 72
15. Conclusion 73
16. Constraints and limitations 74
17. Scope of further study 74
18. Annexure I 75
19. Annexure II 80
20. Bibliography 83
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ASSET LIABILITY MANAGEMENT
LIST OF TABLES
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ASSET LIABILITY MANAGEMENT
LIST OF FIGURES