Bank’s asset and liability management: A chief risk officer’s perspective

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Abstract: The asset–liability management (ALM) function covers both a prudential component (management of all possible risks and rules and regulation) and an optimisation role (management of funding costs, generating results on balance sheet position) within the limits of compliance (implementation and monitoring with internal rules and a regulatory set of rules). As well as intervening in these aspects of current business activities, ALM is also consulted for organic development and external acquisition to analyse and validate funding terms options, conditions of projects, and any risks (ie funding issues in local currencies).  The purpose of this paper is to provide a perspective from a risk practitioner in enhancing asset quality, quantifying the risks associated with assets and liabilities, and further managing them in order to stabilise short-term profits, long-term earnings, and the long-run sustenance of the bank.

Keywords: ALM, Risk Appetite, ALCO, Liquidity, ERM, CRO, CFO, Treasury, BRC and Board

Venkatesh Kallur is an international banker and risk management executive with a career spanning over three decades, with multiple regulatory regimes experience in North America, the Middle East and Indian markets, and a strong foothold in IFRS 9, credit, market and operational risk, as well as risk strategy and architecture. He is experienced in leading boardroom discussions in enterprise risk management subject areas. He is also a keynote speaker and vivid writer on risk subject areas in several international risk forums.