asset-liability-management

name

asset-liability-management

description

Guides asset-liability management (ALM)—matching asset and liability cash flows and risks; interest rate risk (duration, convexity, key rate duration); surplus and risk appetite; liability-driven investment (LDI), immunization, and hedging (rates, inflation, FX); insurer, pension, and bank ALM; stress testing; ALM policy and ALCO reporting; capital metrics at high level—not trade execution, security selection alone, pension plan design, actuarial reserving, or assumption governance alone. Use when the user mentions asset liability management, ALM, duration gap, interest rate risk ALM, liability driven investing, immunization portfolio, ALCO, surplus at risk, key rate duration, ALM policy, or match assets and liabilities—not pensions (pension-retirement-funds), actuarial models (actuary), assumptions (assumption-setting), P&C (property-casualty-insurance), life/health products (life-health-insurance), equity research (financial-analyst), or actuarial consulting (actuarial-consulting).

Asset-Liability Management (ALM)

When to Use

• Frame ALM objectives: cash-flow matching, surplus protection, return within risk appetite, regulatory capital efficiency
• Analyze interest rate risk: duration, convexity, key rate duration, parallel and non-parallel shocks
• Design liability-driven investment (LDI), immunization, and hedge programs (rates, inflation, FX)
• Quantify duration gap, surplus sensitivity, and surplus-at-risk concepts for ALCO materials
• Support insurer, pension, and bank ALM contexts with institution-appropriate metrics
• Build stress and scenario sets for ALM (rates, spreads, equity, longevity, credit)
• Draft or review ALM policy, risk limits, and ALCO reporting packs (high level)