The FRTB: Concepts, Implications and Implementation

The FRTB: Concepts, Implications and Implementation

Reputational Risk Management in Financial Institutions

Reputational Risk Management in Financial Institutions

The Handbook of ALM in Banking (2nd edition)


This new edition of The Handbook of ALM in Banking: Managing New Challenges for Interest Rates, Liquidity and the Balance Sheet provides a complete overview on good practices for asset and liability management in banking.

Since the previous edition, considerable changes have taken place in the regulatory ALM space. Both for liquidity risk as well as for interest rate risk in the banking book, regulatory demands have substantially increased concerning governance, stress testing, risk appetite framework, behavioural modelling, and organisational questions. At this point in time banks are working to implement these new regulations.

At the same time, stronger separation of retail banking activities from investment banking is being proposed. Consequently, there is greater focus on efficient allocation of financial resources and respective risk management. Asset and liability management and transfer pricing play a pivotal role in this context.

This new and updated edition expands on the previous version to take in an overview of these new regulations and their implications for the ALM area. The two most important developments in the ALM space since the last edition are arguably IRRBB and negative interest rates - both of which are covered here. The low-interest environment also imposes additional challenges on banking book management.

Availability: In stock

The Handbook of ALM in Banking (2nd edition) provides a comprehensive overview of state-of-the-art asset and liability modelling, risk management techniques and transfer pricing. The book considers the aspects key to these issues: liquidity, funding, interest rates and balance sheet management. Thirteen new chapters have been added, with all others overhauled and revised.

Edited by industry experts Andreas Bohn and Marije Elkenbracht-Huizing, this new edition of The Handbook of ALM in Banking brings together key contributions from those implementing new ALM frameworks in light of the latest developments. 


The Handbook of ALM in Banking provides a full overview of methods and methodologies being applied in cutting-edge ALM management. This book is a must-read for ALM managers, risk managers, balance sheet managers, accountants, treasurers.

More Information
ISBN 9781782723455
Navision code MAL2
Publication date 12 Jan 2018
Size 155mm x 235mm
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Andreas Bohn and Marije Elkenbracht-Huizing

Andreas Bohn

Andreas Bohn is Associate Director for Risk Management at The Boston Consulting Group (BCG). Previous to his position at BCG, he was managing director for balance sheet strategy at Barclays Treasury. Before joining Barclays, he ran asset and liability management for global transaction banking at Deutsche Bank. Previously, Andreas worked as a market risk manager for interest rates as well as a market maker for interest rate derivatives at Deutsche Bank, where he started his career in quantitative research. Andreas has spoken on asset liability modelling as well as on the impact of regulations on balance sheet management at conferences in Europe and the US and is the author of related publications. He is a graduate of the University of Münster and holds a PhD from the University of Augsburg.

Marije Elkenbracht-Huizing 

Marije Elkenbracht-Huizing is director of Market and asset and liability management/treasury risk at ABN AMRO Bank. In this role she is responsible for risk management of the treasury and trading portfolios. Before this, she was managing director ofALM and market risk at NIBC. Previously she performed a leading role at ABN AMRO in the areas of derivative valuation and risk management models, economic capital for market risk and interest rate risk for the banking book, ALM modelling and strategy. She has published and spoken at various international conferences on the topics of ALM modelling and economic capital. She has been a member of the Platform Mathematics Netherlands, which aims to stimulate the contribution of mathematics to innovation. Marije earned master’s and PhD degrees in mathematics from Leiden University. 


1 Bank Capital and Liquidity

Marc Farag, Damian Harland, Dan Nixon

2 ALM in the Context of Enterprise Risk Management

Koos Timmermans and Wessel Douma

ING Group


3 The New Basel Standards on IRRBB and Their Implications for ALM

Roberto Virreira Zijderveld

Standard Chartered Group

4 Measuring and Managing Interest Rate and Basis Risk

Giovanni Gentili, Nicola Santini

European Investment Bank

5 The Modelling of Non-Maturity Deposits

George Soulellis

Federal Home Loan Mortgage Corporation

6 Modelling Non-Maturing Deposits with Stochastic Interest Rates and Credit Spreads

Andreas Bohn

The Boston Consulting Group

7 Managing Interest Rate Risk for Non-Maturity Deposits

Marije Elkenbracht-Huizing; Bert-Jan Nauta

ABN AMRO; De Nederlandsche Bank

8 Replication of Non-Maturing Products in a Low Interest Rate Environment

Florentina Paraschiv; Michael Schürle

NTNU Business School; University of St Gallen

9 Managing Mortgage Prepayment Risk on the Balance Sheet

Dick Boswinkel

Wells Fargo

10 Considerations for ALM in Low and Negative Interest Rate Environments

Thomas Becker, Raphael Bulut, Steve Uschmann

Deutsche Bank

11 Credit Spreads

Raquel Bujalance, Oliver Burnage


12 Hedge Accounting

Bernhard Wondrak

TriSolutions GmbH


13 Supervisory Views on Liquidity Regulation, Supervision and Management

Patrick de Neef

De Nederlandsche Bank

14 Measuring and Managing Liquidity and Funding Risk

Lennart Gerlagh, Marc Otto


15 Managing Reserve Assets

Christian Buschmann

Commerzbank AG

16 Instruments for Secured Funding

Federico Galizia; Giovanni Gentili

Inter-American Development Bank; European Investment Bank

17 Asset Encumbrance

Daniela Migliasso

Intesa Sanpaolo


18 Capital Management

Ralf Leiber

Deutsche Bank

19 A Global Perspective on Stress Testing

Bernhard Kronfellner, Stephan Süß, Volker Vonhoff

The Boston Consulting Group

20 Reverse Stress Testing: Linking Risks, Earnings, Capital and Liquidity – A Process-Orientated Framework and Its Application to Asset–Liability Management

Michael Eichhorn; Philippe Mangold

Harz University of Applied Sciences; University of Basel

21 XVAs and the Holistic Management of Financial Resources

Massimo Baldi, Francesco Fede, Andrea Prampolini

Banca IMI

22 Optimal Funding Tenors

Rene Reinbacher


23 Funds Transfer Pricing in the New Normal

Robert Schäfer, Pascal Vogt; Peter Neu

The Boston Consulting Group; DZ Bank

24 Balance-Sheet Management with Regulatory Constraints

Andreas Bohn; Paolo Tonucci

The Boston Consulting Group; Commonwealth Bank of Australia