Balance sheet structure management
The balance sheet structure management (English asset liability management , often abbreviated with ALM ) describes the coordination of the maturity structure of the active and passive balance sheet items , respectively the control of the associated interest rate risk . This method of risk management is mainly used by banks and insurers .
The aim of balance sheet structure management is to optimize the expected return under uncertainty by controlling all balance sheet items. In an ongoing process, investments and liabilities are examined at the same time with regard to their returns or interest rates and their staggering over time. From this, the strategy is developed with which the financial goals can be achieved with the given risk limits.
The risk-based is balance sheet management in the light of equity rules for banks (see Basel II and Basel III ) as insurers (see Solvency II ) is important.
credentials
- ↑ Heinz Zimmermann: Asset & Liability Management. In: Bruno Gehrig , Heinz Zimmermann: Fit for Finance. Investment theory and practice. 4th edition. Verlag Neue Zürcher Zeitung, Zurich 1997, ISBN 3-85823-697-7 , pp. 321–343.
literature
- Hans-Joachim Zwiesler: Asset-Liability-Management - the insurance company on the way from planning to risk management . In: Klaus Spremann (Ed.): Insurance in transition. Create values, manage risks, win customers . Springer, Berlin 2005, ISBN 3-540-22063-1 , pp. 117–131 ( online at risknet.de [PDF; 224 kB ]).