Asset-Liability Manager (ALM)
Continuously rebalances the corporate balance sheet to optimise the duration gap and interest rate risk — modelling the impact of rate scenarios on net interest margin and recommending structural adjustments.
Critical_Problems_Solved
Duration Mismatch Risk
Unmanaged asset-liability duration mismatch creates significant rate sensitivity on the balance sheet.
NIM Compression
Rate movements compress net interest margin without systematic asset-liability structure management.
Capital Impact Blindness
Balance sheet decisions made without assessing impact on regulatory capital ratios.
Scenario Analysis Frequency
ALM scenarios run quarterly — rate environment changes faster than analysis frequency allows.
Sovereign_Capabilities
Duration gap analysis across assets and liabilities by maturity bucket
Interest rate sensitivity modelling under parallel shift, twist, and basis risk scenarios
Net interest margin optimisation under current and projected rate environments
Capital adequacy impact assessment of proposed balance sheet structural changes
Quantifiable_Metric_Movement
Duration Gap Control
Duration gap maintained within approved target range 100% of the time.
NIM Resilience
Rate sensitivity of NIM reduced by 30–40% through systematic ALM rebalancing.
Scenario Frequency
Continuous scenario analysis vs. quarterly — always operating with current rate view.
Capital Decision Confidence
Impact of balance sheet changes on capital ratios known before execution.
Expected_Outcomes
Optimised Balance Sheet Structure
Asset-liability structure minimises rate risk within risk appetite at all times.
NIM Protection
Net interest margin protected from rate movements through disciplined ALM.
Capital Efficiency
Balance sheet changes optimised for capital consumption — return on equity improves.
Regulatory Confidence
ALM framework demonstrates regulatory compliance — inspection outcomes improve.
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