Handbook of Asset and Liability Management, Vol. 2, No. suppl (C) • 2007

ISSN: 1872-0978

doi: 10.1016/S1872-0978(06)02011-4

Chapter 11 ALM in Banking

Jean Dermine*E-mail address:jean.dermine@insead.edu,

INSEAD, Fontainebleau, France

Abstract

The main purpose of the chapter is to discuss Asset & Liability Management, the control of value creation and risks in a bank. This chapter is innovative in two ways. First, unlike the usual practice of restricting ALM to the control of interest rate and liquidity risks, we propose a framework to analyze both value creation and the control of risks. Second, rather than discuss the ALM issues one by one in an independent manner, the chapter provides a microeconomic-based valuation model of a bank. This ...

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