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Mastering R for Quantitative Finance by Edina Berlinger, Ferenc Illés, Milán Badics, Ádám Banai, Gergely Daróczi, Barbara Dömötör, Gergely Gabler, Dániel Havran, Péter Juhász, István Margitai, Balázs Márkus, Péter Medvegyev, Julia Molnár, Balázs Árpád Szűcs, Ágnes Tuza, Tamás Vadász, Kata Váradi, Ágnes Vidovics-Dancs

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Chapter 11. Asset and Liability Management

This chapter introduces the usage of R for commercial bank asset and liability management (ALM) purposes. The ALM function in a bank is traditionally associated with interest rate risk and liquidity risk management of banking book positions. Both of the interest rate positioning and liquidity risk management require the modeling of banking products. Nowadays, professional ALM units use complex Enterprise Risk Management (ERM) frameworks, which are able to incorporate the management of all risk types and provide an adequate tool for ALM to steer the balance sheet. Our general objective is to set up a simplified framework of ALM to illustrate the use of R for certain ALM tasks. These tasks are based on ...

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