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Alm in banks

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Parth Maheshwari
Parth Maheshwari

this abt alarm in bank

NegóciosEconomia e finanças
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Risk Management Asset Liability Management
Pre-Financial Sector Reforms (1991) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Com Bkg 2008 ALM 2008
Banking Reforms 1993 onwards ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Com Bkg 2008 ALM 2008
Banking Sector Reforms ……. ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Com Bkg 2008 ALM 2008
ALM - Introduction Com Bkg 2008 ALM 2008 Economic Factors Banks Economic Policies
Com Bkg 2008 ALM 2008
Com Bkg 2008 ALM 2008
Com Bkg 2008 ALM 2008
Risks ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Com Bkg 2008 ALM 2008
Liquidity Risk Profile of a Bank (Rs in crores) Com Bkg 2008 ALM 2008
International Initiatives in Managing Risks ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Com Bkg 2008 ALM 2008
Risk Management ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Com Bkg 2008 ALM 2008
WHAT IS ALM? ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Com Bkg 2008 ALM 2008
Com Bkg 2008 ALM 2008 Asset Liability Management How Liquid are the assets of the Bank How easily can the Bank generate loans from market Asset Management Liability Management
Asset Liability Management ,[object Object],[object Object],[object Object],Com Bkg 2008 ALM 2008
Asset Liability Management ,[object Object],[object Object],Com Bkg 2008 ALM 2008
ALM and NIM ,[object Object],[object Object],[object Object],Com Bkg 2008 ALM 2008
GAP Analysis ,[object Object],Com Bkg 2008 ALM 2008
HISTORY OF ALM ,[object Object],Com Bkg 2008 ALM 2008 Interest Rate Risk Deregulation of Interest Rates Liquidity Risk Credit Risk
Definition of ALM ,[object Object],[object Object],Com Bkg 2008 ALM 2008
Com Bkg 2008 ALM 2008 SUCCESS OF ALM PROCESS ,[object Object],[object Object],[object Object],[object Object]
1. ALM INFORMATION SYSTEM ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Com Bkg 2008 ALM 2008
2. ALM ORGANISATION ,[object Object],[object Object],[object Object],[object Object],Com Bkg 2008 ALM 2008
Com Bkg 2008 ALM 2008 Finance Planning Department Asset Liability Committee (ALCO) Board of Directors Management Committee Asset Liability Management Cell Credit Analysis Department Credit Risk Management Department Treasury Investment and Loan Departments
Com Bkg 2008 ALM 2008
Com Bkg 2008 ALM 2008
3. ALM PROCESS ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Com Bkg 2008 ALM 2008
Com Bkg 2008 ALM 2008 Price Matching (Rs. cr.) * Average cost/return on liabilities/assets . Table 1 Table 1 (Rearranged) Liabilities Assets Liabilities Assets   Amount Rate (%) Amount Rate (%) Amount Rate (%) Amount Rate (%) Spread (%) 15 0 10 0 10 0 10 0 0 25 5 20 12 5 0 5 12 12 30 12 50 15 15 5 15 12 7 30 13 20 18 10 5 10 15 10         30 12 30 15 3         10 13 10 15 2         20 13 20 18 5 100 8.75* 100 13.5* 100 8.75* 100 13.5* 4.75*
Com Bkg 2008 ALM 2008 Maturity Matching (Rs. cr.) (period in months) Table II Table II (Rearranged) Liabilities Maturing within (months) Assets Maturing within (months) Liabilities Assets Gap Cumulative Gap 10 1 15 <1 10 15 -5 -5 5 3 10 3 5 10 -5 -10 8 6 5 6 8 5 3 -7 4 12 10 12 4 10 -6 -13 45 24 30 24 45 30 15 2 20 36 10 36 20 10 10 12 8 >36 20 >36 8 20 -12 0 100   100   100 100    
Risks in ALM ,[object Object],[object Object],[object Object],Com Bkg 2008 ALM 2008
MANAGEMENT OF LIQUIDITY RISK ,[object Object],[object Object],[object Object],Com Bkg 2008 ALM 2008
MANAGEMENT OF LIQUIDITY RISK Com Bkg 2008 ALM 2008 Construction of time buckets: 1 to 30/31 days Over 1 month and upto 2 months Over 2 months and upto 3 months Over 3 months and upto 6 months Over 6 months and upto 1 year Over 1 year and upto 3 years Over 3 years and upto 5 years Over 5 years
MANAGEMENT OF LIQUIDITY RISK ,[object Object],[object Object],[object Object],[object Object],Com Bkg 2008 ALM 2008
MANAGEMENT OF Interest Rate Risk ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Com Bkg 2008 ALM 2008
1. GAP ANALYSIS ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Com Bkg 2008 ALM 2008
Com Bkg 2008 ALM 2008 1. Strategic Framework 2. Organizational Framework 3. Operational Framework 4. Analytical Framework 5. Technology Framework 6. Information Reporting Framework 7. Performance Measurement Framework 8. Regulatory Compliance Framework 9. Control Framework ASSET AND LIABILITY MANAGEMENT
Regulatory Environment – Risk Management Guidelines in India ,[object Object],[object Object],[object Object],[object Object],Com Bkg 2008 ALM 2008
Risk Regulation in India ,[object Object],[object Object],[object Object],[object Object],Com Bkg 2008 ALM 2008
RBI revised guidelines 2007-08 ,[object Object],[object Object],[object Object],[object Object],[object Object],Com Bkg 2008 ALM 2008
RBI Revised ALM ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Com Bkg 2008 ALM 2008

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Alm in banks

  • 1. Risk Management Asset Liability Management
  • 2.
  • 3.
  • 4.
  • 5. ALM - Introduction Com Bkg 2008 ALM 2008 Economic Factors Banks Economic Policies
  • 6. Com Bkg 2008 ALM 2008
  • 7. Com Bkg 2008 ALM 2008
  • 8. Com Bkg 2008 ALM 2008
  • 9.
  • 10. Liquidity Risk Profile of a Bank (Rs in crores) Com Bkg 2008 ALM 2008
  • 11.
  • 12.
  • 13.
  • 14. Com Bkg 2008 ALM 2008 Asset Liability Management How Liquid are the assets of the Bank How easily can the Bank generate loans from market Asset Management Liability Management
  • 15.
  • 16.
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  • 19.
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  • 21.
  • 22.
  • 23.
  • 24. Com Bkg 2008 ALM 2008 Finance Planning Department Asset Liability Committee (ALCO) Board of Directors Management Committee Asset Liability Management Cell Credit Analysis Department Credit Risk Management Department Treasury Investment and Loan Departments
  • 25. Com Bkg 2008 ALM 2008
  • 26. Com Bkg 2008 ALM 2008
  • 27.
  • 28. Com Bkg 2008 ALM 2008 Price Matching (Rs. cr.) * Average cost/return on liabilities/assets . Table 1 Table 1 (Rearranged) Liabilities Assets Liabilities Assets   Amount Rate (%) Amount Rate (%) Amount Rate (%) Amount Rate (%) Spread (%) 15 0 10 0 10 0 10 0 0 25 5 20 12 5 0 5 12 12 30 12 50 15 15 5 15 12 7 30 13 20 18 10 5 10 15 10         30 12 30 15 3         10 13 10 15 2         20 13 20 18 5 100 8.75* 100 13.5* 100 8.75* 100 13.5* 4.75*
  • 29. Com Bkg 2008 ALM 2008 Maturity Matching (Rs. cr.) (period in months) Table II Table II (Rearranged) Liabilities Maturing within (months) Assets Maturing within (months) Liabilities Assets Gap Cumulative Gap 10 1 15 <1 10 15 -5 -5 5 3 10 3 5 10 -5 -10 8 6 5 6 8 5 3 -7 4 12 10 12 4 10 -6 -13 45 24 30 24 45 30 15 2 20 36 10 36 20 10 10 12 8 >36 20 >36 8 20 -12 0 100   100   100 100    
  • 30.
  • 31.
  • 32. MANAGEMENT OF LIQUIDITY RISK Com Bkg 2008 ALM 2008 Construction of time buckets: 1 to 30/31 days Over 1 month and upto 2 months Over 2 months and upto 3 months Over 3 months and upto 6 months Over 6 months and upto 1 year Over 1 year and upto 3 years Over 3 years and upto 5 years Over 5 years
  • 33.
  • 34.
  • 35.
  • 36. Com Bkg 2008 ALM 2008 1. Strategic Framework 2. Organizational Framework 3. Operational Framework 4. Analytical Framework 5. Technology Framework 6. Information Reporting Framework 7. Performance Measurement Framework 8. Regulatory Compliance Framework 9. Control Framework ASSET AND LIABILITY MANAGEMENT
  • 37.
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  • 39.
  • 40.