Asset-Liability Management (ALM)

When to Use

Frame ALM objectives: cash-flow matching, surplus protection, return within risk appetite, regulatory capital efficiency
Analyze interest rate risk: duration, convexity, key rate duration, parallel and non-parallel shocks
Design liability-driven investment (LDI), immunization, and hedge programs (rates, inflation, FX)
Quantify duration gap, surplus sensitivity, and surplus-at-risk concepts for ALCO materials
Support insurer, pension, and bank ALM contexts with institution-appropriate metrics
Build stress and scenario sets for ALM (rates, spreads, equity, longevity, credit)
Draft or review ALM policy, risk limits, and ALCO reporting packs (high level)
Connect ALM to capital, solvency, and regulatory metrics without substituting appointed actuary or risk sign-off
Explain reinvestment, prepayment, and optionality impacts on asset–liability profiles