Asset and Liability Management in Financial Institutions

The Asset and Liability Management (ALM) function is responsible for the efficient management of the financial resources of a financial institution. It manages structural balance sheet risks, including interest rate risk, structural foreign exchange and collateral risk, as well as the risks associated liquidity and funding.

Liquidity management, funding management and capital management are key areas of ALM helping to:

ensure that financial institutions always have sufficient liquidity to meet liabilities when due, under both normal and stressed conditions.
maintain a balanced portfolio of liabilities that is broadly diversified by market, product and – if necessary - currency.
efficiently manage a financial institution’s capital and to fulfill, monitor and forecast regulatory capital requirements.

Based on their in depth understanding of liquidity, capital and funding and the respective needs of financial institutions in the context of different market environments, ALM / Treasury specialists play a key role for the long-term, but also short-term success of a financial institution.

Executive Education for Asset and Liability Management in Financial Institutions

FHNW’s School of Business and our UK-based partner BTRM offer the first and only international double degree in Bank Treasury Risk Management worldwide. Graduates are awarded with the CAS Bank Treasury Risk Management of FHNW and the Certificate of Bank Treasury Risk Management of BTRM.

Continuing Education for Executives

Asset and Liability Management Talks

FHNW’s School of Business offers monthly “Asset and Liability Management Talks” to the global ALM community aiming to provide current insights on relevant ALM topics either in a fully online or hybrid mode.

Next event

Past events

7.5.2025 Asset and Liability Management Talk: Destabilisation of Bank Deposits Across Destinations – Assessment and Policy Implications
Speakers: Richard Senner, Senior Economist Swiss National Bank

11.06.2024 Asset and Liability Management Talk: Interest Rate and Liquidity Risk Management
Speakers: Moorad Choudhry, Founder, The BTRM, Niranjan Sambhus, Basellandschaftliche Kantonalbank, Silke Waterstraat, FHNW

29.05.2023 Asset and Liability Management Talk: ESG in Bank Treasury
Moderation: Matthieu Patrice, PWC, Silke Waterstraat, FHNW

ESG in Bank Treasury (PDF)
ESG considerations in FS Treasury (PDF)

Tailor-made classes for financial institutions

Please contact us for tailor-made inhouse classes.
Contact: noemi.hess@fhnw.ch; silke.waterstraat@fhnw.ch

Thought Leadership

Our partner BTRM offers a Thought Leadership series, which is designed to bring to light latest thinking on the future of banking and finance, including ideas and innovations that will enable the markets to serve consumers and society better.

Publications of the CAS BTRM Faculty

Articles in blind peer-reviewed Academic Journals

Waterstraat, S., Kustner, C. & Koch, M. (2021, June 22-24). Does Board Composition Taking Account of Sustainability Expertise Influence ESG Ratings? An Exploratory Study of European Banks [Paper presentation]. Society 5.0 Integrating Digital World and Real World to Resolve Challenges in Business and Society 2021: Virtual Forum, Olten, Switzerland.

Waterstraat, S. & Kustner, C. & Koch, M. (2021). Does Board Composition Taking Account of Sustainability Expertise Influence ESG Ratings? An Exploratory Study of European Banks. In A. Gerber, K. Hinkelmann (Eds.), Society 5.0: First International Conference, Society 5.0 2021, Virtual Event, June 22–24, 2021, Revised Selected Papers (pp. 129-138). Springer. https://doi.org/10.1007/978-3-030-86761-4

Moser, C., Lake, C. S., Forrest, B. M., Waterstraat, S., & Wilson, D. (2015). Asset and liability management with ultra-low/negative interest rates. SUERF - The European Money and Finance Forum, OenB, Vienna.

“The Asset-Liability Committee (ALCO): Ensuring effective balance sheet risk management during a market-wide stress event”
Journal of Risk Management in Financial Institutions, Vol. 13, No. 4, 2020

“Effective bank corporate governance: observations from the market crash and recommendations for policy”
Journal of Applied Finance and Banking, Vol.1, Number 1, June 2011

“Measuring Changes in Liquidity using the Bid-Offer Price Proxy: Determinants of Liquidity in the United Kingdom Gilt Market”
International Journal of Finance and Policy Analysis, Vol 3, No 1, Spring 2011

“Measuring Bond Market Liquidity: Devising A Composite Aggregate Liquidity Score”
Applied Financial Economics, Vol 20, No 10-12, May-June 2010

“The Value of Introducing Structural Reform to Improve Bond Market Liquidity: Experience from the U.K. Gilt Market”
European Journal of Finance and Banking Research, Vol. 2, No. 2, 2009

“United Kingdom gilt securities and market liquidity: surveying the impact of structural reforms”
Qualitative Research in Financial Markets, Vol 1 No 2, 2009

“Trading the CDS Basis: Positive and Negative Basis Arbitrage Trades”
GC repo rates”
Journal of Asset Management, Vol 7 No 1, May 2006

“Revisiting the Credit Default Swap Basis: Further analysis of the cash and synthetic credit market differential”
Journal of Structured Finance, Vol 11, No 4, Winter (January) 2006 pp.21-32

“The impact of demand and liquidity on the information content of the yield curve”
Journal of Asset Management, Vol 4, Issue 2, September 2003

Articles in externally-refereed journal publications

“Strategic ALM and Integrated Balance Sheet Management: The Future of Bank Risk Management”, The European Financial Review, Aug-Sep 2017

“Challenges in bank funding and liquidity, Part 2: Business best-practice bank internal funds pricing policy”
PRMIA Intelligent Risk, Volume 3, Issue 2, June 2013.

“Combining securitisation and trading in credit derivatives: an analysis of the managed synthetic CDO”
Euromoney Debt Capital Markets Handbook 2003

“Some Issues in the Asset Swap Pricing of Credit Default Swaps”
Professional Perspectives on Fixed Income Portfolio Management, Vol 4, 2003, Edited by Frank Fabozzi

“Approaches to Yield Spread Trading Using Government Bonds”
Professional Perspectives on Fixed Income Portfolio Management, Vol 3, 2002, Edited by Frank Fabozzi

Books

The Principles of Banking, 2nd Edition, John Wiley 2022

The Future of Finance, John Wiley 2010

Bank Asset and Liability Management, John Wiley 2007

The Credit Default Swap Basis, Bloomberg Press 2006

Fixed Income Markets, John Wiley 2004

The Money Markets Handbook, John Wiley 2004

Structured Credit Products: Credit Derivatives and Synthetic Securitisation John Wiley 2004

The Futures Bond Basis, John Wiley 2004

Analysing and Interpreting the Yield Curve, John Wiley 2003

Derivative Instruments, (with Brian Eales), Butterworth Heinemann 2003

The Repo Handbook, Butterworth Heinemann 2002

Capital Market Instruments: Analysis and Valuation, FT Prentice Hall 2001

Bond Market Securities, FT Prentice Hall 2001

The Bond and Money Markets: Strategy, Trading, Analysis, Butterworth-Heinemann 2001

An Introduction to Value-at-Risk, Securities Institute 1999

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