Asset and liability management (ALM)

Roles that need it

• ALM Analyst
• Treasury Analyst
• Liquidity Risk Analyst
• Liquidity Reporting Analyst
• Regulatory Consultant (Banking)

Skills it belongs to

• Asset-liability management and rate risk
• Liquidity metrics (LCR, NSFR)
• Treasury and cash flow management

Related concepts

• NII sensitivityNII sensitivity measures how a bank's net interest income over a horizon, typically 12 months, changes under interest rate scenarios such as parallel shocks. It captures repricing gaps, basis risk and deposit behaviour. EU supervisors apply an NII outlier test alongside the EVE test.
• EVE (economic value of equity)Economic value of equity is the present value of banking book assets minus liabilities. EVE sensitivity measures how this value changes under interest rate shocks. The EU supervisory outlier test flags a bank when the decline under six standard scenarios exceeds 15 percent of Tier 1 capital.
• FTP (funds transfer pricing)Funds transfer pricing is the internal system that charges business units for the funding they use and credits them for the funding they raise, including interest rate and liquidity costs. It isolates rate risk in treasury and makes product margins comparable.
• Liquidity gap (maturity ladder)A liquidity gap compares expected cash inflows and outflows in time buckets, from overnight to several years, to show when a firm would run short of funding. The cumulative gap, together with the liquidity buffer, gives the survival horizon under stress.
• Behavioural modellingBehavioural modelling estimates how customers actually use products, as opposed to contract terms: how long non-maturity deposits stay, how fast mortgages prepay and how much credit lines are drawn. Results drive rate risk, liquidity metrics and funds transfer pricing.
• IRRBB (Interest rate risk in the banking book)IRRBB is the risk to a bank's earnings and economic value from changes in interest rates on positions such as loans, deposits and hedges. Banks measure it with the economic value of equity and net interest income, and the supervisory outlier test flags outliers.

Sources

• Interest rate risk in the banking book, BIS (external site) accessed 31 Oct 2026
• Principles for sound liquidity risk management and supervision, BIS (external site) accessed 31 Oct 2026

Updated 31 Oct 2026.