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ALM Overview – Dimensions of Risk Management for a Depository

This document provides an excellent overview of ALM and financial risk management in a Depository. The topics covered include:

  • ALM background and framework
  • Highlights in interest rate risk
  • Regulatory perspective
  • Case study: Appetite for interest rate risk
  • Two measures of interest rate risk: NII and EVE
  • Factors for setting risk limits
  • ALM brings unification of FRM

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