Asset Liability Management / Gesamtbanksteuerung

English Version

S. 6 Introduction

Asset Liability Management (ALM) means the management of the balance sheet structure with two goals:

• to keep risks within the limits of risk bearing capacity

• to earn on the capital utilised for banking book risks

ALM developed thanks to methodical progress based on the creation of liquid financial markets, enabling banks to bundle up risk and to transfer it into ALM without interfering with customer business.

Nonetheless important parts of bank specific risk still is not transferable via financial markets instruments mostly due to setbacks caused by the exaggerations leading to the financial crisis. Most important not/little transferable risk is credit risk and illiquidity risk. For these risk categories it is necessary to interfere with customer business in order to manage the balance sheet structure.

Since we define ALM as the management of balance sheet risk with financial instruments not all balance sheet risk can be managed by the ALM committee.

We require a body called “Total Bank Management committee” that manages balance sheet risk which needs intervention into the customer business. Since the credit risk normally is the risk consuming the biggest par...