Managing the structure of assets and liabilities to control interest rate, liquidity and funding risk. It looks at gaps by maturity.
Where you will meet it
Asset-liability management comes up in 3 learning outcome notes across the FRM syllabus.
A few of them:
Banks FRM Part I · Financial markets and products
“Its main exposures are credit risk and interest rate risk, managed through asset-liability management.”
Liquidity and Leverage FRM Part II · Liquidity and treasury risk measurement and management
“Asset-liability management therefore lays out expected cash inflows and outflows in a maturity ladder, and computes the gap in each bucket and cumulatively.”
Risk Management for Changing Interest Rates: Asset-Liability Management and Duration Techniques FRM Part II · Liquidity and treasury risk measurement and management
“Asset-liability management attacks this in layers.”
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