The Asset – Liability Committee (ALCO) consisting of the bank’s senior management including CEO should be responsible for ensuring adherence to the limits set by the Board as well as for deciding the business strategy of the bank (on the assets and liabilities sides) in line with the bank’s budget and decided risk management objectives. The ALM Support Groups consisting of operating staff should be responsible for analysing, monitoring and reporting the risk profiles to the ALCO. The staff should also prepare forecasts (simulations) showing the effects of various possible changes in market conditions related to the balance sheet and recommend the action needed to adhere to bank’s internal limits.
The scope of ALM function can be described as follows:
(a) Liquidity risk management
(b) Management of market risks
(c) Trading risk management
(d) Funding and capital planning
(e) Profit planning and growth projectio
