Asset and liability management (ALM)

Structural interest rate, forex, equity and liquidity risks are managed and supervised by the Group’s Asset and Liability Management function (or ALM).

The ALM interest rate risk management is split into two categories:

• short-term ALM (up to 2 years), which is delegated and captured by the market risk management driven approach (VaR limits, sensitivity limits, triggers, stop loss, daily follow-up…);
• long-term ALM, which is not delegated and subject to a dedicated follow-up by the ALCO Group, which meets on a monthly basis.

Measurement of balance-sheet risks is harmonized among the Group’s various entities.

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