ALM Techniques

According to Chapter 2, what does Economic Value (EV) of a bank's existing positions typically measure?

How is the Economic Value of Equity (EVE) defined in the context of ALM?

In the context of economic value calculation, what is the primary cause of a change in economic value (delta EV)?

According to the 5-step process for repricing gap analysis described in the book, what is the first step?

Based on the Net Repricing Gaps shown in Table 2.5, what is the value for the '1–3' month time band?

In the model bank example for repricing gap analysis, what is the calculated 'Total repricing gap' as shown in Table 2.6?

What does a total repricing gap of 1.74 imply for the model bank's economic value of equity (EVE) in the example from Section 2.1.3?

Using the duration gap analysis method on the model bank in Section 2.1.4, what is the calculated decline in the economic value of equity (EVE) for a 200 bp interest rate shock?

What is a primary distinction between the repricing gap analysis and the duration gap analysis as presented in the chapter?

How does the perspective of the ALM department on Net Interest Income (NII) typically differ from that of the accounting department?

In NII forecasting, what is the 'run-off view' assumption about the bank's future balance sheet?

Which assumption about the future balance sheet reflects a bank's earnings on a 'going concern' basis and is also a regulatory requirement for NII reporting?

What are the two main schools of thought discussed in the book regarding assumptions about future interest rates for NII calculations?

What is the earning gap (or income gap) primarily designed to measure?

In the Earning Gap Analysis example from Section 2.2.3, what is the calculated 'Total earning gap' for the first year, as shown in Table 2.11?

What does the calculated total earning gap of -0.25 in the book's example imply for the model bank?

In the NII simulation performed in Section 2.2.4, what are the three key assumptions for the baseline scenario?

According to the model bank's balance sheet in Table 2.12, what is the coupon rate on the 150 million in Term deposits?

In the monthly baseline NII calculation in Section 2.2.4.2, what is the new coupon rate for term deposits after they reprice in period 4?

What is the total projected 3-year NII for the baseline scenario, as calculated and summarized in Table 2.20?

According to the caveats discussed in Section 2.2.4.8, why does a receiver swap seem to provide an unrealistically positive NII impact in the simulation example?

What is the impact on the total repricing gap of the model bank when a 3-year receiver swap is added as a hedge?

What fundamental shortcoming of NII calculations is addressed by monitoring the Change in Market Value (delta MV) of instruments?

What economic principle is violated if a bank assumes that funding from its excess liquidity is free?

In the context of Funds Transfer Pricing (FTP), what is the 'structural contribution'?

When separating the FTP curve into its components, what two types of risk does the book identify?

Which method for constructing a risk-free yield curve is described as common in the U.S., utilizing securities from a government with the power to print money?

What is identified in Section 2.3.5 as a potential disadvantage of using eSTR-based yields to construct a risk-free curve?

How can a bank use its Funds Transfer Pricing (FTP) curve to address a balance sheet mismatch where there is an overhang of customer deposits and a lack of customer loans?

Which regulatory requirement, discussed in Section 2.3.8.1, mandates that banks hold enough high quality liquid assets (HQLA) to cover net cash outflows over a 30-day stress period?

What is a key difference between funding for a typical customer loan (priced via FTP) and funding for a plain interest-rate swap (priced via FVA)?

What is an example of a bank customer transaction that would give rise to 'contingency liquidity costs' which should be added to the FTP rate?

What defines a product as a 'non-maturity product' (NMP) in the context of ALM?

For a 5-year floating-rate loan based on 12-month EURIBOR, how do the liquidity profile and interest rate profile differ?

What is the 'deposit redemption option' an example of?

What constraint do the EBA guidelines place on the assumed behavioural repricing date for retail and wholesale non-maturity deposits?

What is the primary objective of a replicating model in ALM?

In the example calculation in Section 2.5.1, what is the average expected modified duration (modD) of the EUR 50 million sight deposit book after being modeled as a portfolio?

In the context of a replicating model, what is the 'moving average (MA) of interest rates' used to calculate?

Using the example of the rolling portfolio construction in Figure 2.24, what is the average yield on the investment of EUR 50 million in sight deposits?

When calibrating a replicating portfolio, what does the Sharpe ratio of the margin measure?

Which view of the balance sheet is taken by replicating the bank's customer business with a constantly adjusting rolling portfolio to account for projected changes?

What is the core idea of dynamic replication when accounting for an increase in the volume of sight deposits?

According to Section 2.5.6, what would be the consequence for a dynamic replication portfolio if deposit volume were to decline at a time of rising interest rates?

What is one of the main criticisms of the replication model, as discussed in Section 2.5.8?

What is 'deposit beta' a measure of?

Based on the regression analysis shown in Figure 2.37, what was the approximate estimated deposit beta for European banks during the period of negative interest rates from 2017 to 2021?

What is one reason provided in Section 2.5.8 for the imperfect correlation between deposit rates and market rates?

How do Economic Value of Equity (EVE) and Net Interest Income (NII) often react to an increase in the general level of interest rates?

As described in Section 2.3.9, what is the role of the X-Value Adjustment (XVA) desk in a bank?