Banking And Finance Mathematics | Asset–Liability Management, Duration Gaps and Immunisation Mathematics

Asset–liability management mathematics asks whether the timing, repricing, duration, optionality and funding structure of a bank’s assets and liabilities remain compatible when interest rates and customer behaviour change. It connects net interest income (NII), economic value of equity (EVE), repricing gaps, duration gaps, PV01/DV01, basis risk, yield-curve risk, non-maturity deposits, prepayment, deposit beta, funds transfer pricing, hedging and immunisation.

For readers searching for asset liability management mathematics, ALM banking, duration gap formula, repricing gap, interest rate risk in the banking book, IRRBB, NII sensitivity, EVE sensitivity, gap analysis, duration matching, immunisation, non maturity deposits, deposit beta, basis risk, key rate duration or bank balance sheet hedging, the core idea is that a bank earns by transforming maturity and repricing. That transformation is valuable, but mismatches can cause earnings or economic value to deteriorate when the curve moves.

The Basel Framework’s current IRRBB application guidance, effective from 1 January 2026, defines IRRBB as the current or prospective risk to bank capital and earnings from adverse interest-rate movements. It explicitly distinguishes gap risk, basis risk and option risk and recommends multiple economic-value and earnings measures rather than one scalar. This page builds the mathematics behind those concepts and connects them to practical balance-sheet hedging. It is educational, not regulatory or treasury advice.

50-Second Router

• Repricing gap: rate-sensitive assets minus rate-sensitive liabilities in a time bucket.
• NII sensitivity: effect of rate scenarios on future interest income and expense.
• EVE: present value of banking-book assets minus liabilities; a long-horizon economic-value lens.
• Duration gap: asset duration minus liability duration scaled by liability/assets.
• PV01/DV01: currency sensitivity to a one-basis-point rate move.
• Gap risk: assets and liabilities reprice at different times/tenors.
• Basis risk: assets and liabilities reference different indexes or spreads.
• Yield-curve risk: nonparallel changes in curve shape.
• Option risk: borrower prepayment, deposit withdrawal, caps/floors and callable features change cash-flow timing.
• Non-maturity deposits: require behavioural maturity and beta assumptions despite legal on-demand nature.
• Immunisation: align value and rate sensitivities of assets/liabilities under stated assumptions.
• Verification: compare static gap approximations with full cash-flow repricing under multiple scenarios.

The Central Proposition: ALM Is About Timing, Not Just Amount

If a bank has S$100 of assets and S$100 of liabilities, the balance sheet may look matched in amount. But if assets are five-year fixed-rate loans and liabilities are overnight deposits, the bank is exposed. Funding cost can rise tomorrow while asset yield remains fixed for years.

ALM therefore adds a time axis and a rate-reference axis to the accounting identity. Each cash flow has a date, a repricing date, a currency, a benchmark, an optionality profile and a behavioural assumption. The mathematics asks whether those profiles offset or reinforce one another.

Adrian’s rule is simple: balance-sheet matching by dollars is not risk matching. Risk matching requires timing and sensitivity.

1. Asset–liability management

Asset–liability management is management of balance-sheet cash flows, funding, rate risk and liquidity across time. It coordinates profitability and resilience. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. ALM maps assets/liabilities by cash flow, repricing and sensitivity. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Treating ALM as only liquidity management misses rate and option risk. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into bank treasury. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

2. IRRBB

IRRBB is interest rate risk in the banking book. It is risk to earnings and capital/economic value from rate movements. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Measure through NII and EVE. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Trading-book market risk and IRRBB are governed differently. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into banking book. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

3. Repricing date

Repricing date is next date contractual/behavioural rate can change. It determines earnings sensitivity. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Assign instrument to bucket by next reset date. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Contractual maturity is not repricing date for floaters. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into gap analysis. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

4. Maturity date

Maturity date is date principal is due/contract ends. It matters for liquidity and duration. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Cash flows continue until maturity unless prepaid. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Maturity alone is insufficient for floating-rate risk. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into ALM. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

5. Repricing gap

Repricing gap is rate-sensitive assets minus liabilities in bucket. It approximates near-term NII sensitivity. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Gap_t=RSA_t−RSL_t. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Gap ignores basis/option/nonparallel effects. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into NII. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

6. Positive gap

Positive gap is more assets than liabilities reprice in bucket. It tends to benefit from rising rates under simple same-beta assumptions. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. ΔNII≈Gap×Δr. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Deposit/asset betas may overturn sign. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into gap analysis. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

7. Negative gap

Negative gap is more liabilities reprice than assets. It tends to hurt NII when rates rise in simple model. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. ΔNII≈Gap×Δr. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Funding spread and floors can change result. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into gap analysis. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

8. Cumulative gap

Cumulative gap is sum of bucket gaps through horizon. It shows aggregate repricing mismatch. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. CumGap_T=ΣGap_t. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Offsetting buckets can hide timing volatility. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into ALM. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

9. NII

NII is interest income minus interest expense. It is the earnings lens of ALM. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. NII=ΣAssetYield×Balance−ΣFundingCost×Balance. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Balance/prepayment/runoff paths matter. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into earnings. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

10. NII sensitivity

NII sensitivity is difference between stressed and base projected NII. It captures short/medium-horizon earnings impact. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. ΔNII=NII_stress−NII_base. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. A one-year NII view can miss long economic-value loss. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into IRRBB. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

11. EVE

EVE is economic value of equity. It is PV of banking-book asset cash flows minus liability cash flows. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. EVE=PV(A)−PV(L). State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Accounting equity can differ from EVE. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into IRRBB. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

12. EVE sensitivity

EVE sensitivity is change in EVE under rate scenario. It captures long-horizon value risk. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. ΔEVE=EVE_stress−EVE_base. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Behavioural cash flows and discount curves dominate. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into IRRBB. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

13. Macaulay duration

Macaulay duration is PV-weighted average timing of fixed cash flows. It supports duration-gap intuition. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. D=ΣtPV(CF_t)/P. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Optional instruments require effective measures. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into duration. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

14. Modified duration

Modified duration is first-order percentage value sensitivity to yield. It converts time-weighted duration to price sensitivity. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. ΔP/P≈−D_modΔy. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Single-yield duration cannot represent curve risk fully. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into duration gap. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

15. Effective duration

Effective duration is revaluation-based sensitivity when cash flows can change. It is better for mortgages/deposits/options. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. D_eff=(P_-−P_+)/(2P0Δr). State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Result depends on behavioural model. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into option risk. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

16. Dollar duration

Dollar duration is currency value sensitivity per unit yield. It supports hedge sizing. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. DollarDur=P×D_mod. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Sign convention should be clear. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into hedging. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

17. PV01

PV01 is present value change for 1bp. It is common rate-risk unit. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. PV01≈−dPV/dr×0.0001. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Different systems may report absolute/signed PV01. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into ALM. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

18. DV01

DV01 is dollar value of one basis point. Often synonymous operationally with PV01 ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. DV01≈P×D×0.0001. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Curve node definition matters. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into hedging. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

19. Duration gap

Duration gap is difference between asset and scaled liability durations. It approximates EVE sensitivity. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. DGAP=D_A−(L/A)D_L. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Behavioral deposits/options complicate. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into bank solvency. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

20. EVE duration approximation

EVE duration approximation is first-order equity-value change from duration gap. It links rate shift to equity. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. ΔEVE≈−DGAP×A×Δr/(1+r) under simplified setup. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Parallel-shift assumption is restrictive. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into IRRBB. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

21. Key-rate duration

Key-rate duration is sensitivity to specific curve tenor. It decomposes nonparallel risk. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. KRD_k from local node bump. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Interpolation convention matters. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into yield curve risk. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

22. Key-rate PV01

Key-rate PV01 is currency PV sensitivity by tenor. It creates hedging ladder. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. PV01_k from 1bp node shock. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Total PV01 can net while key buckets remain large. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into curve hedging. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

23. Gap risk

Gap risk is risk from mismatched reset timing. It is the classic IRRBB channel. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Assets/liabilities reprice at different tenors. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Same maturity does not guarantee same reset behaviour. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into IRRBB. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

24. Yield-curve risk

Yield-curve risk is risk from curve slope/curvature changes. It defeats parallel-duration hedges. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Use key-rate scenarios. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Single duration number is incomplete. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into IRRBB. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

25. Basis risk

Basis risk is risk from imperfect co-movement between reference rates. It persists even with matched reset dates. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Asset indexed to SORA, liability to deposit rate etc. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Matched maturity does not eliminate basis. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into IRRBB. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

26. Option risk

Option risk is risk from embedded choices changing cash flows. It makes timing endogenous. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Prepayment, withdrawal, caps/floors. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Static cash-flow schedules understate. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into IRRBB. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

27. Prepayment risk

Prepayment risk is borrowers repay early, often when rates fall. It shortens asset duration and can reduce high-rate income. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Model hazard/CPR. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Negative convexity can emerge. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into mortgages. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

28. Deposit withdrawal option

Deposit withdrawal option is customers can withdraw non-maturity deposits. It shortens effective funding life in stress. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Behavioural decay/runoff model. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Assuming permanent deposits is unsafe. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into NMD. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

29. Non-maturity deposit

Non-maturity deposit is deposit legally callable but behaviorally persistent. It requires modelling for NII/EVE. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Model beta and effective maturity. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Treating all as overnight can overstate rate sensitivity; all as long term can understate runoff. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into ALM. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

30. Deposit beta

Deposit beta is pass-through of market-rate change to deposit rate. It determines funding repricing. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. β=ΔDepositRate/ΔBenchmark. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Beta changes by cycle/product. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into NII. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

31. Deposit lag

Deposit lag is delay in repricing deposits. It can support NIM early in hiking cycle. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Rate response distributed over time. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Lag can shorten in competitive stress. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into NII. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

32. Deposit floor

Deposit floor is lower bound on deposit rate. It creates asymmetric beta. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Rate cannot fall below floor. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Historical downward beta may differ from upward beta. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into NII. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

33. Deposit decay

Deposit decay is behavioural runoff through time. It sets effective maturity. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Survival curve for balances. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Digital runs can make history stale. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into NMD. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

34. Core deposit

Core deposit is stable segment of deposits under internal/regulatory modelling. It can be assigned longer effective maturity subject to controls. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Core fraction modelled separately. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Core classification requires evidence. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into ALM. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

35. Wholesale funding

Wholesale funding is market funding with explicit maturity. It has clearer contractual reset but rollover risk. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Funding curve + spread. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Market spread can jump in stress. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into funding. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

36. Fixed-rate asset

Fixed-rate asset is asset yield locked over period. It has higher duration/slow repricing. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Mortgage/bond cash flows fixed. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Prepayment can alter life. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into ALM. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

37. Floating-rate asset

Floating-rate asset is asset coupon resets to benchmark. It has lower benchmark duration but basis/credit effects. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Coupon=Index+Spread. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Borrower PD can worsen when rates rise. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into ALM. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

38. Fixed-rate liability

Fixed-rate liability is funding cost locked. It can hedge fixed assets. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Term deposit/bond. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Early withdrawal/call features matter. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into ALM. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

39. Floating-rate liability

Floating-rate liability is funding cost resets. It can create earnings mismatch against fixed assets. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Cost=Index+Spread. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Spread itself can change. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into ALM. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

40. Funds transfer pricing

Funds transfer pricing is internal matched-maturity funding pricing. It allocates ALM cost/benefit to businesses. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Product margin=customer yield−FTP. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Weak FTP leaves treasury risk hidden in business P&L. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into bank management. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

41. Matched-maturity FTP

Matched-maturity FTP is transfer rate matched to product tenor/repricing. It internalises term risk. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Use curve at relevant tenor. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Average deposit cost is not enough. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into pricing. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

42. Liquidity premium

Liquidity premium is internal charge for stable funding/liquidity consumption. It links ALM to liquidity. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. FTP includes liquidity component. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Ignoring stable-funding cost encourages mismatch. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into ALM. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

43. Term premium

Term premium is compensation for duration uncertainty. It affects long funding/asset pricing. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Embedded in yield curve. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Not directly observable uniquely. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into rates. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

44. Swap hedge

Swap hedge is interest-rate swap used to transform fixed/floating exposure. It is central ALM tool. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Pay fixed/receive floating or reverse. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Basis/collateral/counterparty remain. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into hedging. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

45. Pay-fixed swap

Pay-fixed swap is pays fixed, receives floating. It behaves like adding floating asset/fixed liability exposure depending perspective. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Benefits from rate rises in value terms. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Cash-flow sign must match hedge target. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into ALM. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

46. Receive-fixed swap

Receive-fixed swap is receives fixed, pays floating. It adds duration/locks income. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Benefits from falling rates in value. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Can worsen rising-rate EVE risk. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into ALM. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

47. Futures hedge

Futures hedge is exchange-traded rate contract used for duration/gap hedging. It provides liquid risk transfer. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Size by DV01. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Basis/roll/margin risk remain. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into hedging. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

48. Bond hedge

Bond hedge is use of securities to offset liability duration. It can immunise pension/bank positions. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Match PV01/key rates. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Credit/liquidity mismatch remains. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into immunisation. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

49. Immunisation

Immunisation is matching asset/liability values and sensitivities to protect surplus against rate changes. It is local and conditional. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Match PV and duration, possibly convexity/key rates. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Requires rebalancing. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into ALM. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

50. Redington immunisation

Redington immunisation is classical conditions matching PV and duration with favourable convexity. It formalises local surplus protection. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. PV_A=PV_L; D_A=D_L; C_A>C_L. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Assumes specific rate shift model. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into actuarial/ALM. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

51. Cash-flow matching

Cash-flow matching is assets deliver cash when liabilities are due. It minimises reinvestment/price risk. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Match dates/amounts. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Perfect matching may be impossible/expensive. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into ALM. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

52. Dedicated portfolio

Dedicated portfolio is asset portfolio constructed for specified liabilities. It operationalises cash-flow matching. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Schedule assets to obligations. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Credit risk of assets remains. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into liability management. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

53. Convexity gap

Convexity gap is difference in second-order rate curvature between assets/liabilities. It determines residual under larger moves. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. C_A−scaled C_L. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Duration match alone can fail for big shocks. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into immunisation. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

54. Key-rate immunisation

Key-rate immunisation is match sensitivity at several curve nodes. It protects against nonparallel moves. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. KRD_A,k≈KRD_L,k. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Requires multiple hedging instruments. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into ALM. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

55. Parallel shock

Parallel shock is same rate change across curve. It is simplest IRRBB scenario. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. r_k’=r_k+Δ. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Real curves twist. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into scenario. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

56. Steepener

Steepener is long rates rise relative to short or vice versa depending definition. It stresses slope mismatch. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Apply tenor-specific shocks. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Parallel duration cannot predict. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into scenario. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

57. Flattener

Flattener is slope narrows. It tests short-vs-long mismatch. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Node shocks by tenor. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Direction bull/bear matters. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into scenario. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

58. Short-rate up shock

Short-rate up shock is increase in short-term funding/reference rates. It often pressures liabilities faster. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Deposit/wholesale cost rises. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Asset repricing may lag. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into NII. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

59. Long-rate up shock

Long-rate up shock is increase in long rates. It can reduce value of long fixed assets. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Duration loss at long end. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Deposit NII effect may be smaller. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into EVE. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

60. Basis widening

Basis widening is spread between two indexes grows. It stresses matched-tenor different-index positions. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. ΔNII from basis sensitivity. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Historical tight basis can widen in stress. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into IRRBB. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

61. Floor/cap optionality

Floor/cap optionality is contractual bounds on rates. It creates nonlinear NII/EVE. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Rate=max(floor,min(cap,index+spread)). State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Linear beta breaks near bounds. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into options. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

62. Mortgage negative convexity

Mortgage negative convexity is prepayment accelerates when rates fall, extension when rates rise. It makes duration adverse. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Effective duration increases in rising-rate stress. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Static duration understates extension risk. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into mortgage ALM. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

63. Deposit convexity

Deposit convexity is deposit behaviour changes nonlinearly with rates. It can alter effective duration. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Beta/decay depend on rate level. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. One fixed maturity assumption is weak. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into NMD. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

64. Behavioural model

Behavioural model is statistical/judgmental model of customer cash-flow choices. It is essential for NMDs/prepayment. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Hazard/decay/beta models. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Behaviour can change across regimes. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into model risk. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

65. Model risk

Model risk is uncertainty in ALM behavioural/valuation assumptions. It can dominate reported EVE. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Use challengers/sensitivity. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Long NMD maturity can artificially reduce risk. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into governance. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

66. Earnings at risk

Earnings at risk is potential NII decline under rate scenario. It is short-horizon earnings metric. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. EaR=NII_base−NII_stress. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Does not replace EVE. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into ALM. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

67. Economic value at risk

Economic value at risk is loss in EVE under rate scenario. It is long-horizon PV metric. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. EVaR=EVE_base−EVE_stress. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Depends on discount/behaviour assumptions. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into ALM. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

68. NII/EVE trade-off

NII/EVE trade-off is strategies can improve near-term earnings while worsening economic value. It is fundamental ALM tension. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Fixed assets funded by sticky deposits can show different signs. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Optimising one metric alone is unsafe. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into bank management. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

69. Hedge accounting

Hedge accounting is accounting treatment aligning derivative and hedged item effects under standards. It can reduce accounting volatility when criteria met. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Accounting designation/documentation required. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Economic hedge and hedge-accounting eligibility are different. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into finance/accounting. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

70. Rebalancing

Rebalancing is adjusting hedge as durations/balances change. It maintains target exposure. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. New hedge=target−current sensitivity. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Transaction costs and model drift matter. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into immunisation. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

71. ALCO

ALCO is asset-liability committee governance forum. It oversees balance-sheet risk/funding/pricing ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Uses NII/EVE/gap/liquidity reports. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Governance cannot replace quantitative accuracy. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into bank management. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

72. Risk limit

Risk limit is approved maximum for NII/EVE/DV01/gap. It translates appetite into controls. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Compare current/stressed exposure with limit. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. One aggregate limit can hide bucket concentration. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into governance. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

73. Scenario library

Scenario library is set of prescribed/internal rate scenarios. It standardises monitoring. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Parallel, slope, basis and option scenarios. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Stale scenarios miss new curve regimes. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into IRRBB. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

74. Supervisory outlier test

Supervisory outlier test is regulatory review concept identifying excessive IRRBB under prescribed shocks. It benchmarks banks under common scenarios. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Compare ΔEVE to Tier 1/capital threshold per framework. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Not a substitute for internal risk appetite. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into IRRBB. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

75. EVE discount curve

EVE discount curve is curve used to PV banking-book cash flows. It shapes economic value. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. PV=ΣCF_tD_t. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Curve choice must match framework/instrument. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into valuation. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

76. Commercial margin

Commercial margin is spread above reference/FTP earned on customer product. It contributes NII beyond pure rate risk. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. CustomerRate−Reference. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Margin can compress due to competition independently of benchmark moves. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into NII. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

77. New-business rate

New-business rate is current rate on newly originated assets/liabilities. It affects gradual repricing of back book. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Back book rolls into new rate through maturities. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Instant repricing assumptions overstate speed. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into ALM. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

78. Back-book rate

Back-book rate is existing contractual average rate. It determines near-term NII. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Weighted average of vintages. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Book may reprice slowly despite market moves. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into NII. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

79. Repricing ladder

Repricing ladder is schedule of amounts resetting/maturing by tenor. It makes transition from back book to new rates visible. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Bucket balances by next reset. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Average maturity hides cliffs. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into ALM. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

80. Maturity transformation

Maturity transformation is funding long assets with shorter liabilities. It can create positive margin and rate/liquidity risk. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Term spread captured by bank. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Mismatch is core banking function, not automatically error. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into banking. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

81. Structural hedge

Structural hedge is portfolio/derivatives used to stabilise earnings/economic value of behavioural deposits/equity. It manages long-term IRRBB. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Hedge notional linked to NMD duration/equity. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Wrong behavioural assumption can create overhedge. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into treasury. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

82. Equity duration

Equity duration is conceptual treatment of capital/non-interest-bearing funding in ALM. It affects duration-gap construction. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. Some models assign equity to long-term funding. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Not a contractual cash flow; methodology varies. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into ALM. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

83. Capital-at-risk from IRRBB

Capital-at-risk from IRRBB is potential economic-value loss relative to capital. It links ALM to solvency. ALM mathematics works only when contractual and behavioural timing are kept distinct.

Mathematics. ΔEVE/Tier1 or CET1 metrics. State whether the measure is an earnings-flow sensitivity or present-value sensitivity, and keep tenor/basis units explicit.

Failure mode. Economic loss may not be immediately accounting-recognised. Jo’s diagnostic is to ask what re-prices, when it reprices, against which benchmark, and whether the cash flow can change because a customer has an option.

Connection. This feeds directly into capital. Ryan would compare a simple gap estimate with full cash-flow repricing under several curve shapes to measure approximation error.

Worked Example 1: Repricing Gap

Within next 3 months, rate-sensitive assets S$8bn and liabilities S$10bn. Gap=−S$2bn. If both reprice equally by +100bp, simple annualised NII change≈−2bn×1%=−S$20m.

If asset beta is 80% and liability beta 50%, the result changes materially: asset income rises 8bn×0.8%=64m; liability expense rises 10bn×0.5%=50m; NII rises S$14m.

Gap sign alone is insufficient without repricing beta.

Worked Example 2: Duration Gap

Assets S$100bn duration 4.5; liabilities S$90bn duration 2.0. DGAP=4.5−(90/100)×2=2.7.

For a small +100bp parallel move and simplified yield level near 0 for intuition, economic equity loss≈2.7×100bn×1%=S$2.7bn first-order. With denominator/(1+r) adjustment the exact approximation changes slightly.

Positive duration gap means assets are more rate-sensitive than liabilities.

Worked Example 3: Key-Rate Risk

Bank has +S$3m/bp 2-year PV01, −S$1m/bp 5-year and +S$4m/bp 10-year. Total PV01 S$6m/bp.

A steepener with 2y −25bp, 5y 0, 10y +25bp produces approximate P&L = +3m×25? Sign must follow position convention. Using signed loss for rate increase: carefully multiply each key sensitivity by shock. The lesson is that offsetting total PV01 cannot predict slope P&L.

Key-rate vectors preserve shape.

Worked Example 4: NII versus EVE

Bank funds fixed-rate 5-year loans with deposits that reprice slowly. A +200bp rate shock initially raises deposit cost only 50bp but market value of loans falls sharply.

One-year NII may improve if asset/funding repricing dynamics favour bank, while EVE declines because long fixed cash flows are discounted at higher rates.

Both measures are necessary because they answer different horizons.

Worked Example 5: Deposit Beta

Benchmark rises 300bp; savings rate rises 90bp. Beta=30%. If competition later pushes savings rate another 90bp with no benchmark move, cumulative beta becomes 60%.

A model calibrated early in hiking cycle can understate later funding cost.

Beta is time-varying and strategic, not a universal constant.

Worked Example 6: Mortgage Extension Risk

Mortgage pool expected duration 4 years at current rates because prepayments are active. Rates rise sharply; refinancing incentive disappears and effective duration extends to 6 years.

A hedge sized to 4-year duration becomes too small exactly when asset values are falling. This is negative convexity/extension risk.

Behavioural option risk belongs inside ALM.

Worked Example 7: Swap Hedge

Bank has asset PV01 −S$5m/bp and liability PV01 +S$3m/bp, net −S$2m/bp under sign convention where rate rise causes negative asset value. A receive-floating/pay-fixed swap may add positive rate-rise sensitivity and reduce net exposure.

Size notional by swap PV01 per unit rather than face value.

Then test basis/curve shocks, not just parallel move.

Worked Example 8: Immunisation

Liability PV S$100m duration 7. Assets can be allocated between duration-4 bond and duration-10 bond. Solve weights w such that 4w+10(1−w)=7, giving w=0.5. Equal PV allocation matches duration in simplified setup.

Check convexity: if asset convexity exceeds liability convexity, local Redington conditions improve protection.

Rebalance as time passes.

Worked Example 9: Basis Risk

Loan portfolio reprices to 3m SORA+150bp; deposits reprice administratively and correlate only partially with SORA. SORA falls 100bp, loan coupons reset down fully but deposit rates fall only 40bp.

Asset yield falls faster than funding cost, compressing NII despite matched reset dates.

Basis is a separate ALM factor from gap.

Worked Example 10: Structural Hedge Error

Treasury assumes S$20bn NMD behaves like 5-year funding and receives fixed swaps accordingly. If customer behaviour shifts and effective duration falls to 2 years, hedge becomes over-long.

Rising rates can then create losses from a hedge designed to reduce risk under old assumptions.

Behavioural-model governance is therefore central to structural hedging.

IRRBB Is Multi-Dimensional

Basel’s current guidance explicitly identifies gap risk, basis risk, yield-curve risk and option risk. These can occur simultaneously. A bank can be matched by total duration yet exposed to slope; matched by tenor yet exposed to basis; matched contractually yet exposed to customer prepayment or withdrawal.

This is why multiple measures are required. NII captures earnings timing. EVE captures long-horizon economic value. Key-rate PV01 captures curve shape. Behavioural scenarios capture options. Stress tests connect them under severe rate paths.

Mira’s rule is to treat any one-number ALM metric as a projection, not the whole balance sheet.

A Professional ALM Workflow

1. Map every asset/liability cash flow, reset date and benchmark.
2. Separate contractual from behavioural maturities.
3. Build repricing ladders and NII projections.
4. Calculate PV/EVE and duration/PV01 by product.
5. Decompose key-rate, basis and option risk.
6. Model deposit beta/decay and loan prepayment.
7. Run parallel, slope, curvature and basis scenarios.
8. Size swaps/futures/securities hedges using sensitivities.
9. Compare NII and EVE trade-offs.
10. Rebalance structural/immunisation hedges as balances change.
11. Set limits and validate behavioural models.
12. Connect ALM outputs to liquidity, FTP, capital and stress testing.

Common Failure Modes

1. Amount matching called risk matching

Timing and benchmark matter. The repair is to return to cash-flow timing, rate basis and behavioural optionality.

2. Maturity used instead of repricing date

Floaters can mature late but reprice soon. The repair is to return to cash-flow timing, rate basis and behavioural optionality.

3. Gap sign interpreted without beta

Asset/liability pass-through can reverse simple result. The repair is to return to cash-flow timing, rate basis and behavioural optionality.

4. NII used as sole IRRBB metric

Long-term value risk can move differently. The repair is to return to cash-flow timing, rate basis and behavioural optionality.

5. EVE used as sole metric

Near-term earnings/funding stress can matter first. The repair is to return to cash-flow timing, rate basis and behavioural optionality.

6. Total duration hides curve shape

Use key-rate measures. The repair is to return to cash-flow timing, rate basis and behavioural optionality.

7. Basis risk ignored

Different indexes can diverge. The repair is to return to cash-flow timing, rate basis and behavioural optionality.

8. NMD treated as contractual overnight only

Behavioural persistence can matter. The repair is to return to cash-flow timing, rate basis and behavioural optionality.

9. NMD treated as permanent

Runoff/repricing risk can accelerate. The repair is to return to cash-flow timing, rate basis and behavioural optionality.

10. Mortgage cash flows treated as fixed

Prepayment/extension changes duration. The repair is to return to cash-flow timing, rate basis and behavioural optionality.

11. Hedge notional matched by face amount

Match sensitivity, not principal. The repair is to return to cash-flow timing, rate basis and behavioural optionality.

12. Immunisation treated as permanent

Time/rates/cash flows require rebalancing. The repair is to return to cash-flow timing, rate basis and behavioural optionality.

Formula Map

Measure	Simplified formula	Meaning
Repricing gap	RSA−RSL	Bucketed rate-sensitive balance mismatch.
NII sensitivity	NII_stress−NII_base	Earnings impact of rates.
EVE	PV(Assets)−PV(Liabilities)	Economic balance-sheet value.
Duration gap	D_A−(L/A)D_L	First-order economic-value mismatch.
PV01	≈−∂PV/∂r×0.0001	Currency value of 1bp.
Deposit beta	ΔDepositRate/ΔBenchmark	Funding-rate pass-through.

Authoritative Reference Map

• Basel Framework — Application Guidance on Interest Rate Risk in the Banking Book
• Basel Framework — Standards Navigator
• Bukit Timah Tutor — How Banks Measure Interest-Rate Risk
• Banking And Finance Closed Loop Systems — Interest Rates, Funding and ALM

Connected Banking And Finance Mathematics Route

• Complete Banking And Finance Mathematics System
• Duration, Convexity and DV01
• Yield Curves and Term Structure
• Bank Balance Sheets and NIM
• Bank Liquidity Mathematics
• Finance & Banking Algorithms

Applied Case Study 1: Fixed mortgages funded by savings

Situation. Assets reprice slowly, deposits behaviorally reprice. The task is to identify mismatch by tenor, basis and option rather than by notional alone.

Method. Model deposit beta/decay, mortgage prepayment and both NII/EVE. Adrian maps repricing, Jo models behaviour, Aisha computes NII/EVE/key-rate risk, and Ryan sizes hedge by sensitivity.

Boundary. Near-term NII and long-term EVE may conflict. Mira then asks which behavioural assumption would reverse the hedge or risk conclusion.

Applied Case Study 2: Floating corporate loans funded by term deposits

Situation. Assets reset faster than liabilities. The task is to identify mismatch by tenor, basis and option rather than by notional alone.

Method. Run rate-down scenario and basis changes. Adrian maps repricing, Jo models behaviour, Aisha computes NII/EVE/key-rate risk, and Ryan sizes hedge by sensitivity.

Boundary. Positive gap can hurt when rates fall. Mira then asks which behavioural assumption would reverse the hedge or risk conclusion.

Applied Case Study 3: Non-maturity deposits

Situation. Large current/savings balances have no legal maturity. The task is to identify mismatch by tenor, basis and option rather than by notional alone.

Method. Estimate behavioural maturity and structural hedge. Adrian maps repricing, Jo models behaviour, Aisha computes NII/EVE/key-rate risk, and Ryan sizes hedge by sensitivity.

Boundary. Model risk can dominate reported IRRBB. Mira then asks which behavioural assumption would reverse the hedge or risk conclusion.

Applied Case Study 4: Mortgage extension stress

Situation. Rates rise and prepayment collapses. The task is to identify mismatch by tenor, basis and option rather than by notional alone.

Method. Recompute effective duration and hedge requirement. Adrian maps repricing, Jo models behaviour, Aisha computes NII/EVE/key-rate risk, and Ryan sizes hedge by sensitivity.

Boundary. Negative convexity creates hedge drift. Mira then asks which behavioural assumption would reverse the hedge or risk conclusion.

Applied Case Study 5: Deposit competition

Situation. Competitors raise rates faster. The task is to identify mismatch by tenor, basis and option rather than by notional alone.

Method. Increase beta and migration to term deposits. Adrian maps repricing, Jo models behaviour, Aisha computes NII/EVE/key-rate risk, and Ryan sizes hedge by sensitivity.

Boundary. Funding repricing can exceed historical assumptions. Mira then asks which behavioural assumption would reverse the hedge or risk conclusion.

Applied Case Study 6: Yield-curve steepener

Situation. Long rates rise, short rates stable. The task is to identify mismatch by tenor, basis and option rather than by notional alone.

Method. Use key-rate EVE rather than parallel duration. Adrian maps repricing, Jo models behaviour, Aisha computes NII/EVE/key-rate risk, and Ryan sizes hedge by sensitivity.

Boundary. Total DV01 can miss slope loss. Mira then asks which behavioural assumption would reverse the hedge or risk conclusion.

Applied Case Study 7: Basis shock

Situation. SORA-linked assets and administratively priced deposits diverge. The task is to identify mismatch by tenor, basis and option rather than by notional alone.

Method. Stress index spread. Adrian maps repricing, Jo models behaviour, Aisha computes NII/EVE/key-rate risk, and Ryan sizes hedge by sensitivity.

Boundary. Matched reset dates do not eliminate basis. Mira then asks which behavioural assumption would reverse the hedge or risk conclusion.

Applied Case Study 8: Swap hedge

Situation. Treasury hedges duration with IRS. The task is to identify mismatch by tenor, basis and option rather than by notional alone.

Method. Size by PV01 and stress collateral/basis. Adrian maps repricing, Jo models behaviour, Aisha computes NII/EVE/key-rate risk, and Ryan sizes hedge by sensitivity.

Boundary. Hedge changes liquidity/counterparty profile. Mira then asks which behavioural assumption would reverse the hedge or risk conclusion.

Applied Case Study 9: Immunised liability

Situation. Bank/pension matches duration of liability. The task is to identify mismatch by tenor, basis and option rather than by notional alone.

Method. Match PV/duration and test convexity/key rates. Adrian maps repricing, Jo models behaviour, Aisha computes NII/EVE/key-rate risk, and Ryan sizes hedge by sensitivity.

Boundary. Immunisation requires ongoing rebalance. Mira then asks which behavioural assumption would reverse the hedge or risk conclusion.

Applied Case Study 10: Deposit runoff

Situation. Stress shortens NMD effective maturity. The task is to identify mismatch by tenor, basis and option rather than by notional alone.

Method. Recalculate EVE and liquidity simultaneously. Adrian maps repricing, Jo models behaviour, Aisha computes NII/EVE/key-rate risk, and Ryan sizes hedge by sensitivity.

Boundary. IRRBB behavioural risk can become liquidity risk. Mira then asks which behavioural assumption would reverse the hedge or risk conclusion.

Applied Case Study 11: Fixed deposit campaign

Situation. Bank extends funding maturity with term deposits. The task is to identify mismatch by tenor, basis and option rather than by notional alone.

Method. Compare higher funding cost with reduced gap/liquidity risk. Adrian maps repricing, Jo models behaviour, Aisha computes NII/EVE/key-rate risk, and Ryan sizes hedge by sensitivity.

Boundary. Cheapest funding is not always best ALM funding. Mira then asks which behavioural assumption would reverse the hedge or risk conclusion.

Applied Case Study 12: Structural hedge unwind

Situation. Balance shrinks unexpectedly. The task is to identify mismatch by tenor, basis and option rather than by notional alone.

Method. Measure hedge overhang and transaction cost. Adrian maps repricing, Jo models behaviour, Aisha computes NII/EVE/key-rate risk, and Ryan sizes hedge by sensitivity.

Boundary. A hedge can become exposure when underlying balance disappears. Mira then asks which behavioural assumption would reverse the hedge or risk conclusion.

Final Principle

ALM is the mathematics of balance-sheet timing. A bank can be matched in size and still mismatched in repricing, duration, basis, optionality or liquidity.

Gap analysis shows where rates reset. NII shows earnings sensitivity. EVE shows long-horizon value. Duration and PV01 translate rate moves into money. Key-rate measures preserve curve shape. Behavioural models turn legal cash flows into expected economic cash flows. Hedges and immunisation then reshape those sensitivities.

The strongest ALM framework refuses to optimise one metric in isolation and keeps earnings, value, liquidity and customer options connected.

The final owner in this batch moves from balance-sheet timing to payment timing: clearing, settlement, netting, RTGS, DVP/PVP and intraday liquidity-flow mathematics.

Deep Practice Lab 1: Build a repricing ladder

Map assets/liabilities into reset buckets, calculate gaps and simple NII shocks. Then add different asset/liability betas and compare.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 2: Calculate duration gap

Use asset/liability PV and durations, compute DGAP and approximate EVE loss. Compare with exact full repricing.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 3: Create key-rate ladder

Calculate PV01 at 2y,5y,10y,30y for assets/liabilities and net. Apply steepener/flattener/butterfly scenarios.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 4: Model NMD behaviour

Assign deposit beta, decay curve and effective maturity. Stress faster repricing/runoff and calculate NII/EVE effects.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 5: Immunise a liability

Choose two or three bonds/swaps to match PV, duration and key-rate sensitivities of a liability. Rebalance after one year.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 6: Build a repricing ladder

Map assets/liabilities into reset buckets, calculate gaps and simple NII shocks. Then add different asset/liability betas and compare.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 7: Calculate duration gap

Use asset/liability PV and durations, compute DGAP and approximate EVE loss. Compare with exact full repricing.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 8: Create key-rate ladder

Calculate PV01 at 2y,5y,10y,30y for assets/liabilities and net. Apply steepener/flattener/butterfly scenarios.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 9: Model NMD behaviour

Assign deposit beta, decay curve and effective maturity. Stress faster repricing/runoff and calculate NII/EVE effects.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 10: Immunise a liability

Choose two or three bonds/swaps to match PV, duration and key-rate sensitivities of a liability. Rebalance after one year.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 11: Build a repricing ladder

Map assets/liabilities into reset buckets, calculate gaps and simple NII shocks. Then add different asset/liability betas and compare.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 12: Calculate duration gap

Use asset/liability PV and durations, compute DGAP and approximate EVE loss. Compare with exact full repricing.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 13: Create key-rate ladder

Calculate PV01 at 2y,5y,10y,30y for assets/liabilities and net. Apply steepener/flattener/butterfly scenarios.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 14: Model NMD behaviour

Assign deposit beta, decay curve and effective maturity. Stress faster repricing/runoff and calculate NII/EVE effects.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 15: Immunise a liability

Choose two or three bonds/swaps to match PV, duration and key-rate sensitivities of a liability. Rebalance after one year.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 16: Build a repricing ladder

Map assets/liabilities into reset buckets, calculate gaps and simple NII shocks. Then add different asset/liability betas and compare.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 17: Calculate duration gap

Use asset/liability PV and durations, compute DGAP and approximate EVE loss. Compare with exact full repricing.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 18: Create key-rate ladder

Calculate PV01 at 2y,5y,10y,30y for assets/liabilities and net. Apply steepener/flattener/butterfly scenarios.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 19: Model NMD behaviour

Assign deposit beta, decay curve and effective maturity. Stress faster repricing/runoff and calculate NII/EVE effects.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 20: Immunise a liability

Choose two or three bonds/swaps to match PV, duration and key-rate sensitivities of a liability. Rebalance after one year.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 21: Build a repricing ladder

Map assets/liabilities into reset buckets, calculate gaps and simple NII shocks. Then add different asset/liability betas and compare.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 22: Calculate duration gap

Use asset/liability PV and durations, compute DGAP and approximate EVE loss. Compare with exact full repricing.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 23: Create key-rate ladder

Calculate PV01 at 2y,5y,10y,30y for assets/liabilities and net. Apply steepener/flattener/butterfly scenarios.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 24: Model NMD behaviour

Assign deposit beta, decay curve and effective maturity. Stress faster repricing/runoff and calculate NII/EVE effects.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 25: Immunise a liability

Choose two or three bonds/swaps to match PV, duration and key-rate sensitivities of a liability. Rebalance after one year.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 26: Build a repricing ladder

Map assets/liabilities into reset buckets, calculate gaps and simple NII shocks. Then add different asset/liability betas and compare.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 27: Calculate duration gap

Use asset/liability PV and durations, compute DGAP and approximate EVE loss. Compare with exact full repricing.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 28: Create key-rate ladder

Calculate PV01 at 2y,5y,10y,30y for assets/liabilities and net. Apply steepener/flattener/butterfly scenarios.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 29: Model NMD behaviour

Assign deposit beta, decay curve and effective maturity. Stress faster repricing/runoff and calculate NII/EVE effects.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 30: Immunise a liability

Choose two or three bonds/swaps to match PV, duration and key-rate sensitivities of a liability. Rebalance after one year.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 31: Build a repricing ladder

Map assets/liabilities into reset buckets, calculate gaps and simple NII shocks. Then add different asset/liability betas and compare.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 32: Calculate duration gap

Use asset/liability PV and durations, compute DGAP and approximate EVE loss. Compare with exact full repricing.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 33: Create key-rate ladder

Calculate PV01 at 2y,5y,10y,30y for assets/liabilities and net. Apply steepener/flattener/butterfly scenarios.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 34: Model NMD behaviour

Assign deposit beta, decay curve and effective maturity. Stress faster repricing/runoff and calculate NII/EVE effects.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 35: Immunise a liability

Choose two or three bonds/swaps to match PV, duration and key-rate sensitivities of a liability. Rebalance after one year.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 36: Build a repricing ladder

Map assets/liabilities into reset buckets, calculate gaps and simple NII shocks. Then add different asset/liability betas and compare.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 37: Calculate duration gap

Use asset/liability PV and durations, compute DGAP and approximate EVE loss. Compare with exact full repricing.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 38: Create key-rate ladder

Calculate PV01 at 2y,5y,10y,30y for assets/liabilities and net. Apply steepener/flattener/butterfly scenarios.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 39: Model NMD behaviour

Assign deposit beta, decay curve and effective maturity. Stress faster repricing/runoff and calculate NII/EVE effects.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 40: Immunise a liability

Choose two or three bonds/swaps to match PV, duration and key-rate sensitivities of a liability. Rebalance after one year.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 41: Build a repricing ladder

Map assets/liabilities into reset buckets, calculate gaps and simple NII shocks. Then add different asset/liability betas and compare.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 42: Calculate duration gap

Use asset/liability PV and durations, compute DGAP and approximate EVE loss. Compare with exact full repricing.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 43: Create key-rate ladder

Calculate PV01 at 2y,5y,10y,30y for assets/liabilities and net. Apply steepener/flattener/butterfly scenarios.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 44: Model NMD behaviour

Assign deposit beta, decay curve and effective maturity. Stress faster repricing/runoff and calculate NII/EVE effects.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 45: Immunise a liability

Choose two or three bonds/swaps to match PV, duration and key-rate sensitivities of a liability. Rebalance after one year.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 46: Build a repricing ladder

Map assets/liabilities into reset buckets, calculate gaps and simple NII shocks. Then add different asset/liability betas and compare.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 47: Calculate duration gap

Use asset/liability PV and durations, compute DGAP and approximate EVE loss. Compare with exact full repricing.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 48: Create key-rate ladder

Calculate PV01 at 2y,5y,10y,30y for assets/liabilities and net. Apply steepener/flattener/butterfly scenarios.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 49: Model NMD behaviour

Assign deposit beta, decay curve and effective maturity. Stress faster repricing/runoff and calculate NII/EVE effects.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 50: Immunise a liability

Choose two or three bonds/swaps to match PV, duration and key-rate sensitivities of a liability. Rebalance after one year.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 51: Build a repricing ladder

Map assets/liabilities into reset buckets, calculate gaps and simple NII shocks. Then add different asset/liability betas and compare.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 52: Calculate duration gap

Use asset/liability PV and durations, compute DGAP and approximate EVE loss. Compare with exact full repricing.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 53: Create key-rate ladder

Calculate PV01 at 2y,5y,10y,30y for assets/liabilities and net. Apply steepener/flattener/butterfly scenarios.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 54: Model NMD behaviour

Assign deposit beta, decay curve and effective maturity. Stress faster repricing/runoff and calculate NII/EVE effects.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 55: Immunise a liability

Choose two or three bonds/swaps to match PV, duration and key-rate sensitivities of a liability. Rebalance after one year.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 56: Build a repricing ladder

Map assets/liabilities into reset buckets, calculate gaps and simple NII shocks. Then add different asset/liability betas and compare.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 57: Calculate duration gap

Use asset/liability PV and durations, compute DGAP and approximate EVE loss. Compare with exact full repricing.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 58: Create key-rate ladder

Calculate PV01 at 2y,5y,10y,30y for assets/liabilities and net. Apply steepener/flattener/butterfly scenarios.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 59: Model NMD behaviour

Assign deposit beta, decay curve and effective maturity. Stress faster repricing/runoff and calculate NII/EVE effects.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 60: Immunise a liability

Choose two or three bonds/swaps to match PV, duration and key-rate sensitivities of a liability. Rebalance after one year.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 61: Build a repricing ladder

Map assets/liabilities into reset buckets, calculate gaps and simple NII shocks. Then add different asset/liability betas and compare.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 62: Calculate duration gap

Use asset/liability PV and durations, compute DGAP and approximate EVE loss. Compare with exact full repricing.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 63: Create key-rate ladder

Calculate PV01 at 2y,5y,10y,30y for assets/liabilities and net. Apply steepener/flattener/butterfly scenarios.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 64: Model NMD behaviour

Assign deposit beta, decay curve and effective maturity. Stress faster repricing/runoff and calculate NII/EVE effects.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 65: Immunise a liability

Choose two or three bonds/swaps to match PV, duration and key-rate sensitivities of a liability. Rebalance after one year.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 66: Build a repricing ladder

Map assets/liabilities into reset buckets, calculate gaps and simple NII shocks. Then add different asset/liability betas and compare.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 67: Calculate duration gap

Use asset/liability PV and durations, compute DGAP and approximate EVE loss. Compare with exact full repricing.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 68: Create key-rate ladder

Calculate PV01 at 2y,5y,10y,30y for assets/liabilities and net. Apply steepener/flattener/butterfly scenarios.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 69: Model NMD behaviour

Assign deposit beta, decay curve and effective maturity. Stress faster repricing/runoff and calculate NII/EVE effects.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 70: Immunise a liability

Choose two or three bonds/swaps to match PV, duration and key-rate sensitivities of a liability. Rebalance after one year.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 71: Build a repricing ladder

Map assets/liabilities into reset buckets, calculate gaps and simple NII shocks. Then add different asset/liability betas and compare.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 72: Calculate duration gap

Use asset/liability PV and durations, compute DGAP and approximate EVE loss. Compare with exact full repricing.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 73: Create key-rate ladder

Calculate PV01 at 2y,5y,10y,30y for assets/liabilities and net. Apply steepener/flattener/butterfly scenarios.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 74: Model NMD behaviour

Assign deposit beta, decay curve and effective maturity. Stress faster repricing/runoff and calculate NII/EVE effects.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 75: Immunise a liability

Choose two or three bonds/swaps to match PV, duration and key-rate sensitivities of a liability. Rebalance after one year.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 76: Build a repricing ladder

Map assets/liabilities into reset buckets, calculate gaps and simple NII shocks. Then add different asset/liability betas and compare.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 77: Calculate duration gap

Use asset/liability PV and durations, compute DGAP and approximate EVE loss. Compare with exact full repricing.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 78: Create key-rate ladder

Calculate PV01 at 2y,5y,10y,30y for assets/liabilities and net. Apply steepener/flattener/butterfly scenarios.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 79: Model NMD behaviour

Assign deposit beta, decay curve and effective maturity. Stress faster repricing/runoff and calculate NII/EVE effects.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 80: Immunise a liability

Choose two or three bonds/swaps to match PV, duration and key-rate sensitivities of a liability. Rebalance after one year.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 81: Build a repricing ladder

Map assets/liabilities into reset buckets, calculate gaps and simple NII shocks. Then add different asset/liability betas and compare.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 82: Calculate duration gap

Use asset/liability PV and durations, compute DGAP and approximate EVE loss. Compare with exact full repricing.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 83: Create key-rate ladder

Calculate PV01 at 2y,5y,10y,30y for assets/liabilities and net. Apply steepener/flattener/butterfly scenarios.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 84: Model NMD behaviour

Assign deposit beta, decay curve and effective maturity. Stress faster repricing/runoff and calculate NII/EVE effects.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 85: Immunise a liability

Choose two or three bonds/swaps to match PV, duration and key-rate sensitivities of a liability. Rebalance after one year.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 86: Build a repricing ladder

Map assets/liabilities into reset buckets, calculate gaps and simple NII shocks. Then add different asset/liability betas and compare.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 87: Calculate duration gap

Use asset/liability PV and durations, compute DGAP and approximate EVE loss. Compare with exact full repricing.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 88: Create key-rate ladder

Calculate PV01 at 2y,5y,10y,30y for assets/liabilities and net. Apply steepener/flattener/butterfly scenarios.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 89: Model NMD behaviour

Assign deposit beta, decay curve and effective maturity. Stress faster repricing/runoff and calculate NII/EVE effects.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 90: Immunise a liability

Choose two or three bonds/swaps to match PV, duration and key-rate sensitivities of a liability. Rebalance after one year.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 91: Build a repricing ladder

Map assets/liabilities into reset buckets, calculate gaps and simple NII shocks. Then add different asset/liability betas and compare.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 92: Calculate duration gap

Use asset/liability PV and durations, compute DGAP and approximate EVE loss. Compare with exact full repricing.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 93: Create key-rate ladder

Calculate PV01 at 2y,5y,10y,30y for assets/liabilities and net. Apply steepener/flattener/butterfly scenarios.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 94: Model NMD behaviour

Assign deposit beta, decay curve and effective maturity. Stress faster repricing/runoff and calculate NII/EVE effects.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 95: Immunise a liability

Choose two or three bonds/swaps to match PV, duration and key-rate sensitivities of a liability. Rebalance after one year.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 96: Build a repricing ladder

Map assets/liabilities into reset buckets, calculate gaps and simple NII shocks. Then add different asset/liability betas and compare.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 97: Calculate duration gap

Use asset/liability PV and durations, compute DGAP and approximate EVE loss. Compare with exact full repricing.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 98: Create key-rate ladder

Calculate PV01 at 2y,5y,10y,30y for assets/liabilities and net. Apply steepener/flattener/butterfly scenarios.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 99: Model NMD behaviour

Assign deposit beta, decay curve and effective maturity. Stress faster repricing/runoff and calculate NII/EVE effects.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 100: Immunise a liability

Choose two or three bonds/swaps to match PV, duration and key-rate sensitivities of a liability. Rebalance after one year.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 101: Build a repricing ladder

Map assets/liabilities into reset buckets, calculate gaps and simple NII shocks. Then add different asset/liability betas and compare.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 102: Calculate duration gap

Use asset/liability PV and durations, compute DGAP and approximate EVE loss. Compare with exact full repricing.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 103: Create key-rate ladder

Calculate PV01 at 2y,5y,10y,30y for assets/liabilities and net. Apply steepener/flattener/butterfly scenarios.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 104: Model NMD behaviour

Assign deposit beta, decay curve and effective maturity. Stress faster repricing/runoff and calculate NII/EVE effects.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 105: Immunise a liability

Choose two or three bonds/swaps to match PV, duration and key-rate sensitivities of a liability. Rebalance after one year.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 106: Build a repricing ladder

Map assets/liabilities into reset buckets, calculate gaps and simple NII shocks. Then add different asset/liability betas and compare.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 107: Calculate duration gap

Use asset/liability PV and durations, compute DGAP and approximate EVE loss. Compare with exact full repricing.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 108: Create key-rate ladder

Calculate PV01 at 2y,5y,10y,30y for assets/liabilities and net. Apply steepener/flattener/butterfly scenarios.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 109: Model NMD behaviour

Assign deposit beta, decay curve and effective maturity. Stress faster repricing/runoff and calculate NII/EVE effects.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.

Deep Practice Lab 110: Immunise a liability

Choose two or three bonds/swaps to match PV, duration and key-rate sensitivities of a liability. Rebalance after one year.

Complete the lab twice: once with contractual cash flows and once with behavioural assumptions. Ben should reconcile amounts, Clara should document reset/basis conventions, and Ethan should identify which assumption drives the largest difference.

Then compare NII and EVE under the same scenario. If they move in opposite directions, explain why. This is a central ALM skill: different horizons can tell different truths about the same balance sheet.