Asset Liability Management Practices for Community Banks

The Market Risk Council, along with the Community Bank Risk Council of The Risk Management Association conducted a survey on the best practices within the area of market risk management with smaller financial institutions ($10 billion in assets and under). This Web-based survey is part of an ongoing exchange of information reflecting RMA's continuing efforts to help members better understand the nature of the types of market risk within financial institutions.

Research Objectives

The results of the survey provide valuable insight into common industry practices and the degree to which certain market risk techniques have achieved general acceptance and standardization.

This survey focuses on practices for market risk management within smaller institutions, including questions for comments describing the impact the 2008 credit crisis and market disruptions have had on market risk management practices. The final report details the most prevalent methods, tools, and decision processes used to determine leading practices.

Specific Objectives

  • Types of information to be surveyed.
  • General characteristics.
  • Scope of asset/liability.
  • Risk assessment and culture.
  • Organizational structure and governance.
  • ALCO meeting process.
  • Risk measurement.
  • Hedge management.
  • Liquidity management.
  • Interest rate risk management.

Deliverables

The final report was issued in March 2011, to survey participants only. This comprehensive report contains detailed findings in its 200+ pages clearly describing the most prevalent methods, tools, and decision processes used to determine leading practices. View a synopsis of the Asset/Liability Management Practices for Community Banks (PDF). To purchase the complete survey, please contact Rosemarie Casler, 215-446-4081 or rcasler@rmahq.org. The cost of the report is $595 for an RMA member and $995 for a nonmember.

Institutions interested in participating in future market risk studies should contact Fran Garritt, Director, Market Risk and Securities Lending at fgarritt@rmahq.org.