Description: ALM keeps adapting. From duration-matching before 2008, to stress testing in the prolonged low-rate 2010s, to disintermediation risks in the sharp 2021–2023 rate hikes, each shock has reshaped the playbook. In my new paper, I argue for a practical way forward: matching the first 5–7 years of asset and liability cash flows and holding liquidity buffers, a balance between rigid full matching and simple duration management.

Description: This article offers a comprehensive approach for “lean” model risk management (MRM), i.e., the management of an MRM program with few or possibly one employee devoted to the role. It explores key objectives of an MRM program, essential process elements, tips for efficiency, and examine the use of artificial intelligence (AI) in the models themselves and as a tool to increase efficiency of the program.