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Rising Rates Force New Discipline in ALM and Liquidity Strategy
The deputy director of ALM risk at an Eastern European bank describes how aggressive rate hikes, balance sheet pressures, and deposit instability reshaped his institution’s liquidity and interest rate risk strategy, highlighting stress testing, conservative modeling, active portfolio oversight, and cross-bank collaboration as essential tools for resilience.
Jan 05, 2026
Center for Financial Professionals , ,
Tags:
ALM, Treasury and Liquidity Risk
The views and opinions expressed in this content are those of the thought leader as an individual and are not attributed to CeFPro or any other organization
• Aggressive rate hikes created significant mark to market losses and capital pressure
• Thousands of triggers and limits guide continuous monitoring of securities portfolios
• A floating rate mortgage book and stable funding base provided natural hedging
• CRR Quick Fix offered temporary regulatory relief during volatility
• Deposit stability required close coordination with retail and corporate teams
• Revised modeling assumptions and duration risk appetite enhanced flexibility
• Amortized cost portfolios support liquidity via central bank pledging
• Shared challenges across institutions reinforce the value of industry dialogue
• Thousands of triggers and limits guide continuous monitoring of securities portfolios
• A floating rate mortgage book and stable funding base provided natural hedging
• CRR Quick Fix offered temporary regulatory relief during volatility
• Deposit stability required close coordination with retail and corporate teams
• Revised modeling assumptions and duration risk appetite enhanced flexibility
• Amortized cost portfolios support liquidity via central bank pledging
• Shared challenges across institutions reinforce the value of industry dialogue
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