ABN Amro Applies A/L Risk Mgt

CHICAGO, Illinois--Treasury officials at ABN Amro North America are in the process of implementing a new asset/liability management (ALM) framework that allows for modeling and managing interest rate risks and liquidity risks inherent in both its on- and off-balance sheet instruments. In general, the treasury's mix of assets and liabilities can pose more difficulties for risk strategists than the trading book, because the treasury book may include everything from complex derivatives to deposit

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