This chapter introduces the usage of R for commercial bank asset and liability management (ALM) purposes. The ALM function in a bank is traditionally associated with interest rate risk and liquidity risk management of banking book positions. Both of the interest rate positioning and liquidity risk management require the modeling of banking products. Nowadays, professional ALM units use complex Enterprise Risk Management (ERM) frameworks, which are able to incorporate the management of all risk types and provide an adequate tool for ALM to steer the balance sheet. Our general objective is to set up a simplified framework of ALM to illustrate the use of R for certain ALM tasks. These tasks are based on the interest rate and liquidity risk management and the modeling of non-maturing accounts.

This chapter is structured as follows. We start with the data-preparation process of ALM analysis. The process of planning and measurement needs special information...