Market, Liquidity and ALM Risk — Jonas Osman Abdelfour
Market, liquidity and ALM risk analysis, ICAAP and ILAAP support, and disciplined stress testing across banking books.
Market and liquidity risk work covers the mechanics — VaR, IRRBB, LCR/NSFR, funding profiles, behavioural assumptions — and the governance around them: limits, escalation, contingency funding, and the credibility of stress testing.
What this work covers
A representative — not exhaustive — set of areas addressed in engagements of this type.
- Market risk governance
- VaR and sensitivity analysis
- Interest-rate risk in the banking book
- Liquidity risk management
- LCR / NSFR frameworks
- Funding & contingency funding plans
- Behavioural assumptions review
- ALM oversight
- ICAAP support
- ILAAP support
- Stress testing methodology
- Recovery indicators
How it operates in practice
Engagements test whether limits are calibrated to appetite, whether stress assumptions are severe enough to be useful, and whether the ICAAP and ILAAP narratives credibly reflect the institution's business model.
Related insights
All insights →- Financial RiskDesigning a risk appetite that actually guides decisions
Why most risk appetite statements do not constrain decisions — and how to design ones that do.
- Financial RiskMarket risk governance for banking books
The governance disciplines that make market risk limits and stress testing decision-useful.
- Financial RiskLiquidity risk management in practice
LCR/NSFR frameworks, behavioural assumptions and contingency funding plans that hold up under stress.
- Financial RiskAsset and liability management fundamentals
Coherent ALM: measurement, hedging and governance across interest-rate, liquidity and FX risk.