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Published : 2022-02-04
Vol. 85 No. 4 (2021)

Evaluation of changes occurring in ALM models of banks in Poland after the outbreak of the COVID-19 pandemic

Ewa Cichowicz

https://orcid.org/0000-0002-9379-9127

Agnieszka K. Nowak

https://orcid.org/0000-0001-7785-3165

DOI: https://doi.org/10.26354/bb.4.4.85.2021

Abstract

The purpose of this paper is to assess the changes in the models of balance sheet structure management in banks in Poland after the outbreak of the COVID-19 pandemic. The main focus is on the changes in the interest rate risk profile in the banking sector, resulting from the low interest rate environment and other reasons after the events of early 2020. The key element of the models, referred to as Asset and Liability Management (ALM) models, is the management of financial result and risk in the banking book (including liquidity and interest rate risk). Lately the large-scale materialization of liquidity risk occurred during the global financial crisis. Since then, the regulatory standards and the tools implementing  them have been revised and properly supplemented. In turn, the post-pandemic changes triggered an increase in interest rate risk exposure. The deterioration of financial results, as well as the almost "forgotten" risks turned out to be as severe in their consequences for banks as credit, market or operational risks. This paper evaluates the impact of the change in interest rates after the outbreak of the Covid-19 pandemic on the performance and structure of balance sheets in banks in Poland in terms of adjustment strategies.

Keywords:

Low Interest Rate Environment, Interest Rate Risk, Asset and Liability Management (ALM)

JEL Codes

E43, E58, G01, G21, G28


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Cichowicz, E., & Nowak, A. K. (2022). Evaluation of changes occurring in ALM models of banks in Poland after the outbreak of the COVID-19 pandemic. Safe Bank, 85(4), 79–100. https://doi.org/10.26354/bb.4.4.85.2021

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