1. Asset Liability Management Policy and Treasury Policy aid the management of Market Risk in Banking and Trading books. Overall responsibility of managing the market risk lies with the Asset Liability Committee (ALCO).

The Committee meets regularly and decides on the size, mix, tenor, pricing and composition of various assets and liabilities. It primarily does identification, measurement, monitoring and management of liquidity and interest rate risk. It uses tools such as Ratio analysis, Gap analysis reports- Structural liquidity, Dynamic Liquidity, Interest Rate Sensitivity etc, Value at Risk, Duration Gap Analysis etc for management of liquidity and interest rate risks. The fundamental focus is to add value both from the earnings perspective and from the economic value perspective.

The Bank has an independent mid office positioned in treasury and reporting to risk management. It ensures compliance in terms of exposure analysis, limits fixed and calculation of risk sensitive parameters like Value at Risk, PV01 (Present Value of 1 base point), Duration, Defeasance Period etc and their analysis.