Asset and Liability Management

This financial management course designed by experts at the International Faculty of Finance helps you get the right balance when confronting asset and liability management processes with banks and financial institutions.

This interactive training course rapidly builds the knowledge and skills in the ALM arena. By the end of the course, you will enhance your practical understanding of strategic balance sheet management issues, such as the impact of Basel II and IAS requirements on ALM decision-making.

You will be more prepared to appreciate the conflicts that can arise at the ALCO level in the application of both earnings and valuation methodologies. Overall, you will have a comprehensive understanding of symmetric and asymmetric hedging techniques and develop effective balance sheet hedging strategies banking and credit management.

Content:

The ALM training course with IFF covers the following topics:

Successfully Implementing ALM

• Objectives of the modern ALCO
• Key success factors
• What targets to set?
• What risks to measure?
• Current trends in A/L management

Sample Banks Static Risk Assessment

• Overview
• Bank balance sheet review
• Financial reports
• Which bank do you want to be?

Strategic Liquidity Management

• Liquidity overview
• Cost of liquidity
• Liquidity and ALCO

Strategic Capital Management

• The role of capital
• Bank regulatory capital requirements
• Focus on economic capital
• The role of ALCO in capital planning

Funds Transfer Pricing

• Role of FTP
• Transfer pricing as a management tool
• FTP and ALCO

Understanding Structural Risk

• Managing disparate operational structures
• Identifying natural hedges

Quantifying Banking Book Risk

GAP Analysis

• Benefits and drawbacks
• Basic calculations
• Symmetry versus asymmetry

Valuation and Price Risk

• Valuing a bond
• Macaulay / modified / effective duration
• Duration and banking book risk

Static Risk Evaluation

• Comparisons so far incorporating GAP and duration risk elements
• Which Bank do you want to be?
• Applying a balanced risk/reward approach

Managing Banking Book Risk

Hedging in ALM

• Interest rate swaps
  -Structure
  - Presenting in GAP & valuation reports
  - Uses at ALCO
• Hedging concepts and objectives

Symmetric Hedging Decisions

Dynamic Simulation Analysis

• Basic approach
• Benefits and drawbacks
• Deterministic simulation approach
• Rate shock analysis

Interpreting ALCO Reports (Introduction)

Assessing Hedge Effectiveness

• GAP
• Valuation and price sensitivity
• Rate shocks

Hedge Effectiveness Round Table

Symmetric Hedge Simulation Results

Final Symmetric Hedging Decisions

Asymmetric Risk Analysis

Asymmetric Risk

• Evaluating embedded options
• Hedging with caps and floors

Sample Bank Simulation Results

• Review of rate shock profiles
• Asymmetric risk assessments
• Static vs dynamic risk comparisons

Asymmetric Hedge Decisions

• Assessing simulated risk profiles
• Asymmetric hedging strategies

Asymmetric Hedge Simulation Results

• Risk assessments and scores

Value at Risk vs. Earnings at Risk

• Methodologies compared
  –VaR
  –EaR

Advanced Analysis – Monte Carlo Overview

• Monte carlo process explained
• Methodologies compared
• Benefits and drawbacks

Applying Monte Carlo Analysis

• Assessing path risk
• Implications for A/LM

TRAINING METHODOLOGY

The training methodology combines lectures, discussions, group exercises and illustrations. Participants will gain both theoretical and practical knowledge of the topics. The emphasis is on the practical application of the topics and as a result participant will go back to the workplace with both the ability and the confidence to apply the techniques learned to their duties.

1ST BATCH:            19th – 22nd Mar, 2024                     

2ND BATCH:           30th July - 2nd Aug, 2024   

3RD BATCH:           12th - 15th Nov, 2024