Course description
Asset and Liability Management - 3 day course in London or in house training for your team
This 3-day 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.
Upcoming start dates
Suitability - Who should attend?
This course is suitable for professionals looking to explore the major approaches to the measurement and management of structural risk and hedging techniques.
Training Course 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
Day 2
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
Day 3
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 - Valuing the balance sheet
- Implications for ALM
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
Final Sample Bank Reviews
Round Table & Course Closure
Reviews
Average rating 4.8
Very good introduction to the ALM world
Very good, logical order.
Expenses
The cost of this 3-day training course is £2,399 + VAT per delegate.
In House / In-company Training
IFF, International Faculty of Finance, can also deliver this course as in house training, to meet the specific requirements of your team.
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International Faculty of Finance - IFF Finance - Specialist Training Courses
As one of the world's leading specialist financial training organisations, The International Faculty of Finance provides participants in the global financial markets with intensive technical training programmes designed to help them succeed on the global stage. Established in 1991 we...
Highly useful, great oversight and exercises right on topic