Asset and Liability Management Workshop: 3 Day Workshop Content

Objective

On completion of the workshop, participants will be able to:
  • implement an effective asset and liability management (ALM) policy manage the ALM function
  • understand the analytical framework of interest rate risk management
  • confidently apply ALM in derivatives products
  • develop familiarity with Value at Risk (VaR) concepts and application
  • understand important regulatory developments relevant to ALM.

Features

  • Fundamental asset and liability management principles exposed
  • Asset and liability risk management imperatives pinpointed
  • Key financial control issues identified
  • Asset and liability management jargon demystified

2 Day ALM workshop

The three day ALM workshop is also available in an abridged two day version.

Day 1

Foundations of asset and liability management

Setting asset and liability (ALM) policy and procedure

  • ALM defined
  • ALM process: identification, measurement and management of vital risk parameters
  • Asset and Liability Committee (ALCO)

Contemporary Asset and Liability Management Context

  • Financial markets volatility
  • Financial instruments: many and varie
  • The regulatory environment

ALM risk management

  • Interest rate risk management
  • Foreign exchange risk management
  • Liquidity risk management
  • Credit risk management
  • Trading/operational risks

Day 2

Techniques of interest rate risk management

Interest Rate Analysis Techniques
  • Matching
  • Gap management
  • Duration and convexity
  • Immunisation
Financial derivatives: their role in interest rate risk management
  • Financial futures
  • Forward rate agreements (FRAs)
  • Options
  • Swaps

Interest Rate Risk Strategies

  • Active management
  • Passive management
  • Rate anticipation

Day 3

Capital allocation and performance measurement

Liquidity Management

  • Liquidity management models
  • Liquidity and volatility

Integrating ALM and strategy

  • Role of derivatives
  • Portfolio rebalancing
  • Reducing portfolio riskiness

Transfer Pricing and Performance Measurement

  • Transfer pricing as a bank management tool
  • ALM implications

Value At Risk (VaR)

  • Rationale
  • Application
  • CreditMetrics

Capital Allocation

  • Risk-based capital standards
  • Risk Adjusted Return on Capital (RAROC)
  • Product and pricing implications

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