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.
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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
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Interest Rate Risk Strategies
- Active management
- Passive management
- Rate anticipation
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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