From 25 Jun 2018 to 27 Jun 2018    Cyber and Information Security Management    in Kyiv / Ukraine

Risk Management: Asset & Liability Management

In cooperation with the House of Training Quality Circle in Risk Management and ALRiM

Objectives

The objective of this course is to provide the participants with an overview of fundamental as well as advanced techniques in Asset & Liability management.

Participants will:

  • get acquainted with ALM methods to deal with the daily issues facing ALM management departments in banks,
  • learn to get familiar with the key risk concepts and retain them through the use of illustrative examples and practical applications,
  • be able to analyse ALM frameworks and to understand how ALM standards are developed and how to implementing them in an efficient way in a bank, 
  • be able to integrate the learned concepts in their respective work as the course aims at mixing theoretical and practical aspects of ALM risk management in a systematic way.

Target Group

Top and medium level executives from banks (commercial and central), financial institutions or supervision authorities, involved in risk management, asset & liability management, treasury and internal control.

Location and duration

in HoT-ATTF partner countries: 3 - 4 days (depending if sequential translation or not)

Detailed programme Explode

DAY 1

  • Introduction to ALM
  • The Basics of ALM
  • Banking book / Trading book
  • Interest Rate Risk and Foreign Exchange risk
  • ALM and Liquidity Risk
  • ALM governance
  • The ALM function
  • Setting the ALM risk appetite
  • The role of the Asset and Liability Management Committee (the ALCo)

Case study: the ALCo

Interest rate risk:

  • Interest rate risk: impacts on Net Interest Income and Economic Value
  • Interest rate risk: repricing GAP analysis

Computer workshop:

  • Calculating the interest rate GAP report for a Bank

Day 2:

  • Investing the Own Funds of the Bank
    • Definition of a neutral level for Interest Rate Risk
    • Managing the two perspectives of interest rate risk: Earnings Risk and Economic Value Risk
    • Defining a neutral level for interest rate risk
  • Interest Rate Risk: duration of equity
    • Computer workshop : Measuring Interest Rate Risk in the Balance sheet by using duration of equity
    • Computer workshop: Measuring interest rate risk in the Balance sheet by using scenario analysis
  • Stresstesting : impact on earnings and on economic value of a Bank
  • ALM simulation models
  • The Basel Committee regulatory framework for measuring interest rate risk in the banking book

Day 3: 

  • Liquidity risk
    • Asset Liquidity Risk
    • Liquidity Risk Management for Banks
    • Internal Liquidity Adequacy Assessment Process (ILAAP)
  • Foreign Exchange (FX) Risk
  • Fund transfer pricing (FTP) systems:
    • objectives and methods
    • the role of the ALM center
    • non Maturing Liabilities (NoMALs)

Implementation of an ALM system

Q & A session

Important remark: all participants should bring along a portable PC to perform practical workshops by using Excel.

 

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