Training Course: Asset Liability Management (ALM)

Understanding the Importance of Asset Liability Management: Strategies, Objectives, and Certification Pathways

REF: LM3254156

DATES: 22 - 26 Dec 2024

CITY: Dubai (UAE)

FEE: 3900 £

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Introduction

The collapse of SVB highlights that banks can fail for reasons beyond credit losses. Unmanaged mark-to-market losses can lead to withdrawals and bank runs, particularly when uninsured depositors lose confidence. Younger bankers must adapt to rising interest rates and understand the importance of managing interest rate risk.

An Asset Liability Management (ALM) training course provides banks with essential skills to manage their assets and liabilities effectively. This course covers sources of risk, funding stability, and interest rate risk management. It equips participants with the knowledge and skills necessary to understand and manage risks related to maturity intermediation in banking.

Course Objectives

  • Describe the role of the Asset Liability Management function within a bank.
  • Examine the regulations governing Asset Liability Management issues.
  • Develop strategies to manage Asset Liability Management risks.
  • Understand how the Asset Liability Management function can contribute to maximizing the bank’s return on equity while operating within the bank’s risk appetite.

Course Outlines

Day 1: Introduction to Banking

  • The unique nature of banking
  • The structure of a bank balance sheet
  • How banks generate income
  • Risks banks are exposed to
  • Regulations imposed on banks
  • Net interest margin
  • The yield curve
  • Discounted cash flow
  • Various forms of regulatory capital and funding: CET1, Tier 1, Tier 2, MREL
  • Capital requirements: credit risk, market risk, operational risk, interest rate risk
  • Regulatory capital requirements: Pillar 1, Pillar 2, and ICAAP
  • Measuring bank performance: return on risk-adjusted capital (RORAC), economic value added (EVA)

Day 2: Funding the Bank

  • Nature of bank assets and liabilities
  • Cash flow mismatch
  • Optionality embedded in bank balance sheets
  • Behavioral maturity of bank liabilities
  • Deposit guarantees
  • Liquidity regulations
  • Loan-to-deposit ratio
  • Regulatory requirements: Liquidity coverage ratio (LCR), net stable funding ratio (NSFR)
  • Funds transfer pricing
  • ILAAP, L-SREP
  • Liquidity stress test
  • Contingency Funding Plan

Day 3: Market Risk in Banking

  • Accrual accounting vs. mark-to-market accounting
  • Trading book vs. banking book
  • Fair value hierarchy
  • Interest rate swaps, FRAs, cross-currency swaps
  • Marking to market
  • Valuation adjustments: CVA, DVA, FVA
  • Price sensitivity of assets and liabilities
  • Measures of price sensitivity: modified duration, basis point value
  • Measuring market risk of portfolios: value-at-risk (VaR) and expected shortfall
  • Optionality measures and convexity
  • Capital for market risk-taking
  • Using derivatives to manage market risks
  • Counterparty credit risk
  • Clearing, collateral, and margining

Day 4: Interest Rate Risk in the Banking Book (IRRBB)

  • Risks to net interest margin
  • Gap analysis
  • Sources of risk: fixed, floating, and administered rate products
  • Treatment of equity, non-maturity balances, and free funds
  • Structural hedging
  • Types of risk: yield curve risk, customer optionality
  • Pipeline and prepayment risk
  • Non-performing loans
  • Risk management: repricing gaps, derivatives
  • Behavior of non-maturity deposits
  • Income measures of interest rate risk
  • Economic value measures of interest rate risk
  • Economic value of equity (EVE) vs. earnings at risk (EAR)
  • What to hedge, when to hedge, and how much to hedge
  • The trade-off between income and economic value
  • The link between liquidity risk and interest rate risk
  • Basel III IRRBB regulations (Apr/16)
  • EBA IRRBB guidelines (Jul/18)
  • PRA rules and guidance (Dec/21)

Day 5: The ALM Process

  • The Asset Liability Committee (ALCO)
  • ALCO roles and responsibilities
  • Setting risk appetite
  • Developing a contingency funding plan
  • Designing stress tests
  • Implementing the structural hedge

Conclusion

Asset Liability Management (ALM) is a critical component for the success of any banking institution. By enrolling in this Asset Liability Management training course, you will gain the knowledge necessary to understand the ALM process and effectively apply ALM strategies. Understanding the meaning of Asset Liability Management and its importance is key to securing a bank's success and maximizing its returns, so don’t miss this opportunity to enhance your skills and obtain an Asset Liability Management certification recognized in the industry.

Training Course: Asset Liability Management (ALM)

Understanding the Importance of Asset Liability Management: Strategies, Objectives, and Certification Pathways

REF: LM3254156

DATES: 22 - 26 Dec 2024

CITY: Dubai (UAE)

FEE: 3900 £

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