Asset & Liability Management
Getting the right balance is always the challenge when banks and financial institutions looks at the issue of ALM. Many courses on the topic tend to be dry and text book driven, but this is the only Asset & Liability Management course that utilises a live simulation throughout the entire course. This unique approach rapidly builds the knowledge and skills in the ALM arena.
Course Highlights
By attending this highly intensive practical programme, you will:
- Learn how to assess the strengths and weaknesses in your current Asset and Liability Management process
- Benefit from practical hands-on training in the very latest best practice risk analysis techniques and strategies
- Dramatically enhance your practical understanding of strategic balance sheet management issues such as the impact of Basel II and IAS requirements on ALM decision making
- Appreciate the conflicts that can arise at the ALCO level in the application of both earnings and valuation methodologies to bank balance sheet management
- Gain a comprehensive understanding of symmetric and asymmetric hedging techniques and develop effective balance sheet hedging strategies banking and credit management
For details of the course trainer, please download the course brochure
Booking Information
| Dates | Prices | Book This Course | Discount |
|---|---|---|---|
| 27 - 29 Sep 2010 |
£ 2299 |
 |
-
|
| 07 - 09 Feb 2011 |
£ 2299 |
|
-
|
Course Programme
Day One
STRATEGIC BALANCE SHEET MANAGEMENT
Getting to Grips with how to Successfully Implement A/LM
- The purpose of the modern ALCO
- Key success factors
- Recognising what targets to set
- Identifying what risks to measure
- Recent trends in A/L Management
- Internal/external audit implications
- Valuation vs. accrual accounting
- Regulatory changes
Practical Session:
Delegates will identify the strengths and weaknesses in their businesses current approach to Asset & Liability Management.
Group Workshop
• Workshop objectives
• Market share dynamics
• Initial reports
The Business Plan
Each group will start with the same balance sheet consisting of a standard combination of fixed/floating assets and liabilities.The aim is to decide upon the strategic direction of their organisation, growing the balance sheet within realistic capital constraints. Selecting which product mix/market share will be the most profitable while controlling the level of risk.The balance sheets will then be assessed for size and profitability.
IDENTIFYING THE STRATEGIC ALM ISSUES
Understanding Liquidity and Capital in an ALM Context
- Liquidity overview
- The role of capital
- Bank capital requirements
The Function and Value of Funds Transfer Pricing in ALM
Role of FTP
Transfer pricing as a management tool
FTP and ALCO
Case study:
This exercise compares the various approaches to FTP, highlighting the key role it can play in controlling interest rate risk.
• Single Pool
• Double Pool
• Matched Funds
Group Session:
Business Plan Results
ASSESSING INTEREST RATE RISK
Understanding Gap Analysis
- Understanding the basic calculations
- Repricing vs.maturity
- Static, Cumulative and Dynamic Gaps
- Symmetry vs. asymmetry
- Advantages and disadvantages
Practical Session:
Dynamic gap analysis, with an emphasis on static vs. dynamic gap issues.
Grasping the Complexities of Valuation & Duration
- Valuing a bond
- Macaulay/Modified Duration
- Duration as an ALM tool
Day Two
EXAMINING HEDGING TECHNIQUES IN PRACTICE
Group Session:
• Basic ALCO report overview
• Gap and Duration Positions explained
Position Analysis
Groups will analyse their balance sheets and identify their exposures and risks.
- Analyse balance sheet positions using Gap and Duration analysis of actual positions
- Record their perceived exposures
- Decide and document target limits
Group Session:
Results taking into account the gap and duration risk elements.
Hedging in ALM
- Hedging concepts and objectives
- Interest Rate Swaps
- Structure
- Uses at ALCO
Symmetric Hedging Decisions
With the use of Interest Rate Swaps delegates will select their initial Hedging Strategies.
Simulation Results
- Groups analyse their overall competitiveness and risk/reward ratio
- Risk Assessments
- Scores
Computer Simulation - Uses and Abuses
- Basic approach
- Advantages and disadvantages
- Deterministic simulation approach
- Rate shocks
Practical Session:
Interpreting ALCO Reports
Group Session
1. Assessing Hedge Effectiveness Delegates will assess the effectiveness of a balance sheet hedge and make recommendations on its suitability using a range of ALCO Reports.
• Gap
• Duration
• Rate shocks
2. Symmetric Hedging Decisions
Delegates will then refine their initial Hedge Strategies using Interest Rate Swaps.
Day Three
USING ASYMMETRIC HEDGING TECHNIQUES
Group Session
• Review of Rate Shock Profiles
• Risk Assessments
• Scores
Asymmetric Hedge Techniques
- Evaluating embedded options
- The use of Asymmetric techniques
- Caps
- Floors
Asymmetric Hedge Decisions
- Assessing Simulated Risk Profiles
- Asymmetric Hedging Strategies
Group Session:
• Develop a comprehensive hedging strategy
• Reduce overall risk to within prescribed limits for earnings and value
Value at Risk vs. Earnings at Risk
- Methodologies compared
- VaR
- RAROC
- EaR
- Valuing the balance sheet
- Implications for ALM
Group Results
• Risk Assessments
• Scores
Fine-Tuning
The last chance to adjust hedges and produce the optimum risk/reward profile.
Group Reviews:
Each group will prepare and present their decisions from the last three days giving reasons/justification for their actions.Delegates will be encouraged to ask questions and constructively criticise the other groups’ actions.
Final Summarisation
- Round Table
- Final Scores
- Course Review
Home