Asset Liability Management (ALM) Certification Training Course

Why select this training course?

Asset and liability management has become an indispensable part of the banking system. However, asset and liability may sound like a weird combination. Still, in some originally underlying parts and through the recent achievements in the financial crisis, they have become similar and closely aligned. Both asset and liability management have a major underlying interest rate risk. It is through the study of assets and liability that the interest rate risks are aligned.

Why is it important to master Asset Liability Management Skills?

• Which part of assets and liability management is important?
• What are the benefits of studying assets and liability management?
• Are there career opportunities in banking for asset and liability managers?

What are some major ALM skills?

Skills in asset liability management are crucial for financial professionals who want to excel in the field. These skills typically include:

• Understanding of financial products and markets
• Risk management
• Financial modeling
• Strong analytical skills
• Communication and Collaboration

The Asset Liability Management (ALM) Certification Training Course by Rcademy is well designed to enable participants to gain a practical understanding of the areas of asset and liability frameworks, the financial institution’s initiatives in developing processes and measures, the methodologies and tools used to ensure that assets and liabilities are well managed. The participants will also gain experience in procedures, techniques, related tools, processes, and policies related to assets and liability management. Consequently, becoming experienced experts in the ethical standards and best international practices defined in their regulations and international understandings. The course will cover risk-related responsibilities in asset and liability management, market risks in assets, market risk measurements, stress testing, liquidity risks, governance and risk approach benefits, historical developments in asset and liability management, and principles of assets and liability management.

Who should attend?

The Asset Liability Management (ALM) Certification Training Course by Rcademy is ideal for the following professionals:

• Supervisory agencies.
• Mutual funds managers.
• Multi-lateral financial institutions.
• Derivative exchanges officers.
• Brokerage houses.
• Product advisors.
• Law firm managers.
• Portfolio manages.
• Treasury staff.
• Technology managers.
• Financial controllers.

What are the course objectives?

The objectives of the Asset Liability Management (ALM) Certification Training Course by Rcademy are to enable participants to:

• Understand and correctly apply the main principles that make ALM a success
• Apply the knowledge learned to balance sheet management using tested methodologies
• Discover the elements of the asset risk management process.
• Successfully learned to integrate balance sheet optimization with BAU
• Understand and appreciate the role of ALM in the current and past financial situation
• Understand the roles and influence of ALM in the treasury.
• Gain a better view of risk stress testing and its importance in countering financial crises
• Discover ways to steer the balance sheet through FTP
• Understand the asset and liability portfolio management techniques using modern methods and tools to ensure guaranteed success in commodity markets, forex, and fixed income
• Understand how to assess liquidity pools and utilize active capital management
• Apply the skills acquired to manage the existing risks and make profits
• Describe and understand historical developments in assets and liability management
• Formulate strategies for the management of the existing risks at their organizations
• Understand risk tolerance regarding assets and liability management
• Understand how to use stress testing for funding decisions and forecasting

How will this course be presented?

The Asset Liability Management (ALM) Certification Training Course by Rcademy will be facilitated by professionals using the following methods:

• Presentations
• Lecture notes
• Short videos
• Exercises
• Case study
• Examples

What are the topics covered in this course?

Module 1: Interest Rates

• Interest rates shift, bow, and twist over time.
• Value measurements include discount factors, present value, rates, and future value.
• Credit spreads and credit risks.
• Duration of loans and convexity.
• Prepayment risks with loans.
• Loan bond and mortgage calculations.
• Default risk and loss.
• Second-order rate and yield sensitivity.
• First-order measures of rate and yield sensitivity.
• First-order rate VaR.
• Optionality and negative convexity.
• Determining the duration of a fixed income portfolio.

Module 2: ALM Tools for Securitisation

• The Rationale behind Securitisation
• Cashflow structure
• The mechanisms used in Securitisation
• ALM applications
  – Immunisation
  – Cash flow matching
  – Liquidity risks, liquidity limits, liquidity ratios, and liquidity contingency plan
  – Portfolio dedication

Module 3: Financial Futures

• The new architecture in derivatives
• Bond convexity and duration
• The fundamentals of short-term futures
• Bond portfolio theory
• Calculating bond prices
• Long term derivatives
  – Defining interest rate swap.
  – Managing bond price risks.
  – Statistics in derivatives.

Module 4: Risk Measuring Techniques

• Core elements of Value at Risk (VaR).
• Rate shocks.
• Sensitivity parameters.
• Implementation of VaR.
• Simple calculations.
• Simulation methodologies.
• Transfer pricing as a tool.
• Correlation and covariance.
• Monte Carlo simulation.
• VaR Greeks and calculation.

Module 5: Funding and Forex

• Pricing the forex forwards.
• What are funds transfer pricing (FTP)?
• Forex forward and fundamental swap concepts.
• Best practices in funds transfer pricing.
• The role of bank capital.
• Credit loss modeling fundamentals.
• Market risk and the trading book.
• Credit risk weighting under BASEL.
• Credit spreads and default swaps.
• Regulated capital.

Module 6: Stress Tests

• VaR, FTP, and EAR.
• Economic capital.
• Advances.
• Price sensitive gap.
• Interest rate gap.
• The market value of equity analysis.
• Duration gap analysis.
• Cost to close.
• Earning at risk (EAR).
• Measurement tools in ALM.
• Net interest income (NII) at risk.

Module 7: ALM Guide

• History and process of ALM.
• The asset and liability management desk.
• Applicable policies in asset and liability management.
• Liquidity risk management framework.
• Stress testing within the balance sheet.
• Fund transfer pricing management.
• Assets and liability management information system.
• Challenges for the treasury risk framework.
• Capital management and regulatory bodies integration.
• Managing and optimizing the balance sheet.
• ICAAP and ILAAP handling.
• Evolution of the ALM and ALCO process.
• Types of yield curves.

Module 8: Interest Rates Risk Measurements and Overview

• Using effective convexity.
• Core elements in duration.
• Arbitrage models.
• Modeling and management tools in interest rates.
• Basis risk.
• Hedging duration and convexity.
• Calculations and practical examples in sensitivity parameters.
• Equilibrium models.
• Types and impact of interest rates risks.
• Concept of negative durations.
• Macaulay duration.
• Deterministic vs stochastic models.
• Modified duration.
• Earnings vs shareholder values.