Asset and Liability Management

Level: Intermediate 

Learning path: 

Prerequisite courses 

  • Introduction to Basel II, III 
  • ACI Operations Certificate, or 
  • ACI Dealing Certificate 

Post course learning path: 

  • ACi Diploma 

Target Audience: The workshop will be beneficial to: 

  • Treasury management 
  • Risk Officers 
  • Accounting and Finance Managers 
  • Asset Managers 
  • Liquidity Managers 
  • Risk Managers and Risk Controllers 
  • Auditors and Bank Regulators 

Duration: 6 – 8 hours 

Learning OutcomesIn banking industry, ALM practice is concerned with managing the two main strands of risks — that is interest rate risk and liquidity risk.  

This comprehensive workshop will give delegates a thorough understanding of managing interest rate & liquidity risk and exploring best practice in risk reporting, contingency planning and regulatory compliance. 

This course will explore the issues and challenges of Asset and Liability Management for bank risk managers, auditors, and regulators. The course will emphasise practical advantages and disadvantages of risk measurement and management tools and techniques, using samples of best practice risk reports.  

 

Workshop topics & Learning Outcomes 

  • Bank Business Model, Activities and Balance Sheet Structure 

LEARNING OUTCOMES 

  • The types of banks and business model activities 
  • Financial intermediation defined 
  • Banks activities 
  • Banks balance sheet structure 
  • Banking and trading book 
  • The History and Organisation of ALM 

LEARNING OUTCOMES 

  • History of ALM 
  • ALM information systems 
  • ALM organization 
  • ALM process 
  • ALM Key concepts 
  • The ALM desk 
  • ALM policy 
  • The ALCO 
  • Liquidity Risk Management 

LEARNING OUTCOMES 

  • Liquidity concepts 
  • 10 Bank liquidity risk management principles 
  • Securitization 
  • Interest Rate Risk Management 

LEARNING OUTCOMES 

  • Term structure of interest rates 
  • The yield curve 
  • Types of yield curves 
  • Discount factors 
  • Forward rates 
  • Interbank deposits 
  • Certificate of deposits 
  • Treasury Bills 
  • ALM Insights 

LEARNING OUTCOMES 

  • Motivation and business Rationale 
  • Liquidity Management Failures 
  • Liquidity Measurement Failures 
  • Misunderstanding and M

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