An Intensive 3-day Training Course
Asset & Liability Management
Course Introduction
This Oxford Management Centre Asset Liability Management (ALM) training course will teach participants how to
manage a bank’s balance sheet in a prudent manner. It will identify the key risks to which banks are
exposed and show how these risks can be kept within a bank’s risk appetite. Banks will always be
exposed to the risks that arise from their maturity intermediation function. This course will equip
participants with the knowledge necessary to understand how these risks arise and the skills
required to manage them.
While people are conscious that credit losses such as those which triggered the 2008 global financial
crisis can trigger bank failure, they are less aware that banks holding credit risk-free assets are also
prone to collapse. The collapse of Silicon Valley Bank has highlighted once again that banks can
collapse when they pursue inappropriate asset liability management strategies. Mark-to-market
losses on unhedged fixed income portfolios become realised losses if these losses trigger
withdrawals, forcing asset sales, as depositors lose confidence in the bank. Uninsured deposits
magnify the risk of withdrawal since the holders of those deposits are especially conscious of the
bank’s financial position.
This Asset & Liability Management training course highlights:
• Understand the unique nature of banks
• Assess the stability of a bank’s funding sources
• Measure the interest rate sensitivity of bank assets and liabilities
• Implement hedging policies to manage interest rate risk in the banking book
• Develop contingency funding plans to address the risks of a bank run
Objectives
At the end of this Asset & Liability Management training course, you will have learned to
• Measure the stability of deposits
• Assess the risk to a bank’s net interest margin (NIM)
• Implement a funds transfer pricing (FTP) policy
• Develop a hedging strategy for a bank’s strategic investment portfolio
• Devise an internal liquidity adequacy assessment process (ILAAP)
Training Methodology
The course will be highly interactive building on the experience of course participants. ALM concepts
will be clearly explained and their practical implementation will be highlighted. Participants are
encouraged to share the ALM challenges which their organisation faces and these will be explored.
Excel models will be developed to demonstrate how ALM risks materialise and how these risks can
be measured and mitigated. Case studies will be used to show ALM issues in practice.
Organisational Impact
Employees attending this Asset & Liability Management training course will be better able to manage the bank’s ALM challenges:
• Understand ALM risks
• Assess the stability of the bank’s funding
• Develop strategies to target appropriate funding sources
• Implement hedging strategies to contain interest rate exposures within the bank’s risk appetite
• Engage with the bank’s regulators and address their concerns
• Devise bank ALM policy
Personal Impact
This Asset & Liability Management training course is intended to transform participants’ ability to contribute to the ALM process in a bank:
• Appreciate the risks attaching to maturity intermediation
• Measure the behavioural maturity of bank assets and liabilities
• Understand the effect of a deposit guarantee on depositor behaviour
• Measure the sensitivity of assets and liabilities to interest rate movements
• Contribute to the development of a bank’s ILAAP and contingency funding plan (CFP)
• Present to the asset liability committee (ALCO) on ALM strategy
Who Should Attend?
The current, more volatile interest rate environment presents ever greater risk to bank profitability. Knowing how to deal with this demands an understanding of the tools of ALM.
This Asset & Liability Management training course is suitable to a wide range of professionals but will greatly benefit:
• Bank Treasury and Finance Staff
• Bank Risk Management and Compliance Staff
• Central Bankers in Charge of Bank Supervision
• Bank Auditors
• Consultants and Lawyers
Course Outline
Day One
Introduction to ALM
- The unique nature of banking
- The structure of a bank balance sheet
- The manner in which banks generate income
- The risks to which banks are exposed
- Regulatory capital
- Net interest margin
- Measuring bank performance: return on risk-adjusted capital, economic value added
- The behavioural maturity of bank liabilities
- Regulatory requirements: Liquidity coverage ratio (LCR), net stable funding ratio (NSFR)
Day Two
Market Risk in Banking
- Accrual accounting vs mark-to-market accounting
- Trading book vs banking book
- Interest rate swaps, FRAs, cross-currency swaps
- Marking to market
- Valuation adjustments: CVA, DVA, FVA
- Measures of price sensitivity: modified duration, basis point value
- Measuring market risk of portfolios: value-at-risk (VaR) and expected shortfall
Day Three
Interest Rate Risk in the Banking Book (IRRBB
- Risks to net interest margin
- Gap analysis
Treatment of equity, non-maturity deposits and free funds - Structural hedging
- Income measures and economic value measures of interest rate risk
- Economic value of equity (EVE) vs Earnings at risk (EAR)
- Basel III IRRBB regulations (Apr/16)
- EBA IRRBB guidelines (Jul/18); PRA rules and guidance (Dec/21)
- Implementing the structural hedge
Certificate
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FREQUENTLY ASKED QUESTIONS
To check on availability please call Registrar’s Office at +971 50 985 0174. If you have any questions or enquiries please feel free to contact us
- Telephone: +971 50 985 0174
- E-mail: [email protected]
Yes, we provide assistance in securing both hotel reservations & entry visa on all our international training venues, for delegates attending our training courses. For further information / assistance, please contact our Customer Service at:
- Telephone: +971 50 985 0174
- E-mail: [email protected]
Yes, Oxford Management Centre is accredited by the following professional bodies;
National Association of State Board of Accountancy (NASBA)
The Oxford Management Centre is registered with NASBA as a sponsor of Continuing Professional Education (CPE) on the National Registry of CPE Sponsors. NASBA have final authority on the acceptance of individual courses for CPE credit.
Yes, discounts are available. For further information please call +971 50 985 0174 or email, [email protected]
Note: Discounts are not applicable with any other special offer that may be available.
There are 2 easy ways to register:
- Online: Select the training course you want to register for, Click the “Book Your Place” button on the course page, complete the form and click submit.
- E-mail: Send your details to [email protected]
We request that all cancellations be made at least one week before the class start date. You may reschedule this class without any penalty. If not, a $250 fee will be charged for cancellations received less than one week before a class begins and for no-shows. Cancellation penalties and any fees incurred by Oxford Management Centre will be deducted from refunds.
For more information request, email [email protected] or call +971 50 985 0174.
The classroom training fees include course presentation, relevant materials, physical & digital documentation, lunch and refreshments served during entire training. Accommodation and transportation are not included in the training course fees.
While, online training fees cover the course presentation and digital documentation and relevant materials.
The Oxford Management Centre Certificate of Completion with corresponding CPE credits shall be awarded to delegates who has successfully completed the training course.
Payment must be received before the training course commences. You can make payment by bank draft, cash, credit card or wire transfer.
Note: If the payment is not received, Oxford Management Centre has the right to refuse admission.
Upon receipt of your registration form, we will send you the following by e-mail:
- Registration Confirmation
- Invoice/Receipt (where appropriate)
If you register online you will receive an e-mail within 24 hours confirming your registration.
