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


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 1

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 2

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 3

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


Oxford Management Centre Certificate will be provided to delegates who successfully completed the training course.

In association with

GLOMACS Training & Consultancy

GLOMACS Training & Consultancy

Visit website

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3 Days
Choose the date and location that suits you:
Classroom Sessions
26-28 May 2024
Fee: $3,950
Book your place
03-05 Nov 2024
Fee: $3,950
Book your place



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