Overview

Asset and Liability Management (ALM) is crucial for managing risks and ensuring optimal levels of liquidity. This program examines the responsibilities of a bank’s Asset Liability function from a practical and performance-oriented perspective. It will cover critical topics including interest rate risk management, liquidity and funding, pricing decisions, and capital management.

Participant will gain knowledge on the basic financial issues addressed by ALCO and how alternative strategies are effectively assessed and implemented with an objective of maximizing sustained long- term performance while managing risk. They will also gain an understanding of the Asset Liability management process as it relates to assessing and implementing financial and risk management strategies with focus on interest rate risk, liquidity risk, funding alternatives, capital management and the securities portfolio.

Areas covered

• The evolving role of Asset and Liability Management [ALM]
• Linking Asset and Liability Optimization to Return on Equity
• Optimising Assets – Internal Rating Based (IRB) approach for Credit Risk
• Traded Market Risk
• Asset and Liability Gap Analysis
• Non-Traded Market Risk – Overview of IRRBB
• Beyond Pillar I
• Evolution of FTP and its role in managing Non-Wholesale Portfolios
• Deriving the FTP Curve
• Operating FTP
• Pricing with FTP
• Tools for Managing FX and IR Risk
• Applications for Cross Currency Swaps [XCCY] in managing FX and IR risk
• Future Challenges for ALM and wrap up