Asset and Liability Management

IFF Training

How long?

  • 3 days
  • in person

What are the topics?

IFF Training

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About the course

Attending this comprehensive course will result in increased profitability and shareholder value. In addition, it fulfills the ever-increasing need to comply with complex regulatory and audit requirements, such as the latest requirements for managing IRRBB.

Learning Objectives:

  • The measurement and control of ALM risks and opportunities
  • Identification of the key asset and liability risk management issues;
  • Identification of key financial control issues
  • Learn how to assess the strengths and weaknesses of ALM policies and procedures
  • Examine the key issues facing ALCOs
  • Explore the strengths and weaknesses of using static gaps
  • How to use duration gaps effectively
  • Understand the economic value of equity
  • Learn to hedge risks with derivatives
  • Risk management techniques
  • Defining the reports required by ALCO
  • Interpreting the reports required by ALCO

How You Will Learn

This case study and simulation driven course emphasises the practical applications of asset and liability management in the highly regulated environment in which banks must operate post Basel III. The extensive use of case studies, exercises and hedging simulations requires participants to work in groups and to use laptops loaded with Excel. There are simulations examining net interest income, duration gaps, the management of the economic value of equity as well as interest rate and currency risk management techniques.

Agenda Summary

  • An Introduction to Asset and Liability Management
  • Case Study: McKinsey
  • Case Study: HSBC - ALM Gaps
  • Case Study: Goldman Sachs - ALM
  • Contract Specifications
  • Case Study: Contract Specifications
  • Hedging an Equity Portfolio
  • Case Study: Hedging an Equity Portfolio
  • The Regulatory Environment
  • The Rules of Risk Management
  • Case Study: The Rules of Risk Management
  • The Laws of Investing
  • Case Study: The Laws of Investing
  • Swap Driven Bond Issues
  • Case Study: Swap Driven Bond Issues
  • FRA Hedging
  • Case Study: FRA Hedging
  • Case Study: JP Morgan Swaps
  • FRAs, Futures and Interest Rate Swaps
  • Case Study: FRAs, Futures and Interest Rate Swaps
  • How Hedging Works
  • Case Study: How Hedging Works
  • Asset & Liability Management - Key Themes
  • Exercise and Discussion: Key Themes in Asset & Liability Management
  • Asset & Liability Management - Key Issues for ALCOs
  • Exercise and Discussion: Key Issues in Asset & Liability Management
  • Case Study: OCBC & UOB - ALM
  • Case Study: Asset & Liability Management - Key Observations for ALCOs
  • Case Study: Reviewing the Effectiveness of the Senior ALM Committee
  • Case Study: The Rules of Risk Management
  • Managing Interest Rate Risk - 1
  • Case Study: Using Duration as a Hedging and an ALM Risk Management Tool
  • Managing Interest Rate Risk - 2
  • Case Study: Contrasting the use of FRAs and Futures in Asset & Liability Management
  • EVE and Hedging
  • Exercise: EVE and Hedging
  • Simulation: Asset and Liability Management - EVE and Interest Rate Sensitivity
  • Liquidity Coverage Ratios
  • Case Study: HSBC Liquidity Risk
  • Case Study: Challenges of Liquidity Risk Management and the LCR
  • Simulation: Hedging Duration Gaps
  • Case Study: Hedging Pitfalls
  • Case study: HSBC - market risk
  • Simulation: Interest Rate Hedging and Market-Making
  • Case study: ALM Lehman Brothers
  • Contingency Funding Plans
  • Case Study: McKinsey: anatomy of a liquidity crisis
  • Case Study: Multi-Currency Asset & Liability Management
  • Case Study: HSBC - Net Interest Income

Experts

Alan McDougall

Alan helps banks and their clients to manage risk. He has designed and delivered over 1600 highly interactive training days in more than 40 countries for the International Faculty of Finance, Goldman Sachs, Morgan Stanley, JP Morgan, HSBC, Deutsche Bank, Rabobank, BNP Paribas, Societe Generale, U...

Asset and Liability Management at IFF Training

From  3599 GBP$4,517

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Disclaimer

Coursalytics is an independent platform to find, compare, and book executive courses. Coursalytics is not endorsed by, sponsored by, or otherwise affiliated with any business school or university.

Full disclaimer.

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