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New York Institute of Finance

Asset Liability Management

Oct 7—8, 2019
2 days
New York, New York, United States
USD 1989
USD 994 per day
Oct 7—8, 2019
Online
USD 1989
Mar 25—26, 2020
2 days
New York, New York, United States
USD 1591
USD 795 per day
+4 more options

How it works

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Description

Learn how to identify, measure and manage the interest rate risk, credit risk and liquidity risk on the balance sheets of firms, with particular emphasis on the balance sheets of financial institutions.

Prerequisite knowledge:

  • Fixed income arithmetic
  • Intermediate MS Excel skills
  • Elementary calculus

CURRICULUM

Day 1

MODULE 1: RISK FUNDAMENTALS

  • Taxonomy of risks
  • Elements of a risk model
  • Risk measures: VaR and expected shortfall
  • Model risk
  • Stress Testing

MODULE 2: INTRODUCTION TO ALM

  • Interest rate risk on the balance sheet
  • Liquidity risk on the balance sheet
  • Credit risk on the balance sheet
  • Banking book vs trading book: Hidden risks
  • ALM Governance and the pivotal role of the ALCO

MODULE 3: REVIEW OF FIXED INCOME ESSENTIALS

  • Rates, yields and term structures
  • Fixed income instruments
  • Repurchase agreements

Day 2

MODULE 1: INTEREST RATE RISK

  • First-order measures of rate and yield sensitivity
  • Determining the duration of a fixed income portfolio
  • First-order rate VaR
  • Second-order rate and yield sensitivity: Convexity
  • Optionality and negative convexity
  • Second-order rate VaR

MODULE 2: FUNDING GAP ANALYSIS

  • Funding gaps: maturity and repricing mismatches
  • Managing net interest income

MODULE 3: DURATION GAP ANALYSIS

  • Duration gaps
  • The duration of equity
  • Balance sheet immunization
  • Market value of equity

MODULE 4: SECURITIZATION: AN ALM TOOL

  • The rationale for securitization
  • Securitization mechanics
  • Cashflow structures
  • ALM applications

MODULE 5: CASE STUDIES

  • Northern Rock: Liquidity risk
  • Lehman: The run on repo
  • AIG: Mark-to-market and collateral

MODULE 6: DESK READY SKILLS KNOWLEDGE CHECK

** WHAT YOU'LL LEARN**

  • Understand the potential consequences of duration- and funding gaps on the balance sheet
  • Understand and apply portfolio immunization techniques
  • Calculate the duration of equity
  • Learn how to compute risk measures for the market (economic) value of equity
  • Understand the balance sheet management benefits of securitization
  • Understand the central role of ALM in the overall enterprise risk management of financial institutions
  • Learn best governance practices for the Asset-Liability Committee
  • Work through case studies to recognize early warning signs of impending liquidity and rate risk events

Who should attend

  • Risk managers and analysts
  • treasurers
  • fund managers
  • auditors
  • regulators
  • and legal and compliance staff.

Next dates

Oct 7—8, 2019
2 days
New York, New York, United States
USD 1989
USD 994 per day
Oct 7—8, 2019
Online
USD 1989
Mar 25—26, 2020
2 days
New York, New York, United States
USD 1591
USD 795 per day
+4 more options

How it works

Show more