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IFF Training

The Mechanics of Asset and Liability Management (Online)

Sep 25, 2019—Jan 15, 2020
Modules info
Online
GBP 2830 ≈USD 3441
Feb 12—Jun 30, 2020
Modules info
Online
GBP 2830 ≈USD 3441

How it works

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Description

An intensive online course which will guide you through the complex world of asset and liability management. Expert training delivered 100% online

Course Structure

The course takes place over 16 weeks and compromises eight core units. The units will be released every two weeks from the start of the course. Download the units or study completely online.

Assessment and Post Graduate Certification

At the end of each unit there is an assessment that will allow you to benchmark your growth in knowledge and understanding. For those wishing to receive a Post Graduate Certificate from Middlesex University, an additional marked assignment of 5000 words will also need to be submitted.

Syllabus Modules

Unit 1 - ALM for Banks in Context

Learning Objectives

  • A sound understanding of Asset Liability Management (ALM) in terms of the scope, coverage and institutions to which to which it applies
  • A sound understanding of the importance of ALM, specifically to banks
  • A critical appreciation of the concepts which underpin banking:
    • Why banks exist and their economic rationale
    • What they do
    • The structure of bank financial statements
    • Introduction to performance measurement in banks
  • How asset and liability management contributes to the financial wellbeing of banks
  • A critical appreciation of the core areas of capital, liquidity and interest risk management and the central role of regulation
  • A sound understanding of importance of sound governance and management of the ALM function in banks

Unit 2 - Risks in Banking and the Function of ALM

The primary sources of risk inherent in banking and, in particular ALM * The economics of risk management and why this is important * What is meant by Enterprise-Wide Risk Management and why it is important in ALM * ALM in banking, with particular reference to the scope of the ALM function, the relationship between the treasury function and ALM, and key issues that influence a bank’s approach * Key ALM activities, including the mismatch in management and performance measurement, Funds Transfer Pricing (FTP), and liquidity management * Key challenges in risk management and ALM, including technology * and people.

Unit 3 - Roles, Responsibilities, and Constraints of ALM

To understand and be able to explain:

  • The importance of ALM to the achievement of strategic objectives and the creation of shareholder value
  • The role and importance of capital management within ALM
  • The international regulatory framework for banks (Basel III) - origins and aims of Basel III and the Basel Committee today
  • Key principles of Basel III, including minimum capital, leverage ratio, and liquidity requirements, including differing, UK, US and European perspectives
  • Responsibilities for risk disclosure and the regulatory framework for disclosures
  • The impact of Basel III and criticisms against Basel III
  • Role and responsibilities of the board of directors and the role, composition, authority and workings of the senior ALM committee

Unit 4 - ALM and Market Risk

To understand and be able to explain:

  • The meaning and importance of market risk
  • Sources of market risk
  • Traditional techniques to identify market risk, including gap analysis, duration analysis, scenario analysis
  • Value-At-Risk (VAR) and its advantages and disadvantages
  • Methods that can be used for calculating VAR, including the historical method, parametric method and Monte Carlo method
  • The Economic Value of Equity (EVE), its advantages and disadvantages and how to calculate it

Unit 5 - ALM and Capital Risks

To understand and be able to explain:

  • The definition and role of bank capital
  • How to measure bank capital and exposures?
  • Different types of bank capital
  • Internal Capital Adequacy Process (ICAAP) and Pillar 2
  • Risk governance, appetite and strategy, in terms of defining the extent of responsibility, accountability and involvement of senior management; defining and articulating the risk appetite; and reconciling capital planning and strategic planning

Unit 6 - ALM and Liquidity Risk

  • The importance of understanding liquidity risk vis-à-vis financial crises
  • Liquidity management and liquidity risk, in terms of funding (cash flow) liquidity risk and market (asset) liquidity risk
  • Measuring and managing market liquidity risk
  • The nature and importance of liquidity resources
  • The operation of Funds Transfer Pricing (FTP) and the determination of FTP rates
  • Liquidity risk measurement and management as regards Basel III, with respect to the liquidity index, deposit insurance and purchasing liquidity vs. using stored liquidity

Unit 7 - ALM Techniques

To understand and be able to explain:

  • The relevance of hedging and the types of derivative instruments used for such purposes in ALM
  • The principles of hedging, both through derivatives diversification
  • The meaning and importance of financial futures and their relevance to ALM
  • The structuring financial futures through futures contracts
  • The role and importance of future margins
  • The use of interest rate futures to hedge a gap position
  • The meaning and importance of options and their relevance to ALM

Unit 8 - The Future of ALM

To understand and be able to explain:

  • What the future may hold beyond Basel III in terms of potential regulatory challenges and changes ahead
  • Potential capital impact for the banking industry and different sectors
  • Potential variations in capital impacts between geographies, institutions of different sizes and business model
  • Likely adaptations to the current regulation
  • The potential future of ALM in light of changes
  • Beyond the reactive, after-the-fact ALM process
  • Why ALM must recognise that asset origination and liability raising has to be connected

Experts

Roger Mills is an Emeritus Professor at the University of Reading. For more than 20 years, he was Professor of Finance and Accounting at Henley Management College, now Henley Business School and, subsequently, a Professor Dr in the VU University, Amsterdam. Roger has a unique blend of academic ...

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Next dates

Sep 25, 2019—Jan 15, 2020
Modules info
Online
GBP 2830 ≈USD 3441
Feb 12—Jun 30, 2020
Modules info
Online
GBP 2830 ≈USD 3441

How it works

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