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Frankfurt School of Finance & Management

Treasury Management

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Learning Target

Complex challenges in Asset Liability Management arise from the interactions between funding strategies and the deployment of assets. ALM measures and manages the impact on earnings and economic capital arising from interest rate, forex and maturity mismatches. Counterparty credit risk and credit portfolio quality represent cross-cutting triggers that may accelerate an ALM crisis. The workshop emphasizes comprehensive scenario analysis and interactive stress testing applied to realistic cases that encourage best practice experiential learning and peer exchange.


Fundamentals of Asset & Liability Management Participants recap the fundamentals such as forex, money markets and fixed income, learn the organization of ALM, economic capital & ICAAP as well as the key regulatory developments.

Interest Rate Risk in the Banking Book Participants master the metrics for earnings and the economic capital impacts. They gain expertise about macro hedges of IRRBB & stress testing using the ALM-PRO Model and discuss recent market failures.

Structural Forex Exposures Participants study the forex risk in structurally vulnerable currency environments, gain profound knowledge in banking book forex risk scenarios, as well as hedging strategies simulated with the ALM-PRO Model.

Counterparty & Portfolio Credit Risk Participants broaden and deepen their understanding in expected vs. unexpected losses, correlation metrics and portfolio stress testing. They simulate portfolio stress events on the ALM-PRO platform and discuss the Financial Crisis Post Mortem.

Liquidity Risk Participants gain a better understanding in ratios, maturity gap, funding matrix, stress testing and deposit prolongation behavior analytics. Further, they review the Basel 3 Liquidity Guidance (LCR & NSFR) and model liquidity stress under various trigger scenarios as well as ILAAP.


Lecture, discussion, individual and group exercises, case studies

Who should attend

Treasury Management is designed for heads and senior managers in Treasury Departments and Dealing Rooms, Risk Management and Internal Audit of financial institutions as well as board members and upcoming board members who want to upscale their Treasury decision making skills.


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