Who should attend
Treasury Management is designed for participants of our Certified Expert in Treasury and Markets programme who have successfully completed all e-learning modules as well as for senior staff in treasury and trading, risk management, compliance and internal audit of banks and financial institutions who want to upscale their decision making skills in financial products.
About the course
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.
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
Videos and materials
Because of COVID-19, many providers are cancelling or postponing in-person programs or providing online participation options.
We are happy to help you find a suitable online alternative.