Asset Liability Management

This two-day program focuses on the traditional, as well as the ever changing landscape of ALM. The traditional methods of identifying, measuring and managing risk are reviewed and up-to-date developments in risk measurement are explored with emphasis on the management and control of risk in financial institutions and how the ALM process integrates with the overall strategy of the firm. The goals, different risks and overall financial structure of the firm are also discussed.

Participants will learn how risk management techniques are employed within the context of asset and liability management (ALM).

12-Apr-2012 -- 13-Apr-2012New YorkUSD$2475
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Joseph Onochie; ] Thu Fri Level: Intermediate

11-Jul-2012 -- 12-Jul-2012New YorkUSD$2475
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Joseph Onochie; ] Wed Thu Level: Intermediate

15-Oct-2012 -- 16-Oct-2012New YorkUSD$2475
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Joseph Onochie; ] Mon Tue Level: Intermediate

CPE CREDITS
14.0
Risk managers and analysts, treasurers, pension fund managers, auditors, controllers, regulators, legal and compliance staff.
No advance preparation required.
Essentials of U.S. Capital Markets or equivalent knowledge of capital markets.
"This course discussed real-life examples."
"The strength of this course is that it deals with the global perspective of ALM."
"Concepts were clearly communicated and demonstrated."
"One strength of the course was its overall emphasis on credit risk analysis from top to bottom using various qualitative techniques."
"The instructor was thorough in dealing with underlying concepts."
  • Risk Management Suite
  • Credit Portfolio Risk Management
    • Day One
    Introduction to ALM
    • Risk
    • Return
    • ALM and Returns
    • ALCO

    Yield Curves

    • Theories
    • Types of Curves
    • Bootstrapping

    Futures and Forwards: Objectives

    • Futures Definition
    • Margins
    • Mark to Market
    • Over The Counter
    • Definition
    • Exchange Traded vs. OTC

    Forward Rate Agreements

    • FRA Definition
    • Terminology
    • Applications

    Eurodollar Futures - Short Dates: Objectives

    • Futures Strip
    • Strip Example
    • Applications

    Day Two
    Interest Rate Swaps: Objectives
    • Definition
    • Plain Vanilla Swap
    • Characteristics and Features of Swaps
    • Why Enter into a Swap
    • New Issue Arbitrage
    • Interest Rate Swap Pricing
    • Payment Frequencies

    Gapping

    • Net Interest Income

    Duration

    • Definition
    • Risk Measurement
    • Applications
    • Interest Rate Sensitivity
    • Convexity

    Present Value of A Basis Point

    • Identify Risks
    • Extending Gaps
    • Gaps and Futures Equivalents

    Value at Risk

    • Definition
    • Probability
    • Normal Distributions
    • Standard Normal Distributions
    • Confidence Levels
    • Example
    • VaR Methodologies
    • Correlation and Covariance
    • Riskmetrics™
    • The Greeks
    • VaR and Delta Normal
    • Monte Carlo Simulations
    • Historical Simulation
    • Applications

      Stress and Backtesting

        Capital

          Asset Securitization

          • Definition
          • Types of Asset Backed Securities

          Liquidity

            FAS 133

              Transfer Pricing

    Clients who register for this course will receive a complimentary 4-month subscription to FT.com. The Financial Times is the world's most respected financial newspaper, providing a broad assessment on finance, business and the industrial sector. The move to the electronic version follows an ongoing review of our environmental responsibilities as a global business and as part of the Pearson group. FT.com also has features that are not available in hard copy, such as: Special Reports, Alphaville, editor blogs, education sections and much more! Subscriptions will start within 6-8 weeks of the start of class and are limited to one subscription per client. (Please note: as of May 1, 2011, the electronic subscription replaces the hard-copy 3-month Financial Times subscription.)

    Lunch is included for all students taking day classes.