Asset Liability Management- Virtual Series

New York Institute of Finance

ITEM ALMVS2023

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17

Asset Liability Management- Virtual Series

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

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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

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

Module 1: Interest Rate Risk- Overview & Measurement

  • Modeling interest rate risk
  • Deterministic vs. Stochastic models
  • Arbitrage models
  • Equilibrium models
  • Types of Interest Rate Risks
  • Yield Curve Risk
  • Equilibrium models
  • Basis Risk
  • Macaulay Duration
  • Modified Duration
  • Core Elements of Duration
  • Convexity Concept
  • Duration gap of Equity
  • Earnings versus Shareholder Value
  • Effective Duration
  • Effective Convexity
  • Hedging Duration & Convexity
  • Concept of Negative Duration
  • Key Rate Duration
  • Math of Sensitivity Parameters

Module 2: Measuring Risk Techniques

  • Sensitivity Parameters
  • Simulation Methodologies
  • Rate Shocks
  • Simple Simulation
  • Historical Simulation
  • Monte Carlo Simulation
  • Transfer Pricing as a Tool
  • Value-at-Risk
  • Core Elements of VAR
  • VaR Greeks & Math
  • Correlation & Covariance
  • VaR Methodologies
  • Implementation of VaR
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Asset Liability Management- Virtual Series

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