Asset Liability Management
Gain CPE:14 Credits

ITEM RISK0301

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$1,989.00
$1,989.00$1,591.20-20
group
In Person
update
2 Days
language
English
school
Professional

Please select date...

$1,989.00
$1,989.00$1,591.20-20
group
In Person
update
2 Days
language
English
school
Professional

Please select date...

$1,989.00
$1,989.00$1,591.20-20
group
In Person
update
2 Days
language
English
school
Professional

Price as configured: $1,989.00

Asset Liability Management

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.
Curriculum
What You'll Learn
Who Should Take This
eventDay 1

Module 1: Risk Fundamentals

  • Taxonomy of risks
  • Elements of a risk model
  • Risk measures: VaR and expected shortfall
  • Model risk
  • Stress Testing
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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
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Module 3: Review of Fixed Income Essentials

  • Rates, yields and term structures
  • Fixed income instruments
  • Repurchase agreements
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eventDay 2

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
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Module 2: Funding Gap Analysis

  • Funding gaps: maturity and repricing mismatches
  • Managing net interest income
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Module 3: Duration Gap Analysis

  • Duration gaps
  • The duration of equity
  • Balance sheet immunization
  • Market value of equity
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Module 4: Securitization: An ALM Tool

  • The rationale for securitization
  • Securitization mechanics
  • Cashflow structures
  • ALM applications
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Module 5: Case Studies

  • Northern Rock: Liquidity risk
  • Lehman: The run on repo
  • AIG: Mark-to-market and collateral
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Module 6: Desk Ready Skills Knowledge Check

    Back to Top

      Desk-Ready Skills

    • Understand the potential consequences of duration- and funding gaps on the balance sheet
    • Understand and apply portfolio immunization techniques
    • Calculate the duration of equity
    • Learn how to compute risk measures for the market (economic) value of equity
    • Understand the balance sheet management benefits of securitization
    • Understand the central role of ALM in the overall enterprise risk management of financial institutions
    • Learn best governance practices for the Asset-Liability Committee
    • Work through case studies to recognize early warning signs of impending liquidity and rate risk events

    Recommended for:

    Risk managers and analysts

    treasurers
    fund managers
    auditors
    regulators
    and legal and compliance staff.

    Prerequisite knowledge:

    • Fixed income arithmetic
    • Intermediate MS Excel skills
    • Elementary calculus

     

    Recommended NYIF courses to satisfy prerequisite knowledge:

    • Fixed Income Mathematics
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