Asset Liability Management

New York Institute of Finance

ITEM RISK0301

16 Dec 2024 - 18 Dec 2024

09:00 AM - 04:30 PM

$2,689.00

23 Jun 2025 - 25 Jun 2025

09:00 AM - 04:30 PM

$2,689.00

29 Sep 2025 - 01 Oct 2025

09:00 AM - 04:30 PM

$2,689.00

15 Dec 2025 - 17 Dec 2025

09:00 AM - 04:30 PM

$2,689.00

group

In-person (NY Campus)

update

3

language

English

school

Professional

16 Dec 2024 - 18 Dec 2024

09:00 AM - 04:30 PM

$2,689.00

23 Jun 2025 - 25 Jun 2025

09:00 AM - 04:30 PM

$2,689.00

29 Sep 2025 - 01 Oct 2025

09:00 AM - 04:30 PM

$2,689.00

15 Dec 2025 - 17 Dec 2025

09:00 AM - 04:30 PM

$2,689.00

videocam

Virtual (Live)

update

3

language

English

school

Professional


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17

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.

CPE Credits: 21

Prerequisite knowledge:

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

 

Click here to download course curriculum

 

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Asset and Liability Management

    Module 1.1: Business Model and ALM Framework

  • Maturity Mismatch
  • Interest Rate Spread
  • Funding
  • Module 1.2: Asset & Liability Management

  • Repricing and Maturity Mismatch
  • Yield Curve Risk
  • Basis Risk
  • Option Risk
  • Module 1.3: Yield Curve Shifts and Spreads

  • Historic yield curves as a reflection of the economic environment
  • Importance of yield curve shifts
  • Economic and policy drivers of yield curve shifts
  • What changes are forecast for the current curve?
  • Module 1.4: Bank ALM Strategy

  • Typical Bank Liability Profile
  • Typical Bank Asset Profile
  • Adjustments when rates are expected to rise
  • Adjustments when rates are expected to fall
  • Business and regulatory limitations
  • Module 2.1: ALM Modeling Assumption

  • What is the default convention? Interest rates rising or falling?
  • What is Asset Sensitivity and Liability Sensitivity?
  • NII Analysis – Calculating the impact of interest rates changes on net interest income
  • What is the difference between Price or Maturity Gap and Rate or Reset Gap?
  • ALM NII repricing adjustments by maturity
  • Market Value of Equity Analysis – calculating the impact of interest rate changes on MVE
  • Module 2.2: ALM Risk Measurement Tools

  • Fall in Market Value of Equity
  • Earnings at Risk
  • Cost to Close
  • Rate Sensitive Gap
  • Price Sensitive Gap
  • Liquidity Gap
  • Net Interest Income (NII) at Risk
  • Duration Gap Analysis
  • Module 2.3: Duration and Convexity

  • Macaulay duration
  • Yield duration: Macaulay and modified
  • Effective Duration
  • Duration of Equity
  • Monte Carlo Rate Simulations
  • Market Value of Equity VaR

Modules

    Module 3.1: What is Liquidity Risk

    Module 3.2: Sources of Liquidity Risk

    Module 3.3: Measurement of Liquidity Risk

    Module 3.4: Liquidity Management Plan

    Module 4.1: Quantitative Measurement of Liquidity Risk

    Module 4.2: Contingency Funding Plans

Modules

    Module 4.3: ALCO Risk Monitoring and Reporting

    Module 4.4: U.S and Basel III Liquidity Risk Requirements

    Module 5.1: Managing NII and MVE risk with Fixed Income Derivatives

    Module 5.2: Managing NII and MVE Risk with FX Derivatives

    Module 6.1: Silicon Valley Bank Case Study

    Module 6.2: Signature Bank Case Study

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Asset Liability Management

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$2,689.00

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