Kurum-İçi Eğitim Programları
E01. Asset Liability Management
A comprehensive e-learning product covering Global Best Practices, Strategic,
Operational and Analytical aspects
After completing this course, you will be able to:
Use ALM to meet regulatory/solvency/liquidity requirements
Control and diversify risk
Reduce mismatches
Establish strategic directions
Add value creation, Risk-adjusted Return on Capital (RAROC) and
Capital Allocation
OverviewAsset Liability Management
The themes of this product are:
Exposure by 'Choice' not by 'Chance'
Assets and Liabilities may be good when viewed in isolation but what is required is
a proper match between them
An integrated approach with our proprietary 9-Part Framework for ALM
Examine not only what is On-Balance Sheet and Off-Balance Sheet but also what
is behind the Balance Sheet (Quality of Risk Management Infrastructure)
Course Level & Number of Courses
Intermediate & Advanced Level
Library of 28 Courses
Instructional Method
Dynamic, Interactive e-learning
Recommended Background
Familiarity with basic financial concepts
Volatile global markets, proliferation of new
financial products and changing regulatory
environments have made Asset Liability
Management (ALM) a critical function for banks
and financial institutions today. It is therefore
becoming increasingly important to define,
measure, monitor and manage an institution's
exposure to Foreign Exchange, Interest Rate
and Liquidity Risks on a coordinated and
consistent basis.
OverviewAsset Liability Management
The themes of this product are:
Exposure by 'Choice' not by 'Chance'
Assets and Liabilities may be good when viewed in isolation but what is required is
a proper match between them
An integrated approach with our proprietary 9-Part Framework for ALM
Examine not only what is On-Balance Sheet and Off-Balance Sheet but also what
is behind the Balance Sheet (Quality of Risk Management Infrastructure)
Course Level & Number of Courses
Intermediate & Advanced Level
Library of 28 Courses
Instructional Method
Dynamic, Interactive e-learning
Recommended Background
Familiarity with basic financial concepts
Volatile global markets, proliferation of new
financial products and changing regulatory
environments have made Asset Liability
Management (ALM) a critical function for banks
and financial institutions today. It is therefore
becoming increasingly important to define,
measure, monitor and manage an institution's
exposure to Foreign Exchange, Interest Rate
and Liquidity Risks on a coordinated and
consistent basis.
Time taken to complete each Course: Two - Three hours
1. Scope of ALM
Objectives
Introduction
Interest Rate Risk
Foreign Exchange Risk
Commodity Risk
Stock Market Risk
Liquidity Risk
Credit Risk
2. Objectives of ALM
Objectives
Introduction
Rate Scenario Table
Short Term and Long Term Risk
3. Growing Relevance of ALM
Objectives
Nature and Significance of ALM
Financial Volatility
Explosion of New Products
Regulatory Initiatives
Management Recognition
4. A Nine-part Framework for ALM
Objectives
Introduction
Strategic Framework
Organizational Framework
Operational Framework
Analytical Framework
Technology Framework
Information Reporting Framework
Performance Measurement Framework
Regulatory Compliance Framework
Control Framework
5. Strategies of ALM
Objectives
Introduction
On Vs. Off-Balance Sheet Strategy
6. Yield Curve Analysis
Objectives
Introduction to Yield Curve Analysis
Types of Yield Curves
Analyzing Yield Curve
Bond Arbitrage Strategies
Application of Yield Curve
7. Interest Rate Gap Analysis - I
Objectives
Introduction to Gap
Gap Report
Considerations in Slotting of Different Items
8. Interest Rate Gap Analysis – II
Objectives
Income Impact
Gap Limits
Restructuring Strategies
Strengths and Limitations
9. Interest Rate Gap Analysis – III
Objectives
Asset Restructuring Strategy
Liability Restructuring Strategy
Growth Strategy
Shrinkage Strategy
Off-Balance Sheet Strategy
10. Simulation and Scenario Analysis - I
Objectives
Introduction to Simulation
Measuring Risk Positions
Scenarios and Results
Simulation Modeling
Backtesting
11. Simulation and Scenario Analysis – II
Objectives
Non-specific Maturity Items
Business Strategies
Monte Carlo Simulation
Software Packages
Strengths and Limitations
12. Duration I
Objectives
Introduction
Duration Vs. Yield
Duration Vs. Maturity
Duration Vs. Coupon
13. Duration II
Objectives
Duration of a Perpetual Bond
Duration of a Bond with Embedded Options
Duration of Portfolio
Duration of Off-Balance Sheet Items
Approximation in Duration
Gap Vs. Duration
Payment Frequency
Strategies for Risk Management
14. Duration III
Objectives
Duration of Equity and Leverages
Examples
Duration of Complex Items
Leveraged Inverse Floaters
Zero Coupon Yield Curve
Comparison
15. Duration IV
Objectives
Duration of Complex Items
Zero Coupon Yields Curve
Comparison
16. Strategies for Internal Risk Management
Objectives
Dedication
Immunization
Indexation
Active Management
Rate Anticipation
17. Basis Point Value
Objectives
Introduction
Calculation of Basis Point Value for On-Balance Sheet Items
Calculation of Basis Point Value for Off-Balance Sheet Items
Basis Point Value of a Portfolio
18. Convexity
Objectives
Introduction
Definition of Convexity
Convexity Calculation
Convexity and Yield
Convexity, Maturity, Coupon and Price Change
Convexity of Portfolio
Positive and Negative Convexity
19. Review of Statistical Concepts
Objectives
Statistical Measures
Normal Distribution
Correlation
Volatility and Standard Deviation
20. Value at Risk -I
Objectives
Introduction
Measures of Risk Exposure
Computation of VaR
Strengths and Limitations of VaR
21. Value at Risk -II
Objectives
VaR for Foreign Currency Spot and Options
VaR for Foreign Exchange Forward
VaR for Common Shares
VaR for Fixed Income Securities
VaR of a Portfolio
Applications of VaR
22. Application of Analytical Techniques
Objectives
Introduction
Concepts and Assumptions
Application
Practices
Case Study I
Case Study II
23. AL Organization
Objectives
Introduction
Composition of ALCO
Scope of ALCO
Properties
24. ALCO Meetings
Objectives
Introduction
ALCO Meetings
ALCO Data Requirements
25. ALM Policies and Procedures
Objectives
Introduction
Policy Statement
Procedure Manual
ALCO Reports
26. Funds Transfer Pricing
Objectives
Introduction
Concepts
Review of Risks
Practices
27. Funds Transfer Pricing - Practices
Objectives
Introduction
Analysis of Techniques
28. Audit of ALM
Objectives
JOB AIDS
Measurement Tools
Disclosures
Regulations
Global Best Practices
Benchmarking Data
Calculators in Asset Liability Management
1. Standard Deviation for a given Confidence Level
2. Confidence Level for a given Standard Deviation
3. Duration
4. Duration of a Portfolio
5. Duration using Zero Coupon Yield Curve
6. Duration of Amortizing Assets
7. Duration of uneven cash flows
Introduction
Overall Approach
Audit
Policy Templates 8. Duration of Equity
9. Convexity
10. Convexity of uneven cash flow
11. BPV of a Bond
12. BPV of a Forward Rate Agreement (FRA)
13. BPV of a Portfolio
14. BPV of a Coupon Paying Bond
15. Value at Risk - Variance Covariance Method
16. Value at Risk for Different Weights
17. Gap Income Impact
18. Forward Rate Calculator
19. Zero Coupon Yield Calculator
20. VaR for required period and confidence level
