ALM 1: Fundamentals

Objectives of ALM
  • Strategic and operational risks
  • Role and organisation of ALM
  • Financial and commercial spheres of ALM
  • Regulatory and accounting framework
  • Banking book and trading book
  • Analyse a bank’s balance sheets and income statements
  • The ALM process
  • Introduction to financial planning
Liquidity Risks
  • Definition of strategic risk
  • Regulatory and operational timeframes
  • Valuing the gap and developing a plan for refinancing
  • Dealing with elements of undetermined duration - modeling
  • Pricing liquidity
  • Liquidity crisis
  • Stress tests and continuity plans
  • Practical workshop
  • Calculate the gap in EXCEL™, manage a virtual bank
Global Interest Rate Risk: Definition and Measure
  • Definition of interest rate risk
  • Illustration of transformation policies
  • Calculation of interest rate gaps (static and dynamic)
  • Calculation of actuarial ratios (sensitivity of economic value)
  • Calculation of dynamic indicators (sensitivity of future results)
  • Impact of options and « Fair Value »
  • Practical studies
  • Study of a real-life situation
Calculation of Internal transfer rates
  • Use
  • Determination
  • Limits

  • Master the principles, objectives and techniques of ALM
  • Measure and manage balance-sheet risks
  • Understand and calculate the static and dynamic interest rate and liquidity risks
  • Calibrate and set up efficient hedges both from an economic and accounting point of view
  • Develop a plan for refinancing
  • Understand how liquidity crisis develop and master refinancing processes
  • Know how Internal Transfer Rates work
  • Know current developments of the regulatory framework
  • Understand the economic, accounting and regulatory environment of ALM
  • Understand the basic and essential concepts of ALM risk analysis (liquidity, interest rates...)
  • Use of real-life situations to illustrate current ALM issues
  • Lessons learned from the current crisis
  • Junior ALM managers
  • Internal controls, audit
  • Salespeople/ALM structuring
  • Treasury
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