• Investment professionals
• Treasury professionals
• Balance sheet and capital managers
• Asset and liability managers and analysts
• Risk managers and portfolio managers
• Treasury middle office and operations personnel
• Liquidity funding managers
• Treasury auditors
• Financial controllers, accountants and analysts
• Investment bankers
• Regulatory and compliance personnel

Asset and liability management (ALM) is a practice used by financial institutions to mitigate financial risks resulting from a mismatch of assets and liabilities. ALM strategies employ a combination of risk management and financial planning and are often used by organizations to manage long-term risks that can arise due to changing circumstances.

By attending the course, delegates will benefit better equipped to work in or with the ALM function and support the optimisation of the balance sheet they are tasked to achieve.

At the end of this training course, delegates will be able to make a substantial, positive impact on the asset management best practices within their organization, specifically:

• Measure and control ALM risks and opportunities
• Identify the key asset and liability risk management issues
• Identify key financial control issues
• Assess the strengths and weaknesses of ALM policies and procedures
• Examine the key issues facing ALCOs
• Explore the strengths and weaknesses of using static gaps
• Use duration gaps effectively
• Understand the economic value of equity
• Hedge risks with derivatives
• Define the reports required by ALCO

MODULE ONE - WHAT IS ASSET LIABILITY MANAGEMENT

• Definition of ALM
  
• ALM and Challenges Today
• ALM Framework
• ALM Structure at Major Banks – a sample
• Capital and Value Creation
• Identifying Risks for ALM
• Impact of the External Operating Environment on ALM

MODULE TWO - ALM GOVERNANCE

• ALCO Function and Structure
  
• Importance of Policies and Procedures
• Role of Audit and Risk Management

MODULE THREE - SHORT TERM INTEREST RATE RISK ANALYSIS AND RISK MANAGEMENT PRODUCTS

• How to interpret the yield curve
• Managing Floating Rate Exposure
• Exercises and Case Studies: Managing Interest Rate Risk with FRAs

MODULE FOUR - LONG TERM INTEREST RATE ANALYSIS AND RISK MANAGEMENT PRODUCTS

• Fixed Income Markets
• Exercises and Case Studies: Duration, Bond Portfolio Analysis, and how to calculate VaR with a discussion of expected loss approach
• Interest Rate Derivatives
• Exercises and Case Studies: Hedging Interest Risk in Long Term Interest Rate Exposures, Asset Swaps

MODULE FIVE - ACCOUNTING CONSIDERATIONS FOR ALM

• Trading Book Assets and Liabilities
  
• Investment Book Assets and Liabilities
• Banking Book Assets and Liabilities
• Hedge accounting for risk management derivative products
• Earnings impact and accounting treatment