Risk Management: Asset & Liability Management

All financial institutions must carefully manage the balance between their assets and liabilities. For banks, this balance is particularly critical, as it directly affects their risk profile, profitability, and liquidity position. Effective asset and liability management (ALM) is therefore a core function within banking, enabling institutions to navigate changing market and regulatory conditions while maintaining financial stability.

All financial institutions must carefully manage the balance between their assets and liabilities. For banks, this balance is particularly critical, as it directly affects their risk profile, profitability, and liquidity position. Effective asset and liability management (ALM) is therefore a core function within banking, enabling institutions to navigate changing market and regulatory conditions while maintaining financial stability.

The objective of this course is to provide the participants with an overview of fundamental as well as advanced techniques in Asset & Liability management.

• Develop a solid understanding of core Asset and Liability Management (ALM) methods used to address the day-to-day challenges faced by ALM departments in banks

• Acquire and apply key ALM risk management concepts through illustrative examples and practical case studies

• Analyse ALM frameworks and understand how regulatory and internal ALM standards are developed and implemented effectively within a banking environment

• Integrate ALM principles into their professional activities, combining theoretical knowledge with practical applications in a structured and systematic manner.

Introduction to ALM  
ALM governance
The ALM function
Setting the ALM risk appetite
The role of the Asset and Liability Management Committee (the ALCo): case study
Interest rate risk:

• Calculating the interest rate GAP report for a Bank

• Computer workshop: 

• Interest rate risk: repricing GAP analysis 

• Interest rate risk: impacts on Net Interest Income and Economic Value

Managing the two perspectives of interest rate risk: Earnings Risk and Economic Value Risk

Interest Rate Risk: duration of equity

• Computer workshop: Measuring Interest Rate Risk in the Balance sheet by using duration of equity

• Computer workshop: Measuring interest rate risk in the Balance sheet by using scenario analysis

Modelling and integrating of Non Maturity Liabilities into the ALM framework

Stress-testing the balance sheet: impact on earnings and on economic value of a Bank

ALM simulation models and Implementation of an ALM system

The Basel Committee regulatory framework for measuring interest rate risk in the banking book 

Liquidity risk:

• Internal Liquidity Adequacy Assessment Process (ILAAP)

• Liquidity Risk Management for Banks

Fund transfer pricing (FTP) systems: 

• Objectives and methods

• The role of the ALM center 

• Setting up a transfer pricing curve

Q&A session

Top and medium level executives from banks (commercial and central), financial institutions or supervision authorities, involved in risk management, asset & liability management, treasury and internal control.