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The Art of Treasury and Asset Liability Management (ALM)

The best practice of modern banking - optimisation of the banking book


BLAdvisory & Consulting Ltd

Summary

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Study method
Online, self-paced
Duration
16 hours
Access to content
6 months
Qualification
No formal qualification
Additional info
  • Tutor is available to students

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Overview

The objective of this 16 hour online course is to familiarize industry professionals with the recent developments in the methods and processes of the modern Asset Liability Management (ALM) and Treasury as practised by leading institutions. Therefore, during the webinar sessions, the key challenges related to the pro-active management of Interest Rate Risk in the Banking Book (IRRBB), funding and liquidity risk will be described in detail, while pointing to well publicized examples of losses incurred by some international institutions stemming from mismanagement of these important risks categories. The advanced approaches to liquidity risk management are described separately in the dedicated sessions, while emphasizing the most recent inroads to modelling non-maturing assets and liabilities. We will describe best FTP practices (Funds Transfer Pricing process) tailored to effect optimal balance sheet management – we will show how leading international banks design the FTP system as a strategic tool geared to steer the institutions´ balance sheets while enhancing product profitability in a highly competitive banking environment. At the end of the series we will describe the balance sheet optimisation practices (in the context of the pro active ALM) as constrained by systemic and idiosyncratic requirements, such as risk appetite, pricing elasticity, regulatory stipulations determining the key balance sheet ratios, liquidity, etc. Attendees will leave the course with a well rounded understanding of the best practices to modern ALM and balance sheet management and will be able to depict elements to enhancing their own institutional practices to achieve higher efficacy and effectiveness of bank balance sheet management.
The webinar series provides also the extensive update on the LIBOR replacement reform. By the end of the webinars attendees will be equipped with the Excel models related to the calculation of IRRBB, NMDs and ALM optimization. Additionally, they will be provided with the example of the example of the ALM report, FTP policy and ILAAP documents.

Course media

Description

This course presents practical approaches towards Strategic Asset Liability Management (ALM), proactive management of the Interest Rate Risk in the Banking Book, Balance Sheet steering techniques through Funds Transfer Pricing process (FTP), modelling of Non Maturity Deposits (NMDs), overview of tactical and structural liquidity risk and main challenges of the LIBOR replacement reform and its impact on Treasury unit in a bank. The author of this course is known for her recently published book "Asset Liability Management optimisation - A Practitioner's Guide to Balance Sheet Management and Remodelling". The concept of Strategic ALM and balance sheet shaping through FTP process reflect the new trends emerging in the banking industry and the course focuses on its practical implementaion.

The course takes a closer look at the evolving role of the ALM and Treasury function and defines the target position of the banking book. It provides strategies for active management, structuring and hedging of a bank balance sheet, while also exploring additional topics such as behavioural modelling and LIBOR reform.

Who is this course for?

Banking practitioners, ALCO members, ALM and Treasury specialists, Financial Risk Management specialists and Audit managers.

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