“Gap & Pulse” covers best practices in Asset-Liability Management (ALM), as well as ALM’s relationships to capital and performance for financial institutions. ALM will be shown to have evolved beyond basic management of incremental asset and liability positions to a more comprehensive process that reflects the management & safe guarding of an institution’s economic capital.

Course Objective

  • ensure participants have considerable knowledge of the asset-liability management function, its objectives, scope, elements and implementation framework
  • empower them to fully understand a typical bank’s balance sheet, the intricacies in the financial risk-characteristics of its make-up and their respective impacts on the ALM objectives
  • give them the understanding of how to identify, control, measure, monitor and report the bank’s non-trading interest rate and liquidity risks’ exposures in a balance sheet
  • ensure they gain comprehensive understanding of how to de-risk the balance sheet

Duration – 3 Days

Understanding ALM
Overview & Elements of ALM, Funds Transfer Pricing, ALM Framework, Composition & Responsibilities of ALCO

Non-Trading Interest Rate Risk Management
The ALCO Process: Understanding the Balance Sheet Position, Rate Sensitive Assets vs Rate Sensitive Liabilities, Impact of Interest Rate Changes & Gap on Net Interest Income, Identification Techniques – Repricing Gap vs Duration Analyses

Measurement Techniques
Measuring Price Risk in the Accrual Portfolio, Earnings-at-Risk (EaR), Cost-to-Close/Market Value Sensitivity/Value-at-Close, Control Tools & Triggers (Control Framework), Trigger for Accrual Portfolio (TRAP), Monitoring & Reporting Techniques

Review of Basel Principles for the Management & Supervision of Interest Rate Risk

Liquidity Risk Management
Overview, Dimension & Sources of Liquidity Risk, Causes of Liquidity & Symptoms, Factors Reducing Liquidity Risk

Liquidity Risk Identification Techniques
Balance Sheet Liquidity Analyses, Cash Capital Analyses, Maturity Gap Analyses

Liquidity Risk Measurement & Mitigation Approaches
Maximum Cumulative Outflow Assessment, Scenario Analyses, Contingency Funding Planning

Review of Basel Principles For Sound Liquidity Risk Management