WH E R E L E A D E R S L E A R N.
Asset Liability Management
Designed as an introduction to the management of a bank’s assets and liabilities, this training provides participants with a solid base for managing financial exposure due to currency, interest rate and liquidity risks. Objectives • Understand the tools commonlyused in interest rate risk management • Establish an effective ALM policy (understand derivatives products and their role in ALM) • Establish an ALCO with focused aims and objectives • Interpret Value-at-Risk measurement concepts, applications and resulting reports • Understand current regulatory requirements, in particular Basel II Accord, and how this relates to ALM “interest rate risk in thebanking book” Who should attend this course? It is assumed that all participants are familiar with common financial terms and have a basic understanding of banking and the functions of a financial institution. This course is intended for those individuals who are either new to asset and liability management, or who wish to further their understanding of managing a bank’s assets and liabilities. Itwill be of use to: • 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 personnelDAY ONE • Foundations and understanding of asset and liability management • Defining and setting asset and liability policies and procedures • Interest rate risk in the banking book • NII – Net Interest Income – ALM aims and objectives – ALM processes and management recognition – ALM and regulatory concerns – Asset and Liability Committee (ALCO) • Managing assets and liabilities in current marketconditions – Credit and liquidity issues – Financial markets volatility – Financial instruments – The regulatory environment • ALM risk management – Interest rate risk management – Foreign exchange risk management – Liquidity risk management – Credit risk management – Trading/operational risks • Techniques of interest rate risk management • Gap management • Tools and management methods – Behavioralvs. contractual outcomes – Free funds – Variance analysis – Duration and convexity – Matching and immunization – Correlation
London: November 18-19
DAY TWO • Capital allocation and performance measurement • Liquidity management – Liquidity management models – Liquidity and volatility • Integrating ALM and strategy – Role of derivatives – Portfolio rebalancing – Risk immunization • Transferpricing and performance measurement – Transfer pricing as a bank management tool – ALM implications • Value At Risk (VaR) – Rationale – Application – Methods and reports • Stress testing, scenario analysis and back testing • Capital Allocation – Risk-based capital standards – Risk Adjusted Return on Capital (RAROC) – How funding informs and drives product and pricing implications • Financialderivatives role in interest rate risk management – Financial futures vs. forward rate agreements (FRAs) – Interest rate options – Interest rate swaps • Interest rate risk strategies – Active management – Passive management – Rate anticipation
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REGISTRATION / PRICING
TO REGISTER: ONLINE: www.garp.com/training • PHONE: +44 (20) 7397 9631 • FAX: +44 (20) 7626 9300 POST: Global Association of Risk Professionals (GARP), Minster House, 42 Mincing Lane, London EC3R 7AE Full Name Position in Company Address Town / City Telephone ASSET LIABILITY...