Asset and Liability Management
Pierre Hillion & John Haynes

In partnership with PRMIA

Objective
The aim of the Asset and Liability Management program is to provide focused, practical training in all the key methodologies employed in this important discipline. Asset and Liability Management will cover all major approaches to the measurement and management of structural risk and hedging techniques. Sessions will be reinforced with practical case studies, including competitive, team based computer simulation exercises.

Key benefits
By attending this intensive, practical program, you will:

  • Identify strengths and weaknesses in your current Asset and Liability Management process
  • Obtain practical hands-on experience of current best practice risk analysis techniques
  • Better understand strategic balance sheet management issues such as the impacts of Basel II and International Accounting Standards requirements on ALM decision making
  • Understand the conflicts at the ALCO level in the application of both earnings and valuation methodologies to bank balance sheet management
  • Review symmetric and asymmetric hedging techniques and develop effective balance sheet hedging strategies

Who should attend?
Professionals working in a central department within a bank or other financial institution who wish to expand or refresh their knowledge of current asset/liability management techniques. For less experienced participants it is recommended that our Fixed Income Investment program be attended prior to this program.

Accreditation
Amsterdam Institute of Finance is registered with CFA Institute as an Approved Provider of continuing education programs. This program is eligible for 30 CE credit hours as granted by CFA Institute. If you are a CFA Institute member, CE credit for your attendance at this event will be automatically recorded in your CE Diary.

Faculty
Pierre Hillion is the de Picciotto Chair at INSEAD in Alternative Investments and Visiting Professor at UCLA and CalTech in the USA. At INSEAD, he has received the Best Teacher for Electives, Singapore campus on several occasions.

John Haynes is a consultant specializing in education and training for Interest Rate Risk and ALM issues. With over 20 years' practical experience in the area of ALM, John has worked with many financial institutions throughout Europe in
consulting and system implementation roles.


For information about admission, please see our Practical Information.

Program Content
 Day 1

The Role of Asset and Liability Management

Measuring and Managing Interest Rate Risk

  • Gapping
  • Duration
  • Duration-gap
  • Duration of equity
  • Convexity

Day 2

Techniques to Measure Financial Risk

  • Value-at-Risk
  • Regression methods

The Role of Derivatives

  • Embedded options
  • Interest rate futures
  • Swaps
  • Hedging

Day 3

The Role of Derivatives (continued)

  • Swaps
  • Hedging

Strategic Balance Sheet Management Overview

  • Key succes factors in balance sheet management
  • Pitfalls with traditional measurement techniques
  • Balance sheet simulation session

Static Risk Measurement Methodologies Reviewed

  • MisMatch Analysis
  • Dynamic vs. static analysis
  • Economic valuation

Day 4

Symmetric Hedging Techniques

  • Strategic hedging issues
  • Computer simulation approaches
  • Event risk

Hedging Simulation Exercise

Assessing Strategic Hedge Effectiveness

  • Practical balance sheet management study
  • Conventional analysis
  • Advanced issues

Day 5

Asymmetric Risk Evaluation

  • Evaluating embedded options
  • Computer simulation
  • Intergrating disparate analysis

Advanced Methodologies

  • Assessing path risk
  • Monte Carlo analysis
  • VaR vs. EaR
Upcoming sessions:
March 1 - 5, 2010
€ 4,750
November 8 - 12, 2010
€ 4,750
   
(AIF programs are not subject to VAT)