Asset and Liability Management

Objective
The aim of the Asset and Liability Management training course 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 III 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

This program is offered in association with:

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
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
• Integrating disparate analysis

Advanced Methodologies

• Assessing path risk
• Monte Carlo analysis
• VaR vs EaR

The Asset and Liability Management training course is recommended for 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.

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.

"This is a very good opportunity to meet many interesting people engaged in ALM-related areas in different countries and financial institutions."
Senior Officer, Treasury Analytical Department
International Moscow Bank
Russia

"It took me a lot of time to find a good ALM course. Combination of theory and practice was good."
Assistant Treasurer, ALM
Banque Artesia Nederland
The Netherlands

"Pierre Hillion is an excellent teacher.  Clearly he brought us all to a higher level."
Supervisor, Internationally Active Conglomerates
De Nederlandsche Bank
The Netherlands