Liquidity & Asset-Liability Management
Overview
Liquidity and interest rate risk can threaten a bank's survival even when its loans are sound. This course covers asset-liability management: measuring liquidity and interest rate risk, funds transfer pricing, stress testing, ALCO governance and balance sheet strategy.
Who should attend
Treasury and ALM staff, risk managers, finance and balance sheet managers in banks.
Training methodology
Interactive presentations, practical exercises, case studies, group discussions, role-plays where relevant, and a personal action plan that participants apply in their own work.
Objectives
By the end of this course, participants will be able to:
- Explain asset-liability management objectives
- Measure and manage liquidity risk
- Measure interest rate risk in the banking book
- Apply funds transfer pricing
- Run ALCO and stress testing effectively
Course outline
Day 1ALM Foundations
- Bank balance sheet
- ALM objectives
- Risks in the banking book
- Regulatory context
- Discussion
Day 2Liquidity Risk
- Liquidity gaps
- Funding sources
- Liquidity buffers
- Contingency funding plans
- Exercise
Day 3Interest Rate Risk
- Repricing gaps
- Earnings and value perspectives
- Duration
- Behavioural assumptions
- Exercise
Day 4Pricing and Stress Testing
- Funds transfer pricing
- Stress scenarios
- Reverse stress testing
- Limits
- Case study
Day 5Governance
- ALCO role and agenda
- Reporting
- Balance sheet strategy
- Hedging options
- Action plan
