Strategic ALM, Treasury and Capital

London Financial Studies
En London (Inglaterra) ySingapore (Singapur), Sydney (Australia)
  • London Financial Studies

4001-5000 €

I think the course content was exactly what was needed to integrate the ALM process with capital budgeting and risk. My tutor was highly experienced knew how to approach our lessons. Highly recommended!


Información importante

Tipología Short course
Lugar En 3 sedes
Duración 3 Days
Inicio Fechas a elegir
otras fechas

Strategic ALM can significantly improve financial performance by delivering a better balance between returns and risks across a more comprehensive set of both on and off balance sheet assets and liabilities.

This advanced programme covers best practice in Asset Liability Management (ALM), as well as ALM’s role as a strategic function in financial institutions.

Practical application and strategic decision making is emphasised via group facilitated discussions, exercises, and case studies.

Información importante
¿Qué objetivos tiene esta formación?

After attending this course delegates will be able to:

Understand the evolution of ALM and the choices we face today
Assess ALM reward risk opportunities for various strategic business activities
Measure, implement, and manage strategic ALM decisions for banking books as well as other major activities, including investments, liquidity, and trading positions
Assess opportunities to incorporate a broad range of businesses, including credit units, into ALM
Understand suitable and appropriate roles for derivatives in ALM
Organise and manage successful ALM and ALCO reports and meetings
Review and integrate financing strategies into the ALM plan
Develop and implement comprehensive transfer pricing schemes
Integrate liquidity management into ALM practices
Consider business unit and entity wide reward risk budgeting under the auspices of ALM
Design a capital plan for the institution consistent with risks and regulations
Understand the implications of Basel III on capital development
Learn how appropriate uses of strategic ALM can impact improve returns on economic or risk adjusted capital

¿Esta formación es para mí?

Members of the Asset Liability Committee (ALCO)
Treasury professionals
Money market and FX traders
Management of credit, deposit, and other major business units
Liquidity investment managers and traders
Capital markets teams covering financial institutions
Strategic planning professionals
Risk managers and risk controllers
Financial officers and auditors (internal and external)
Regulators overseeing banking, investment, and trading books
IT professionals specialising in treasury systems

Requisitos: It is assumed that participants have a basic familiarity with a bank’s treasury operations, banking activities, and fundamental market instruments such as forwards, swaps, and options.

Instalaciones y fechas

Dónde se imparte y en qué fechas

Inicio Ubicación
27 nov 2017
34 Curlew Street, se12nd, London, Inglaterra
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Fechas a elegir
The Finexis Building, Singapore, Singapur
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New South Wales, Australia
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Inicio 27 nov 2017
34 Curlew Street, se12nd, London, Inglaterra
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Inicio Fechas a elegir
The Finexis Building, Singapore, Singapur
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Inicio Fechas a elegir
New South Wales, Australia
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Lo mejor I think the course content was exactly what was needed to integrate the ALM process with capital budgeting and risk. My tutor was highly experienced knew how to approach our lessons. Highly recommended!

A mejorar Everything was positive.

Curso realizado: Mayo 2016 | ¿Recomendarías este centro?

¿Qué aprendes en este curso?

Risk Management
Balance Sheet
IT risk
Financial Training
Economic Capital
Strategic ALM
NII management
Stock flow
FX traders
Financial institutions


Day One

ALM Introduction and Overview
  • The evolving role of ALM in various financial institutions
  • Strategic ALM and economic capital
  • Expanding portfolio of assets and liabilities within the ALM perspective
  • Using ALM to manage returns on risks
  • Important links for liquidity management and transfer pricing through ALM
Group Discussion: How should we implement ALM in our institution to optimise the execution of our business strategy?

  • What committees/groups (e.g., ALCO and possibly other groups) need be formed?
  • Where do these committees report in the overall organisation?
  • Who should attend the meetings?
  • Who should be the titular head of the committee? Who should act as secretary/facilitator?
  • How frequent should meetings be held and what is an optimal time length?
  • What assets and liabilities should be reviewed?
  • What type of reports should be presented?
  • What decisions should be made by the committee?

  • ALM functions related to Treasury, Finance, and Risk Management
  • Regulations and ALM perspectives
  • Relationship of regulatory capital and economic capital
  • The role of ALM in reward risk budgeting
  • Development of ALM in the future
ALM Frameworks for the Banking Book
  • Creation and categorization of assets and liabilities in the banking book
  • Measuring interest rate, liquidity and currency gaps
  • Identifying interest rate sensitive assets and liabilities that impact performance
  • Traditional gap analysis of standard asset and liability products
  • Basis, yield curve twist, and re investment/re funding risks
  • Measuring Net Interest Income (NII) risks with static and dynamic sensitivity analysis
  • Multi currency NII ALM techniques and strategies
  • Complications from financial, contractual, and real options in assets and liabilities
  • Estimating impacts of volatility and correlations in assets and liabilities
  • Stress testing NII management approaches
  • NII impacts on liquidity and capital management
  • Earnings at risk metrics for NII
  • Impacts on capital from income changes and financial performance
Case Study: How should we manage the interest rate and currency risks in our banking book relative to our strategy and market views?

  • Choices for measuring interest rate and currency risks?
  • How should we set limits on risk taking?
  • Should we be able to increase risks to profit from expected market conditions?
  • Who should be charged with taking these risks?
  • How can risks be reduced or increased through cooperation of various business units? Should we use cash positions or derivatives?
Day Two

Balance Sheet Development
  • Stock flow balance sheet analyses
  • Balance sheet maturity transformation and liquidity risks
  • How the banking industry evolved into the situation we find today
  • Primary and derived deposits and bank loans
  • Complications in money supply, the banking world, and the economy
  • Simultaneity of asset and liability creation and destruction
  • Linkage/de linkage of central bank reserves and money
  • Management of reserves, reserve requirements, and central bank policies
  • Understanding the impacts of quantitative easing on banks and the economy
  • Narrow and “real bills” banking compared to broad investment/universal banking
  • Banking positions evolving to securities and off balance sheet items
  • Collateral management within ALM
Case Study: Strategic operation of our bank’s lending and deposit businesses

  • Customers’ loans create deposits?
  • Where do primary deposit monies come from?
  • How much liquidity do we need for these businesses?
  • How do we manage reserves? Manage capital?
  • The role of central bank and interbank market for our activities?
  • What can we do with excess reserves?
Market Value Returns and Risks for Investment and Trading Portfolios
  • Strategic use of trading, available for sale and investment portfolios
  • Managing collateral against these positions
  • Portfolio management techniques for strategic ALM
  • Price risks in bonds and other asset liability portfolios
  • Classical Value at Risk (VaR), Expected Shortfall, and other analytical frameworks for market value portfolios
  • Behavioural sensitivities on valuations and returns
  • Value impacts of off balance sheet commitments and contingencies
Case Study: Managing Market Value Risks and Returns
  • Simulating risks and returns on portfolios
  • Comparing risk metrics alternatives
  • Hedge strategies for market risks
  • Special problems for commercial and retail mortgage securities, credit card portfolios, and other ABS products
  • Developing limits packages for business units

  • Establishing ALM policies and controls for market value portfolios
  • Impacts on capital from market value changes and financial performance
  • Viewing the banking book assets and liabilities as a variant of market value assets and liabilities
  • Transfer pricing for market value portfolios
Critical Applications for Interest Rate and FX Derivatives in ALM
  • Review of interest rate and foreign exchange derivatives used in ALM
  • Mark to market and mark to model techniques
  • Applications of interest rate derivatives in NII, market value portfolios, and liquidity/funding management
  • Hedging strategies and effectiveness
Group Discussion: Suitability and appropriateness of standard and non standard derivatives structures used by ALM

  • Qualifying hedges versus non qualifying use of derivatives?
  • Should derivatives be used to enhance the income profile?
  • What are advantages and disadvantages of these types of strategies?
  • Are structured derivatives that provide income benefits suitable?

  • Accounting, liquidity and counterparty concerns from uses of derivatives in ALM
  • ALM impact of derivatives moving to Central Counterparties (CCPs) versus bilateral trades remaining on balance sheet
  • Collateral and capital implications of the changes in derivatives regulations
  • Derivatives hedges counterparty valuation adjustments (CVA)
  • Own debt fair Value Adjustments (DVA) and Funding Value Adjustments (FVA)
  • Impacts on capital and financial performance from derivatives applications
Strategic ALM Involvement with Credit and Counterparty Exposures
  • Credit exposures in commercial / retail loans, credit risky bonds and counterparty trades
  • Credit metrics for expected and unexpected losses
  • Developing credit value at risk for return risk budgeting
  • Interpreting and using credit spreads
  • Benefits and challenges of active credit portfolio risk management
  • Using credit derivatives to manage and / or securitize credit risk
  • Applications of Credit Default Swaps (CDS), credit linked notes, and other credit derivatives products in ALM
Group Exercise: Assessing Credit Total Returns for strategic ALM

  • Appropriate frameworks for valuing credit risk
  • Incorporating credit spread risks into limits and capital
  • Attribution of credit versus market returns to decision makers

  • Credit risk management through securitization and strategic structured finance
  • Transfer pricing adjustments using own credit spreads and country credit spreads
  • Impacts on capital from involvement in credit concerns by ALM and financial performance
  • Establishing ALM policies and controls for credit portfolio risks
Day Three

Strategic ALM Involvement with Credit and Counterparty Exposures (continued from Day 2)

Financing Strategies Managed by ALM
  • Defining the mix of financing alternatives
  • The relationship of liquidity, financing, and capital
  • The role of retail and commercial deposits in ALM
Group Discussion: Transfer Pricing Liquidity
  • What are the appropriate frameworks for transfer pricing?
  • How should we build out transfer pricing rates for various business units?
  • Should transfer pricing have a profit element?
  • Incorporating lines of credit and contingent liquidity into transfer pricing?
  • Who should decide transfer pricing rates? How frequently?
  • Special issues for transfer pricing to deposit and funding businesses?

  • Estimating deposit run off, elasticity and liquidity impacts
  • Developing and maintaining financial market access
  • Framework for measuring and optimizing financing choices
  • Managing liquidity and financing maturity profile
  • Maintaining desired rating and financial flexibility
  • Risks and rewards inherent in various financing choices
  • Use of derivatives in financing strategies
  • Securitization and credit enhancement strategic financing strategies
  • Opportunities for structured financing products and strategies
  • Off balance sheet and special purpose vehicle financing
  • Impact of regulatory capital requirements on financing strategies
  • Regulatory requirements for liquidity maintenance
ALM and Capital: Regulatory and Economic
  • Relationship of regulatory capital and economic capital
  • The impacts of Basel III on the practice of ALM
  • Linkage of regulatory capital to ALM portfolios
  • Credit, market, and operational risk capital
  • Review of existing and new capital standards, supervisory review, and market transparency requirements
  • Evolution of modelling requirements and the role of ALM
  • Update on Basel III decisions
Workshop Summary and Conclusions: ALM and Financial Performance
  • Balancing financial performance targets within risk management policies and controls
  • Developing acceptable business and entity wide ALM profiles
  • Business unit and entity wide return risk budgeting
  • Measuring ALM financial performance
  • Returns on economic and risk adjusted capital
  • Efficient employment and allocation of capital
  • The role of ALM in the deployment, management and conservation of capital
  • Development of resources for ALM and preparing for the future
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