THE MECHANICS OF ASSET AND LIABILITY MANAGEMENT

THE MECHANICS OF

ASSET AND LIABILITY MANAGEMENT

Contact:www.iff-training.comTel: +44(0)20 7017 7190Email: [email protected]

POSTGRADUATE CERTIFICATEDELIVERED BY DISTANCE LEARNING OVER 16 WEEKS

WHAT YOU WILL LEARN On completion of this distance learning course you will have a comprehensive understanding of the key principles and core elements of Asset & Liability Management (ALM) within a bank. The course explores the fundamental issues and challenges (risk appetite, risk identification and analysis, mitigants and controls, etc.) commonly faced in banking and finance. Each module is delivered by a combination of specifically tailored course readings, screencast presentations, tests of comprehension and case studies and is supported by an online forum that provides an opportunity to network with other participants and the course director.

The role of the ALM function demands the management of all possible risks, plus an optimisation element seeking to manage the execution and derive lower funding costs and increased profitability, all the while monitoring it with regard to internal and external regulatory rules. As such this role is constantly developing. Given this market pressure, the relentless pursuit for the most efficient and productive use of a bank’s resources subject to consolidated risk and return appetite, becomes increasingly important for banks of all sizes. This course will provide detailed descriptions of core processes and technologies, together with example data and calculations, to enable you to assess a bank’s ALM reports and review the strategies with confidence.

COURSE AT A GLANCEUnit 1 – Risks in Banking and the Function of ALMUnit 2 – Roles, Responsibilities and Constraints on ALMUnit 3 – ALM for Banks in ContextUnit 4 – ALM and Capital RiskUnit 5 – ALM and Market Risk Unit 6 – ALM and Liquidity Risk Unit 7 – ALM Techniques Unit 8 – The Future of ALM

COURSE LEADERCRAIG WILLIAMS

Craig Williams is an investment banker whose career has spanned many areas from accounting/audit and treasury operations roles onto risk control and multi-currency fixed income risk and portfolio management. This later developed into a market-maker trading role, complemented by managing

large credit portfolios, before expanding into wider corporate finance roles.

Craig’s training career started in 2001 delivering advanced capital markets courses globally. He also developed courses in private wealth management, options and operational risk. He is a member of the Chartered Institute for Securities & Investment (CISI) and holds the International Operations Certificate.

Craig’s broad banking experience allows him to deliver practical and engaging courses across a wide curriculum including, regulatory accounting, IFRS9, spreadsheet modelling, risk management and control (Liquidity, Capital, Market & Operational) together with the full spread of global markets products at the cash and advanced derivative levels. He has trained many of the global banks including BNP, Deutsche Bank, HSBC and Morgan Stanley.

HOW YOU WILL LEARN• A new module is released every two weeks

• You can read the units online, save them to your computer or print them out

• You set the pace for yourself

• No need to travel or take time off work – cost effective

• Apply the knowledge, skills and expertise to your work straight away

POST GRADUATE CERTIFICATETo make your studies more relevant and valuable, the course is validated by the Business School at Middlesex University at a Postgraduate Certificate level. For those wishing to receive a Postgraduate Certificate from Middlesex University, an additional marked assignment of 5000 words will need to be submitted, based on a continuing case study that runs throughout the duration of the course.

PRICE Standard Price – £1999With Postgraduate Certificate- £2359

* VAT may be payable depending on your location – see online booking page for details

HOW TO APPLYTel: +44 (0)20 7017 7190 Email: [email protected]

CUSTOMISED TRAININGIFF’s bespoke digital training solutions will help you address your specific key business challenges. The programme is designed for you, with content focusing on the issues you and your teams are facing. The fully branded digital course will be hosted by us, and unlike other online courses, your employees will receive a specialist qualification at the end of the programme from a London University.

• Tailored content - 100% targeted to cover your business needs

• No travel or time out of the office – 100% Distance Learning

• Value for money – train teams of staff at the same time

• Risk free – we’ve been doing this for 30 years

We will meet you anywhere in the world. If you would like one of our consultants to talk about your needs in more detail or if you would like more information on our customised training solutions, please contact us on +44 (0)20 7017 7190 or email: [email protected]

COURSE INFORMATIONDELIVERED BY DISTANCE LEARNING OVER 16 WEEKS

APPLY ONLINE HERE

https://informaconnect.com/the-mechanics-of-asset-and-liability-management/purchase/select-course-option/


COURSE SYLLABUS

UNIT 1 RISKS IN BANKING AND THE FUNCTION OF ALMUnit Learning Aims and ObjectivesTo review and assess:. The importance and economics of risk management in

banking. Principles of strategic ALM and the relationship

between business strategy and value creation. ALM and the relationship with treasury management. How ALM contributes to the financial health of a bank,

diversification of returns and ratings targets. Current events as case studies

UNIT CONTENT• Strategic ALM principles and the creation of shareholder

value• Key areas of – ALM risk – Credit risk – Market risk – Liquidity risk – Interest rate – FX • Core ALM activities – Mismatch management and performance

measurement – Funds Transfer Pricing (FTP) – Liquidity management• Scope of the ALM function and relationships between the

Treasury function and ALM• Key challenges and economics of ALM, risk management

and Return on Risk-Adjusted Capital (RAROC)• Planning and monitoring internal and regulatory capital

adequacy

UNIT 2ROLES, RESPONSIBILITIES AND CONSTRAINTS ON ALMUnit Learning Aims and ObjectivesTo describe and compare:. International regulatory frameworks for bank’s risk

governance under – Basel III. Key principles for minimum capital, leverage ratio, and

liquidity requirements, and the impact from UK, US and European perspectives

. The fundamental components of capital management policy, risk capital assessments and capital generation

. Risk management processes and the application of short to medium term indicators for risk control and disclosure

. The roles and responsibilities of the board of directors and the role, composition, authority and workings of the senior ALM committee

UNIT CONTENT• The international regulatory framework for bank’s risk

governance, appetite, and strategy – Basel III• Capital management approach and policy – Stress testing – Assessing risks to capital – Risk-weighted asset targets and capital generation• ALM short-medium term indicators – Capital Adequacy Ratio (CAR) – Leverage ratio, Liquidity Coverage Ratio (LCR) – Net Stable Funding Ratio (NSFR)• Basel III capital and liquidity standards, including differing

UK, US and European perspectives in terms of specific capital requirements

– The CRD IV package in Europe – Prudential Regulation Authority (PRA) in the UK – Federal Reserve Board alignment in the US• Risk management processes, risk disclosures and additional

oversight functions• Role and responsibilities of the Board of Directors, senior

ALM committees and sub-committees

UNIT 3ALM FOR BANKS IN CONTEXTUnit Learning Aims and ObjectivesTo review and assess:. The structure and components of bank financial

statements and the key relationships for long-term bank earnings

. Ratio analysis and key metric identification for credit risk, liquidity risk, interest rate risk and capital risk

. The impact of Net Interest Margin (NIM), earning assets, and operating efficiencies

. The principles of bank profitability and Return-On-Equity (ROE) over cycles

UNIT CONTENT• Financial statement integration; linking the balance sheet

accounts and income statement components of a bank• Cash flow derivation, volatility and the key relationships for

liquidity control• Key ratios measurements assumed by a bank for – Credit risk – Liquidity risk – Interest rate risk – Capital risk • Importance sources of bank profitability – Net Interest Margin (NIM) – Earning assets – Operating efficiency • Principles and application of the Return-On-Equity (ROE)

model for analysing bank profitability over time and against peers

CASE STUDY – Excel-based case studies for financial statement analysis and interpretation

COURSE SYLLABUS

UNIT 4ALM AND CAPITAL RISK Unit Learning Aims and ObjectivesTo describe and explain:. The role of bank capital and its definitions. How bank capital and exposures are measured. The impact of the Internal Capital Adequacy Assessment

Process (ICAAP). The role of ICAAP for banking groups in international

arenas. Risk appetite strategy and evaluating capital planning. Capital risk management processes to define risk-bearing

capacity, quantifying the risk appetite and assigning capital limits to business units

. The impact of the Fundamental review of the Trading Book (FRTB)

. Modelling risk and non-modellable risk factor (NMRF) requirements for minimum capital requirements

UNIT CONTENT• Definition, role and types of bank capital and the extension

of reporting requirements• Measuring bank capital – Exposures under the Comprehensive Capital Analysis

and Review (CCAR)• Internal Capital Adequacy Assessment Process (ICAAP) and

its implications• Fundamental Review of the Trading Book (FRTB) – The new internal models approach for minimum capital

requirements• Non-modellable risk factor (NMRF) requirement for factors

with limited observable market data • Judging Jump-to-Default (JTD) risk and Default Risk

Capital (DRC) requirements

UNIT 5ALM AND MARKET RISK Unit Learning Aims and ObjectivesTo describe and explain:. Sources and significance of market risk. Standard techniques for market risk assessment,

including gap analysis, duration analysis, scenario analysis

. Why the move from VaR to Expected Shortfall (ES) calculations

. Evaluation of Interest Rate Risk in the Banking Book (IRRBB)

. Scenario analysis on prepayment risk, pipeline and attrition risks and other potential drivers of earnings volatility

. Risk measurement metrics and longer-term indicators from Economic Value of Equity (EVE) to Earnings at Risk (EAR) for market risk reporting

UNIT CONTENT• Sources of market risk• The importance of Interest Rate Risk in the Banking Book

(IRRBB)• Techniques to identify market risk – Gap analysis – Duration analysis – Scenario analysis• From VaR to Expected Shortfall (ES) metric and its advantages

and disadvantages• Longer-term indicators – Economic Value of Equity (EVE), its advantages and

disadvantages and how to calculate it• Longer-term indicators – Earnings at Risk (EAR), advantages and disadvantages and

its calculation• Key principles for market risk reporting

CASE STUDY – Current events

UNIT 6ALM AND LIQUIDITY RISK Unit Learning Aims and ObjectivesTo analyse and evaluate:. Basel III, liquidity risk and creating successful management

structures. Liquidity risk types and implications for management

methods. Measurement and monitoring approaches for funding

requirements. An appropriate Funds Transfer Pricing (FTP) mechanism. Liquidity stress testing to identify vulnerabilities under

various scenarios. Early warning indicators and robust contingency funding

plans (CFPs)

UNIT CONTENT• Structures for liquidity risk management• Significance of liquidity risk and Basel III• Types of liquidity risk – Funding (cash flow) – Liquidity risk – Market (asset) liquidity risk• Approaches for measuring and managing market liquidity risk• Key sources of liquidity risk – Maturity mismatch – Collateral posting requirements – Off-balance sheet instruments• Liquidity stress-testing elements – Cash forecast – Roll-off forecast – Liquidity forecast• Measuring and monitoring net funding requirements• Funds Transfer Pricing (FTP) and how FTP rates can be

determined

CASE STUDY – Previous liquidity challenges

COURSE SYLLABUS

UNIT 7ALM TECHNIQUESUnit Learning Aims and ObjectivesTo assess:. The characteristics and application of derivatives for

hedging purposes. Gap exposure management strategies with interest

rate forwards/futures. Interest rate swaps applications to generate a hedging

strategy. Option characteristics and their core applications in

hedging strategies

UNIT CONTENT• Fundamental forward/futures concepts• Principles of risk hedging with derivatives• Futures and forwards characteristics as hedging tools• Using interest rate forwards/futures – Hedging a gap position• Construction and application of interest rate swaps• Advantages and limitations of swap markets• Using swaps – Transforming exposures• Use of interest rate swaps as part of a hedging strategy• Option characteristics and core applications• Use of options in hedging strategies• Opportunities with caps, floor & collars

CASE STUDY – Excel-based exercises

UNIT 8THE FUTURE OF ALM Unit Learning Aims and ObjectivesTo analyse and evaluate: . Balance sheet management and ALM and the role of

Treasury under future regulatory pressures. Proactive balance sheet management implementation

challenges. Optimisation and maximisation strategies while

meeting the competing needs of regulators, customers and shareholders

. The role and importance of the Board of Directors and Asset and Liability Management Committee (ALCO) in the future

. Future strategies for banks asset origination and liability raising activities

UNIT CONTENT• Potential future of ALM – Beyond Basel III – Regulatory changes• Opportunities for proactive balance sheet management – ALM and the future role of Treasury• Implementation challenges for proactive balance sheet

management• Directing asset origination and liability raising within

ALM• Balance sheet optimisation and the maximisation of

Return-On-Equity (ROE) to meeting the competing needs of regulators, customers and shareholders

• Future strategies for banks current business models• Role and importance of the Board of Directors and Asset

and Liability Management Committee (ALCO) in the future

OPTION OF A POSTGRADUATE CERTIFICATE WITH MIDDLESEX UNIVERSITYYou have the unique opportunity to choose a validatedoption for this course and receive a postgraduatecertificate on completion. This is a MiddlesexUniversity qualification, jointly developed by MiddlesexUniversity and IFF, and quality assured by MiddlesexUniversity. However, if university validation isn’timportant to you there is still the opportunity to takethe standard non-validated course.

WHAT DOES THE CERTIFICATE ENTAIL?In addition to studying all the units and passing the shortself assessment tests after each unit, you will need tosubmit a 5000 word assignment at the end of the coursewhich will be assessed. The assignment will be acumulative project that you will work through and buildupon during each stage of the course.

If you wish to book on the certification course there willbe an assessment fee of £360.

ENTRY REQUIREMENTSParticipants wishing to undertake the Postgraduate Certificate are required to have a degree or equivalent qualification (or relevant work experience).

Participants wishing to undertake the course but not receive the Postgraduate Certificate are not required to have any formal qualifications.

ABOUT OUR PARTNER MIDDLESEX UNIVERSITY

HistoryMiddlesex University is a large London based university with a history in higher education dating from 1878. In 1992 it was granted the Royal Charter making it a university. The university offers a broad range of courses through four academic schools of Arts and Education; Business; Engineering and Information Sciences; Health and Social Sciences and their Institute for Work Based Learning.

Middlesex University has over 34,000 students studying on its courses worldwide, both at its own campuses and also with partner institutions, making it one of the largest providers of British university education to international students. Middlesex University has a long history of successful collaborations with the corporate sector. It was the first academic institution to develop industry specific MBA programmes (Shipping & Logistics and Oil & Gas) delivered 100% by distance learning.

INTERNATIONAL REACHMiddlesex University is committed to meeting the needs and ambitions of a culturally and internationally diverse range of students by providing challenging academic programmes. It has a major international business school based in London with overseas campuses in Dubai and Mauritius and a global portfolio of partnerships delivering high quality validated programmes in business and management.

Staff and students come from a wide spectrum of cultures and backgrounds with a common interest in executive education that is world class, modern and applicable. Middlesex University Business School is proud of its dedicated teachers and its rich range of learning resources including distance learning and virtual learning environments.

BENEFITS OF STUDYING FOR A POSTGRADUATE CERTIFICATE WITH US

A MIDDLESEX POSTGRADUATE CERTIFICATE:n Is project based and practicaln Offers networking opportunities during and

after the coursen Provides exceptional teaching staffn Delivers applied learning experiencesn Combines academic rigour with individual

support

HOW IS THE COURSE VALIDATED?This programme is quality assured by Middlesex University and after successfully completing your studies you will receive a Postgraduate Certificate from Middlesex University. Middlesex Certificates are recognised worldwide.

QUALITYThe Quality Assurance Agency (QAA) visited Middlesex in 2015 and noted in its report that its auditors had confidence in the University’s current and likely future management of its academic standards and of the learning opportunities available to students.

THE UNIVERSITY IS A MAJOR PROVIDER OF BUSINESS AND MANAGEMENT EDUCATION, WITH AN IMPRESSIVE TRACK RECORD OF WORKING IN PARTNERSHIP WITH THE PUBLIC AND THE PRIVATE SECTOR, AS WELL AS INTERNATIONAL ORGANISATIONS

IFF is the learning partner of

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THE MECHANICS OF ASSET AND LIABILITY MANAGEMENT

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