Asset Liability Management

Bank Asset & Liability Management is an intermediate level ALM course targeted at bank managers that have good knowledge of financial markets and risk quantification models, and will provide a framework to bank managers with the essential competencies to understand all the quantitative models for interest rate risk and liquidity management and the core hedging strategies and regulatory compliance framework.

Background

This training course is a competency- based learning that will test your newly acquired skills in a computer based risk management simulation application in a near real life environment.

The course is a three day hands-on workshop based extensively (between 60 and 70%) on computer based ALM simulations analysis and decision making.

Course Objectives
1. Define and set risk policies and limits;
2. Understand the difference between the risk quantification models;
3. Analyse and define risk underwriting strategies and hedging strategies;
4. Understand the dynamics and difficulties of risk management;
5. Test their knowledge and risk competencies with real product and markets prices in a simulated economic environment.

ALM Simulation Overview
The courses are based on the principal that the learning experience is enhanced by hands-on exercises that replicate real management situations, where participants can test the concepts learned and understand the result of their management decisions. Hence we have created this course with a high level of integration between theoretical concepts, valuation models and risk management methodology descriptions and computer aided Asset and Liabilities Management simulation.

All our ALM programs share a common simulation program. The environment can be adapted to the general economic environment of the participants, with adaptation to all macroeconomic variable, the market rates and yields etc. Also the on and off balance sheet exposures will be adapted to the market we are training.

Game Operation
Participants are divided into teams of 3 to 5 participants. Each will assume the role and responsibilities of a Bank Asset and Liability Management Committee (ALCO). The Balance Sheet (BS) we have created is designed to highlight some of the major issues involved in ALM decision-making and has a mix of on and off balance sheet, fixed and variable financial contracts. The markets integrated are wholesale and retail. The simulation is based on realistic products that contain embedded options, client behaviour variables and pricing dynamics.

Many ALM constraints and management difficulties are integrated in the simulation, including :
1. Basis Risk (funding of asset with liability from different markets and/or with different rate volatility);
2. Risk /return arbitrage between illiquid and liquid assets.
3. Yield curve directional positions and risk/return analysis of risk underwriting and hedging strategies;
4. Product elasticity to price and client behavior based strategies.
5. Variance and covariance optimization strategies.

After each main concept has been explained, the participants will be required to analyze the financial market (yield curve) and the assets and liabilities of a simulated bank. They will be asked to define ALM policies and strategies, analyze interest risk sensitivities using different analytical models and finally to define risk optimization strategies.

This simulation is built around the idea of reviewing the same financial exposures using all the different valuation methodologies will allow a better understanding of the ALM models, and improve their decision taking capabilities by allowing a precise causality between decision and financial consequence.

Each ALCO group will receive the same data and be required to make their own decisions. These are then discussed in full session with all trainees. We schedule three to six ALCO meetings depending on the length of the course. We will use the simulation to illustrate the concepts in a single group ALCO chaired by the trainer.

Conceptual Key Features
Each course has a specific schedule and content. All will make reference and/or review in more or less detail the subjects listed here below. In regards to the content description of each course we will keep a flexible attitude and be very reactive to the level of each group to ensure that they get the maximum information out of the course, workshop / simulation.

1. Definitions and general background to Asset & Liability Management
a.  The financial markets and variables
b.  Asset & Liability Management principals
c.  ALM organizational issues

2. Asset & Liability Management : ALM valuation models
a.  Financial contract definitions and cash flow analysis
b.  The profitability sensitivities
c.  The value sensitivities: analytical approach
d. The value sensitivities: statistical and probabilistic approach

3. Asset & Liabilities Management : Interest rate exposure management
a.  Assumptions interest rate risk
b.  Hedging interest rate risks policies and methodologies
c.  Risk reporting

4. Integration of ALM in day-to-day bank management
a.  Risk Transfer Pricing (funds, liquidity, credit risk),
b.  Product development (retail, corporate)

Who Should Attend

•   Asset Liability & Risk Managers
•   Treasury and Fund Managers, Money Market Traders
•   CFOs, Budget & Capital Planning Executives
•   Financial Controllers, Auditors, Accountants, Management Consultants

Course Trainer

Mr. Clive W. held various positions at Chase Manhattan Bank NA, including Vice President, Country Manager Chase, Belgium, Vice President, Region Risk Management Sales Executive, Northern Europe, Vice President/Director Corporate Finance Department, Vice President, Special Advisor to the Country Manager, Belgium, Assistant Vice President, Corporate Market Manager and Head of Institutional Banking.

Clive earned his Master's in applied economics from the University of Louvain, Belgium. He started his career at American Express International Banking  Corporation and remained engaged as a Visiting Professor with Nijenrode University, Amsterdam and Facultés Universitaires Saint-Louis (FUSL), Brussels, teaching risk management and credit risk management, respectively.

Mr. Clive W. has over 15 years experience in banking, sales and marketing, risk management (credit, ALM, market), product development and management, budgeting / MIS and strategic planning, country and general. He serves as a member of various Asset Liability and Executive Management Committees. He has over 20 years of consulting experience in the finance industry at senior and board levels, with a focus on strategy, risk and regulatory compliance, management accounting, budgeting and performance systems and models. He is a frequent speaker at international conferences in Europe, Asia, Middle East and Africa.

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For registration, please e-mail info@stellarcg.com or contact Andrew at (65) 6336 5458.