Bottova 2A, Bratislava 811 09, Slovakia

ALM Workshop

Assets and Liabilities Management (ALM) is an important part of the total bank management. ALM is in charge of correct mapping of all balance sheet items, modeling of administered products (without defined maturity) and separating particular risks. ALM also deals with strategic bond portfolio which includes credit-spread risk management. Application of fintech, more data and advanced algorithms can significantly improve the managing process.

Length: 3 days
Difficulty: Expert
Price: Individual (In-house)
Place: In-house (On-line / On-site)

Content

  • Introduction to ALM – ALM responsibilities in a bank, relations to Treasury, market risk and controlling
  • Internal prices FTP (Funds Transfer Price), set-up and rules of using in a bank 
  • Identification of interest risk using TP(IR), profitability calculation from interest gaps
  • Identification of liquidity risk using FTP(LQ), profitability calculation from liquidity gaps, liquidity reserve
  • Advanced FTP system - contingent liquidity spread, credit-spread, optionality, basis-spread, other FTP adjustments
  • Managing liquidity in a bank:
    • Methods for mapping the balance sheet items for liquidity management - replication portfolio for administered products and items without defined maturity 
    • Liquidity gaps and measurement of liquidity risk
    • Defining minimum liquidity 
    • Liquidity curve and liquidity costs/premium
    • Stress scenario for liquidity management
    • Liquidity ratios (LCR/NSFR)
    • ILAAP (Internal liquidity adequacy assessment process)
  • Managing interest risk in a bank:
    • Methods for mapping the balance sheet items for interest risk management - replication portfolio for administered products and items without defined maturity 
    • Interest gaps and measurement of interest risk
    • Yield from balance structure, revaluation, dynamic management and related risks
    • Regulation of interest risk - IRRBB (Interest rate risk of the banking book)
  • Fintech in ALM:
    • data structuring for ALM
    • using smart applications on ALM portfolios management
    • applying big data on ALM scenarios
    • AI (artificial intelligence) and pattern recognition in ALM management
  • Financial markets products for managing of liquidity and interest risk:
    • Money market (Depo, CD, CP, T-bills, Repo, OIS, FRA/Future)
    • Capital market (Fixed Income and bonds) products (various bonds, swaps, futures)
  • Principles of present value, yield curve and zero curve, modified duration, convexity, discount factors
  • Credit spread vs. interest risk, management of long-term interest position and bond portfolio in a bank
  • Examples and case studies from practice, excel-based calculations and explanations, ALM model on replication portfolio

Target group

  • ALM/Treasury professionals
  • Product managers and Risk managers
  • Participants of internal education programs
  • Bank professionals and experts from other related departments (audit, risk management, back-office, compliance ....)

Preparation

E-learning in the form of script and/or texts, questions, multi-level tests, solutions and explanations

Bearning ALM Workshop is adjustable for your target group according to your bank's needs. This training is available in-house for a bank or an organized group of professionals.