The course is designed for senior foreign exchange and money market dealers, corporate and bank treasurers as well as senior operations staff or any financial markets professional who need to get a profound understanding of Asset, Liability & Risk Management.
Asset Liability Management (ALM) is Banking Book Risk Management. ALM covers liquidity, interest rate risk in the banking book, the treatment of forex exposures arising from banking book positions as well as any and all structural issues of bank balance sheet management including a high level perspective on credit risk. Participants will understand the fundamental challenges of banking book management in commercial banks and other retail lenders. These include the behavioural risks and embedded optionalities in client assets and liabilities that may impact the liquidity, interest rate risk and forex profile of the institution. Solid knowledge of long-term funding opportunities, capital adequacy, regulatory constraints and supervisory review expectations vis-à-vis internal risk management practices will also be covered. With this appreciation of the underlying issues in ALM, participants will be in a position to structure derivatives, propose hedging strategies and devise other balance sheet management solutions for retail banking counterparties and in-house business lines.
Lecture, discussion, individual and group exercises, case studies