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Beacon FinTrain

Provides an array of professional business and financial training services that stem from improving a corporate's treasury workflow —all the way to efficient, finance training programs.

Course Overview

This course is designed to give bankers a comprehensive framework of the challenges of bank Asset and Liability Management and how to leverage good ALM practices to integrate into other bank management activities, such as sales and marketing, management accounting, product management and pricing and other activities such as audit, budgeting etc.

For More Inquiries

Aya Mohamed

Senior Business Development Specialist

 +201281190967

 a.mohamed@beaconfintrain.com

Aya Mohamed

Senior Business Development Specialist

 +201281190967

 a.mohamed@beaconfintrain.com

Course Outcome

Quantify the implicit and explicit risks underwritten by the banks through there commercial activities as well as through their proprietary trading and investment activities. The focus is on Interest Rate on the Banking Book (IRRBB) and Liquidity Risks.

Define risk management techniques and strategies.

Discuss ALM reporting for internal management purposes and for compliance reporting (Basel 3 and projected Basel 4).

Understand how to maximize the performance of the bank under asset and liability risk management constraint and risk appetite

Course Outline

Session 1: Concepts :Definitions and general background to Asset & Liability Management
The role and responsibilities of ALM The ALM performance targets, risk appetite and strategies The ALM compliance constraints The ALM reporting process Asset Liability Management principals
Session 2 Simulation ALCO 1 :Simulation ALCO 1
Market analysis and Bank balance sheet analysis Preparation of the bank’s risk policy, its risk limits (liquidity and interest rate risks) and development of the risk management recommendations (what, how and how much?) Development of adapted ALCO 1 strategy recommendations presentation to the board of directors of ALCO decisions
Session 3: Concepts :Asset & Liability Management: Interest Rate Risk on the Banking Book
Interest Rate Risk valuation models Repricing gap analysis (profitability sensitivity models) Maturity and Duration gap analysis (the value sensitivity models) Non-maturity contracts value sensitivities: statistical and probabilistic approach Value at Risk definition and principals VaR calculation methodologies Policies, limits, and performance metrics Rate management Market, arm’s length reference rates On and off-balance sheet strategies Variance and covariance analytics and risk portfolio optimisation strategies and metrics
Session 4: Simulation ALCO 2 :Simulation ALCO 2
a.Interest rate risk analysis (repricing maturity gap and Duration gap) b.Development of ALCO 2 recommendations to maximise the banks value through effective IRRBB management
Session 5: Concepts :Asset & Liability Management: Liquidity Risk
The Liquidity Risk valuation models Maturity gap analysis Ratio analysis; LCR & NSFR versus other ratios Liquidity Risk Management Liquidity cushions Off-balance sheet solutions Liquidity Plan

Who Should Attend

The course applies to all bank managers who need to understand the impact of ALM to their strategies and performance. ALM training will focus on understanding the risk valuation models and how these influence the banks activities (profitability, equity constraints, product management).
This training is important for bankers that wish to follow other risk and management related trainings such as Fund Transfer Pricing (FTP). No previous ALM or risk management competencies are needed, but good existing general banking competencies are required:
Executive, general, and senior managers
Finance teams specially Management Accounting officers
Business unit managers and heads of regional businesses and branches
Enterprise Risk Managers (ERM) including credit risk and compliance managers
Product Managers and Marketing managers.

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