Strategic ALM, Treasury and Capital
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I think the course content was exactly what was needed to integrate the ALM process with capital budgeting and risk. My tutor was highly experienced knew how to approach our lessons. Highly recommended!
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Short course
In Singapore (Singapore), London and New York (USA)
Climb the ladder of the finance field with London Financial Studies!
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Type
Short course
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Location
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Duration
3 Days
Strategic ALM can significantly improve financial performance by delivering a better balance between returns and risks across a more comprehensive set of both on and off balance sheet assets and liabilities.
This advanced programme covers best practice in Asset Liability Management (ALM), as well as ALM’s role as a strategic function in financial institutions.
Practical application and strategic decision making is emphasised via group facilitated discussions, exercises, and case studies.
Facilities
Location
Start date
Start date
Start date
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About this course
After attending this course delegates will be able to:
Understand the evolution of ALM and the choices we face today
Assess ALM reward risk opportunities for various strategic business activities
Measure, implement, and manage strategic ALM decisions for banking books as well as other major activities, including investments, liquidity, and trading positions
Assess opportunities to incorporate a broad range of businesses, including credit units, into ALM
Understand suitable and appropriate roles for derivatives in ALM
Organise and manage successful ALM and ALCO reports and meetings
Review and integrate financing strategies into the ALM plan
Develop and implement comprehensive transfer pricing schemes
Integrate liquidity management into ALM practices
Consider business unit and entity wide reward risk budgeting under the auspices of ALM
Design a capital plan for the institution consistent with risks and regulations
Understand the implications of Basel III on capital development
Learn how appropriate uses of strategic ALM can impact improve returns on economic or risk adjusted capital
Members of the Asset Liability Committee (ALCO)
Treasury professionals
Money market and FX traders
Management of credit, deposit, and other major business units
Liquidity investment managers and traders
Capital markets teams covering financial institutions
Strategic planning professionals
Risk managers and risk controllers
Financial officers and auditors (internal and external)
Regulators overseeing banking, investment, and trading books
IT professionals specialising in treasury systems
It is assumed that participants have a basic familiarity with a bank’s treasury operations, banking activities, and fundamental market instruments such as forwards, swaps, and options.
Reviews
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I think the course content was exactly what was needed to integrate the ALM process with capital budgeting and risk. My tutor was highly experienced knew how to approach our lessons. Highly recommended!
← | →
Course rating
Recommended
Centre rating
Anonymous
This centre's achievements
All courses are up to date
The average rating is higher than 3.7
More than 50 reviews in the last 12 months
This centre has featured on Emagister for 16 years
Subjects
- Credit
- Market
- IT risk
- Risk
- Derivatives
- Financial Training
- Financial
- Returns
- Banking
- Balance Sheet
- Investment
- Deposits
- Budgeting
- Retail
- Loans
- Strategic ALM
- Treasury
- Economic Capital
- ALCO
- Risk Management
- NII management
- Stock flow
- Elasticity
- FX traders
- Financial Institutions
Teachers and trainers (1)
William Allen
Teacher
William Allen has over 35 years working in banking and finance. He is a senior consultant and speaker in the areas of executive bank management, ALM, treasury, risk management, capital markets, derivatives, and portfolio management. Mr Allen previously worked with JP Morgan in treasury, capital markets, risk management, securities and derivatives activities. Before consulting he worked as a portfolio manager and chief investment officer of a university endowment.
Course programme
ALM Introduction and Overview
- The evolving role of ALM in various financial institutions
- Strategic ALM and economic capital
- Expanding portfolio of assets and liabilities within the ALM perspective
- Using ALM to manage returns on risks
- Important links for liquidity management and transfer pricing through ALM
- What committees/groups (e.g., ALCO and possibly other groups) need be formed?
- Where do these committees report in the overall organisation?
- Who should attend the meetings?
- Who should be the titular head of the committee? Who should act as secretary/facilitator?
- How frequent should meetings be held and what is an optimal time length?
- What assets and liabilities should be reviewed?
- What type of reports should be presented?
- What decisions should be made by the committee?
- ALM functions related to Treasury, Finance, and Risk Management
- Regulations and ALM perspectives
- Relationship of regulatory capital and economic capital
- The role of ALM in reward risk budgeting
- Development of ALM in the future
- Creation and categorization of assets and liabilities in the banking book
- Measuring interest rate, liquidity and currency gaps
- Identifying interest rate sensitive assets and liabilities that impact performance
- Traditional gap analysis of standard asset and liability products
- Basis, yield curve twist, and re investment/re funding risks
- Measuring Net Interest Income (NII) risks with static and dynamic sensitivity analysis
- Multi currency NII ALM techniques and strategies
- Complications from financial, contractual, and real options in assets and liabilities
- Estimating impacts of volatility and correlations in assets and liabilities
- Stress testing NII management approaches
- NII impacts on liquidity and capital management
- Earnings at risk metrics for NII
- Impacts on capital from income changes and financial performance
- Choices for measuring interest rate and currency risks?
- How should we set limits on risk taking?
- Should we be able to increase risks to profit from expected market conditions?
- Who should be charged with taking these risks?
- How can risks be reduced or increased through cooperation of various business units? Should we use cash positions or derivatives?
Balance Sheet Development
- Stock flow balance sheet analyses
- Balance sheet maturity transformation and liquidity risks
- How the banking industry evolved into the situation we find today
- Primary and derived deposits and bank loans
- Complications in money supply, the banking world, and the economy
- Simultaneity of asset and liability creation and destruction
- Linkage/de linkage of central bank reserves and money
- Management of reserves, reserve requirements, and central bank policies
- Understanding the impacts of quantitative easing on banks and the economy
- Narrow and “real bills” banking compared to broad investment/universal banking
- Banking positions evolving to securities and off balance sheet items
- Collateral management within ALM
- Customers’ loans create deposits?
- Where do primary deposit monies come from?
- How much liquidity do we need for these businesses?
- How do we manage reserves? Manage capital?
- The role of central bank and interbank market for our activities?
- What can we do with excess reserves?
- Strategic use of trading, available for sale and investment portfolios
- Managing collateral against these positions
- Portfolio management techniques for strategic ALM
- Price risks in bonds and other asset liability portfolios
- Classical Value at Risk (VaR), Expected Shortfall, and other analytical frameworks for market value portfolios
- Behavioural sensitivities on valuations and returns
- Value impacts of off balance sheet commitments and contingencies
- Simulating risks and returns on portfolios
- Comparing risk metrics alternatives
- Hedge strategies for market risks
- Special problems for commercial and retail mortgage securities, credit card portfolios, and other ABS products
- Developing limits packages for business units
- Establishing ALM policies and controls for market value portfolios
- Impacts on capital from market value changes and financial performance
- Viewing the banking book assets and liabilities as a variant of market value assets and liabilities
- Transfer pricing for market value portfolios
- Review of interest rate and foreign exchange derivatives used in ALM
- Mark to market and mark to model techniques
- Applications of interest rate derivatives in NII, market value portfolios, and liquidity/funding management
- Hedging strategies and effectiveness
- Qualifying hedges versus non qualifying use of derivatives?
- Should derivatives be used to enhance the income profile?
- What are advantages and disadvantages of these types of strategies?
- Are structured derivatives that provide income benefits suitable?
- Accounting, liquidity and counterparty concerns from uses of derivatives in ALM
- ALM impact of derivatives moving to Central Counterparties (CCPs) versus bilateral trades remaining on balance sheet
- Collateral and capital implications of the changes in derivatives regulations
- Derivatives hedges counterparty valuation adjustments (CVA)
- Own debt fair Value Adjustments (DVA) and Funding Value Adjustments (FVA)
- Impacts on capital and financial performance from derivatives applications
- Credit exposures in commercial / retail loans, credit risky bonds and counterparty trades
- Credit metrics for expected and unexpected losses
- Developing credit value at risk for return risk budgeting
- Interpreting and using credit spreads
- Benefits and challenges of active credit portfolio risk management
- Using credit derivatives to manage and / or securitize credit risk
- Applications of Credit Default Swaps (CDS), credit linked notes, and other credit derivatives products in ALM
- Appropriate frameworks for valuing credit risk
- Incorporating credit spread risks into limits and capital
- Attribution of credit versus market returns to decision makers
- Credit risk management through securitization and strategic structured finance
- Transfer pricing adjustments using own credit spreads and country credit spreads
- Impacts on capital from involvement in credit concerns by ALM and financial performance
- Establishing ALM policies and controls for credit portfolio risks
Strategic ALM Involvement with Credit and Counterparty Exposures (continued from Day 2)
Financing Strategies Managed by ALM
- Defining the mix of financing alternatives
- The relationship of liquidity, financing, and capital
- The role of retail and commercial deposits in ALM
- What are the appropriate frameworks for transfer pricing?
- How should we build out transfer pricing rates for various business units?
- Should transfer pricing have a profit element?
- Incorporating lines of credit and contingent liquidity into transfer pricing?
- Who should decide transfer pricing rates? How frequently?
- Special issues for transfer pricing to deposit and funding businesses?
- Estimating deposit run off, elasticity and liquidity impacts
- Developing and maintaining financial market access
- Framework for measuring and optimizing financing choices
- Managing liquidity and financing maturity profile
- Maintaining desired rating and financial flexibility
- Risks and rewards inherent in various financing choices
- Use of derivatives in financing strategies
- Securitization and credit enhancement strategic financing strategies
- Opportunities for structured financing products and strategies
- Off balance sheet and special purpose vehicle financing
- Impact of regulatory capital requirements on financing strategies
- Regulatory requirements for liquidity maintenance
- Relationship of regulatory capital and economic capital
- The impacts of Basel III on the practice of ALM
- Linkage of regulatory capital to ALM portfolios
- Credit, market, and operational risk capital
- Review of existing and new capital standards, supervisory review, and market transparency requirements
- Evolution of modelling requirements and the role of ALM
- Update on Basel III decisions
- Balancing financial performance targets within risk management policies and controls
- Developing acceptable business and entity wide ALM profiles
- Business unit and entity wide return risk budgeting
- Measuring ALM financial performance
- Returns on economic and risk adjusted capital
- Efficient employment and allocation of capital
- The role of ALM in the deployment, management and conservation of capital
- Development of resources for ALM and preparing for the future
Strategic ALM, Treasury and Capital