Asset Liability Management (ALM) has become a crucial task for banks and other financial institutions in the modern period due to volatile global markets, the development of innovative financial products, and shifting regulatory regimes. Therefore, it is crucial to define, quantify, track, and manage an institution’s exposure to liquidity, interest rate, and foreign exchange risks in a coordinated and consistent manner.
COURSE OUTLINE
- Scope of ALM
- Objectives of ALM
- Growing Relevance of ALM
- A Nine-part Framework for AL
- Strategies of ALM
- Yield Curve Analysis
- Interest Rate Gap Analysis – I
- Interest Rate Gap Analysis – II
- Interest Rate Gap Analysis – III
- Strategies for Interest Risk Management
- Basis Point Value
- Convexity
- Review of Statistical Concepts
- Value at Risk – I
- Value at Risk – II
- Application of Analytical Techniques
- AL Organization
- ALCO Meetings
- ALM Policies and Procedures
- Funds Transfer Pricing
- Funds Transfer Pricing-Practices
- Audit of ALM