An ALM training aimed at ensuring that all staff involved directly and indirectly in Assets and Liability Management (ALM) including all members of ALCO, understand the core principles of ALM models and the responsibilities and processes of a pro-active asset and liability management framework.
ALM and ALCO are not a reporting functions but management functions, using detailed and sometimes complex financial models to quantify and price risks. The best way to illustrate the role and responsibilities of ALM / ALCO is to review the concepts applicable to the IRRBB, interest rate risk on the banking book, and liquidity risks, and apply these concepts to a computer based ALM simulation application, which replicated a real-life bank balance sheet and risks.
We will assume that the main concepts are known to the participants to focus on pragmatic issues and the simulation. Pragmatic issues will include how to organise ALCO meetings, the ALCO Package, ALM / ALCO targets and performance etc.
Understand the core principles of ALM models and the responsibilities and processes of a proactive asset and liability management framework.
Review the concepts applicable to the IRRBB, interest rate risk on the banking book, and liquidity risks.
Use detailed and sometimes complex financial models to quantify and price risks
Apply these concepts to a computer-based ALM simulation application, which replicated a real-life bank balance sheet and risks.
Discuss pragmatic issues and the simulation, pragmatic issues will include how to organize ALCO meetings, the ALCO Package, ALM / ALCO targets, and performance, etc.
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