Asset Liability Management
- Price: US$ 400.00
- Publisher: Kesdee
- Number of modules: 28
- Length: 56-84 hours
- Language: English
- Subscription: 12 months
In-Depth Library of ALM Foundations, Best Practices and Implementation Guidelines
Volatile global markets, proliferation of new financial products and changing regulatory environments have made Asset Liability Management (ALM) a critical function for banks, insurance companies and financial institutions today.
This course gives you all the tools you need to create, manage and execute ALM strategy. We guarantee that this is the most comprehensive offering for Asset Liability Management anywhere.
After finishing this ALM course, you will be able to:
- Manage assets and liabilities to meet regulatory/solvency/liquidity requirements
- Manage and diversify risk
- Reduce mismatches in your assets and liabilities
- Establish strategic directions for ALM
- Add value creation, Risk-adjusted Return on Capital (RAROC) and capital allocation
Asset Liability Management Couse Details
The Asset Liability Management course is made up of 28 modules, which take two to three hours each to complete. Below are the main topics.
Scope and Relevance of Asset Liability Management
- Interest Rate Risk
- Foreign Exchange Risk
- Commodity Risk
- Stock Market Risk
- Liquidity Risk
- Credit Risk
- Rate Scenario Table
- Short Term and Long Term Risk
- Nature and Significance of ALM
- Financial Volatility
- Regulatory Initiatives
A 9-part Framework for ALM
- Strategic Framework
- Organizational Framework
- Operational Framework
- Analytical Framework
- Technology Framework
- Information Reporting Framework
- Performance Measurement Framework
- Regulatory Compliance Framework
- Control Framework
Strategies of Asset Liability Management
Yield Curve Analysis
- Types of Yield Curves
- Analyzing Yield Curves
- Bond Arbitrage Strategies
- Application of Yield Curves
Interest Rate Gap Analysis
- Gap Report
- Considerations in Slotting of Different Items
- Income Impact
- Gap Limits
- Restructuring Strategies
- Strengths and Limitations
- Asset Restructuring Strategy
- Liability Restructuring Strategy
- Off-Balance-Sheet Strategy
Simulation and Scenario Analysis
- Measuring Risk Positions
- Scenarios and Results
- Simulation Modeling
- Backtesting
- Non-specific Maturity Items
- Business Strategies
- Monte Carlo Simulation
- Software Packages
Duration
- Duration versus Yield
- Duration versus Maturity
- Duration versus Coupon
- Duration of a Perpetual Bond
- Duration of Portfolio
- Duration of Off-Balance Sheet Items
- Duration versus Gap
- Payment Frequency
- Strategies for Risk Management
- Duration of Equity and Leverages
- Duration of Complex Items
- Leveraged Inverse Floaters
- Zero Coupon Yield Curves
Strategies for Internal Risk Management
- Dedication
- Immunization
- Indexation
- Active Management
- Rate Anticipation
Basis Point Value
- Calculation of Basis Point Value for On-Balance-Sheet Items
- Calculation of Basis Point Value for Off-Balance-Sheet Items
- Basis Point Value of a Portfolio
Convexity
- The Definition of Convexity
- Convexity Calculation
- Convexity and Yield
- Convexity, Maturity, Coupon and Price Change
- Convexity of Portfolio
- Positive and Negative Convexity
Statistical Concepts
- Statistical Measures
- Normal Distribution
- Correlation
- Volatility and Standard Deviation
Value at Risk
- Measures of Risk Exposure
- Computation of VaR
- Strengths and Limitations of VaR
- VaR for Foreign Currency Spot and Options
- VaR for Foreign Exchange Forwards
- VaR for Common Shares
- VaR for Fixed Income Securities
- VaR of a Portfolio
- Applications of VaR
ALM Organization
- Composition of Assets & Liabilities Management Committee (ALCO)
- Scope of ALCO
- Properties
- ALCO Meetings
- ALCO Data Requirements
ALM Policies and Procedures
Funds Transfer Pricing
Audit of ALM
Bonus: 20 Financial Calculators on Asset Liability Management
- Standard Deviation for a given Confidence Level
- Confidence Level for a given Standard Deviation
- Duration
- Duration of a Portfolio
- Duration using Zero Coupon Yield Curve
- Duration of Amortizing Assets
- Duration of uneven cash flows
- Duration of Equity
- Convexity
- Convexity of uneven cash flow
- Basis Point Value of a Bond
- Basis Point Value of a Forward Rate Agreement (FRA)
- Basis Point Value of a Portfolio
- Basis Point Value of a Coupon Paying Bond
- VaR - Variance Covariance Method
- VaR for Different Weights
- Gap Income Impact
- Forward Rate Calculator
- Zero Coupon Yield Calculator
- VaR for Required Period and Confidence Level
