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Financial E-Content > Asset Liability Management
Asset Liability Management
 
Course Demo
 
Product Features Demo
1. Asset Liability Management - A Library of 28 Courses
  1. Scope of ALM
 
Topics covered include:
  • The concept of asset liability management
  • The various types of market risks and their implications on the institution
  • The short term and the long term risks
Duration: 2 hours
 
  2. Objectives of ALM
 
Topics covered include:
  • Objectives of asset liability management
  • The target measures and its importance
  • The dichotomy of the two target measures, viz., NII and EVPE
Duration: 2 hours
 
  3. Growing Relevance of ALM
 
Topics covered Include:
  • The significance of ALM function
  • The various influencing factors – financial volatility, interest rate risk and others – that contribute to the growing relevance of ALM
  • The seven dimensions of interest rate risk
  • The various regulatory initiatives and the management’s recognition of ALM
Duration: 2 hours
 
  4. A Nine-part Framework for ALM
 
 
Topics covered include:
  • The purpose and significance of ALM framework
  • In detail the nine-components of ALM framework
  • The role, relevance and application of the framework
Duration: 2 hours
  5. Strategies of ALM
 
Topics covered include:
  • The various types of strategies in ALM process
  • The difference between the various strategies that can be used on the basis of parameters such as speed, flexibility, costs and risk involved
Duration: 2 hours
 
  6. Yield Curve Analysis
 
Topics covered include:
  • The concept of yield curve and its types
  • The various theories under yield curve analysis
  • The types of interest rates and its computation
  • The applications of yield curve analysis
Duration: 2 hours
 
  7. Interest Rate Gap Analysis - I
 
Topics covered include:
  • The concept of gap analysis
  • The method of preparation of gap report
  • The process of calculating gap, cumulative gap and related measures
  • The critical factors that have to be considered while slotting balance sheet items in the gap report.
  • How to identify the key positions in gap report
Duration: 2 hours
 
  8. Interest Rate Gap Analysis - II
 
Topics covered include:
  • The computation of income statement impact of gap
  • The process of setting up gap limits
  • The various restructuring strategies to be followed if gap is not within limits
  • The strengths and limitations of gap analysis
 
  9. Interest Rate Gap Analysis - III
 
This course introduces you to the various restructuring strategies to be followed if gap is not within limits. It elaborates on the on and off-balance strategies for controlling gap. The following strategies are discussed:
  • Asset Restructuring Strategy
  • Liability Restructuring Strategy
  • Growth Strategy
  • Shrinkage Strategy
  • Off-Balance Sheet Strategy
 
  10. Simulation and Scenario Analysis - I
 
Topics covered include:
  • The concept of simulation
  • The process of measuring risk positions or simulating various accounts and setting risk limits.
  • The distinction between various methods of choosing scenarios for simulation
  • The ways of presenting the outcomes of simulation
  • The various criteria used for selecting an appropriate business strategy
  • How to avoid analysis paralysis
  • The components and issues involved in simulation modeling
  • The concept of stress testing and backtesting
Duration: 2 hours
 
  11. Simulation and Scenario Analysis - II
 
 
Topics covered include:
  • Modeling of non-specific maturity items
  • The techniques for identifying various factors that affect account balances and for analyzing rate sensitivity of core deposits
  • The need to align business plan with various rate scenarios
  • The process and steps involved in Monte Carlo Simulation
  • The advantages and disadvantages of Monte Carlo Simulation
Duration: 2 hours
 
  12. Duration I
 
Topics covered include:
  • The concept of duration and modified duration
  • The application of formulae for duration and modified duration
  • The computation of different types of bonds
  • The relationship between duration, yield, coupon, maturity of a bond and thereby comprehend the properties of duration
Duration: 2 hours
 
  13. Duration II
 
 
Topics covered include:
  • The computation of duration of perpetual bonds, embedded options and floaters
  • The computation of duration of a portfolio
  • The application of the concept of duration for off-balance sheet items
  • The effects of approximation involved while using modified duration
  • The difference between gap and duration
  • The strategies of risk management
  • The strengths and limitations of duration
Duration: 2 Hours
 
  14. Duration III
 
This course explains duration of equity and leverages and other items. It helps the user understand:
  • The calculation of duration of equity
  • The designing of hedging strategies to manage the interest rate sensitivity of the balance sheet
Duration: 1.5-2 hours
 
  15. Duration IV
 
This unit introduces you to the duration of complex items. It helps the user understand:
  • Computation of duration of complex items by using the concept of portfolio replication
  • Duration calculations using zero coupon yields for finding present value of cash flows
Duration: 1.5-2 hours
 
  16. Strategies for Interest Risk Management
 
This course elaborates on the five strategies for interest rate risk management using duration.
  • Dedication
  • Immunization
  • Indexation
  • Active Management
  • Rate Anticipation
Duration: 1.5-2 hours
 
  17. Basis Point Value
 
Topics covered include:
  • The concept of basis point value
  • The change in the value of the portfolio due to one basis point change in the interest rates
  • The relationship between BPV, duration and modified duration
  • The calculation of BPV of on-balance sheet and off-balance sheet items
  • The computation of BPV of a portfolio
  • The advantages of BPV as a risk control technique
Duration: 2- 3 hours
 
  18. Convexity
 
Topics covered include:
  • The concept of convexity and its properties
  • The calculation of convexity of different types of bonds
  • The computation of convexity of a portfolio
  • The impact of price change on convexity
  • The concept of positive and negative convexity
Duration: 2- 3 hours
 
  19. Review of Statistical Concepts
 
Topics covered include:
  • The various statistical measures viz., measures of central tendency and measures of dispersion
  • The statistical relationship between the standard deviation and confidence intervals for normal distributions
  • The concept of correlation and volatility and the methods to calculate them
Duration: 2 hours
 
  20. Value at Risk - I
 
Topics covered include:
  • The concept of Value at Risk
  • The concept of trading and banking book
  • The various methodologies of estimating VaR and their strengths and weaknesses
  • The comparison between the strength and limitation of VaR
Duration: 2 hours
 
  21. Value at Risk - II
 
Topics covered include:
  • The computation of VaR of foreign exchange spot, foreign exchange options positions, common shares/stocks, fixed income portfolio
  • The various applications of VaR
Duration: 2- 3 hours
 
  22. Application of Analytical Techniques
 
Topics covered include:
  • The framework of the analytical techniques - gap, duration, simulation and value at risk
  • The concept and assumption under each technique
  • The comparison and analysis of each of the techniques across various parameters
  • The application of techniques with real life case studies
Duration: 2 hours
 
  23. AL Organization
 
Topics covered include:
  • The various elements of AL Organization viz., the ALCO, the AL sub-committee, and the ALCO support group
  • The scope of ALCO
  • The key issues of centralization and decentralization
Duration: 2 - 3 hours
 
  24. ALCO Meetings
 
This course discusses about the meetings in Asset Liability Organization. It helps the user understand:
  • The operational aspects of ALCO meetings
  • The data requirements of ALCO meetings
Duration: 1- 2 hours
 
  25. ALM Policies and Procedures
 
This course discusses about ALM policies and procedures. It helps the user understand:
  • The ALM policy and the procedure manual
  • The contents of the ALCO reports
Duration: 1-2 hours
 
  26. Funds Transfer Pricing
 
This course discusses the fundamental concepts of Funds Transfer Pricing (FTP). It helps the user understand:
  • The concept of funds transfer pricing
  • The various risks affecting the income and value of an institution
Duration: 2 - 3 hours
 
  27. Funds Transfer Pricing-Practices
 
This course presents an analysis of various techniques used in Funds Transfer Pricing. Duration: 1.5 - 2hours
 
  28. Audit of ALM
 
This course gives an introduction of the concept of audit of ALM. It helps the user understand:
  • The significance and concept of audit of ALM function
  • The overall approach and scope for the function of ALM audit
  • In details the applications of the audit process
  • The various types of AL models and examine different scenarios and assumptions involved in the audit
Duration: 2 - 3 hours
 
  Disclosures
  Regulations
  Benchmarking Data
  Policy Templates
  Measurement Tools
  Global Best Practices
2. Liquidity Management & Contingency Funding Plan - A Library of 14 Courses
  1. Role of Liquidity in ALM
 
This course gives an introduction to the role of liquidity in Asset Liability Management (ALM). Topics covered include:
  • The concept and relevance of Liquidity Management
  • Sound practices in liquidity management
  • The role of liquidity management in Asset Liability Management
  • The inter-relation between liquidity risks and the other risks
  • How to measure the quality of liquidity management
  • The costs and benefits of liquidity management
Duration: 2 hours
 
  2. Liquidity Crises - Case studies
 
This course is a compilation of case studies of various financial institutions. It helps the user understand the liquidity crises in the following:
  • Credit Lyonnais
  • Barings Bank
  • Continental Illinois National Bank
Duration: 2 hours
 
  3. Liquidity Measurement Systems -1
 
This course explains the use of ratio analysis as a powerful tool in liquidity management. It helps the user understand:
  • The application of ratios to measure the relationships between various components of a balance sheet
  • The analysis and measurement of liquidity ratios
  • The application of ratio analysis for planning an institution’s activities
  • A Bank’s on-balance sheet and off-balance sheet liquidity requirements
  • The comparison between the various liquidity measures
Duration: 2 hours
 
  4. Liquidity Measurement Systems - 2
 
This course explains how cash flows are used as a tool to measure liquidity. It helps the user understand:
  • The effects of asset liability changes on a banks liquidity
  • The use of cash flows as a tool to measure liquidity gap
  • The impact of maturity decisions on liquidity positions of banks and other institutions
  • The application of statistical techniques for identification of variations in balances
Duration: 2 hours
 
  5. Liquidity Measurement Systems - 3
 
This course gives an introduction to the various risk-based measures used by financial institutions. Topics covered include:
  • The application of risk based measures
  • The concept of liquidity conversion factor
  • The regulatory guidelines on risk-based measures
  • The various measurement strategies to manage liquidity
  • The relationship between business portfolio mix and liquidity management
  • The application of risk-based measures for liquidity
Duration: 2 hours
 
  6. Practical tools and techniques
 
This course gives an introduction to some practical tools and techniques that banks and financial institutions use to measure and monitor liquidity. It helps the user understand:
  • The application of practical tools to measure and monitor liquidity
  • The effect of business factor on techniques through the three case studies of
    • Subsidiary Bank
    • Regional Bank
    • Community Bank
Duration: 2 hours
 
  7. Liquidity Strategies - 1
 
This course deals with how banks and financial institutions could employ various liability strategies to reduce risks and improve liquidity. It helps the user understand the liquidity crises in the following:
  • The asset, liability and off-balance sheet strategies to manage liquidity
  • The use of FX-swap as a tool for transferring liquidity between different currencies
  • The practical applications of liquidity management policies
  • Costs and benefits of different ways of meeting liquidity
  • The use of asset securitization as a tool for liquidity management
 
  8. Liquidity Strategies - 2
 
This course highlights the challenges faced by the top management with respect to the liquidity of an institution. It helps the user understand:
  • The role of top management in formulating an organization’s liquidity strategy
  • The challenges faced by an organization in conceptualizing the liquidity profile
  • The liquidity risks in different lines of business:
    • Loan Purchases and Sales
    • Lease Financing
    • Mortgage Banking
    • Private Banking
 
  9. Trading Liquidity Risk -1
 
This course gives an introduction to how the top management of banks and financial institutions need to measure, monitor and address trading risks in their liquidity plan and management process. It helps the user understand:
  • The factors affecting the trading liquidity of an institution
  • The liquidity implications of different situations faced by an institution
  • The various trading instruments used by financial institutions
  • Forward Rate Agreements (FRAs) and their liquidity implications
Duration: 2 hours
 
  10. Trading Liquidity Risk - 2
 
This course deals with the instruments in trading liquidity risks. It helps the user understand:
  • The instruments used in trading liquidity: forwards, swaps and options
  • The risks associated with forwards, swaps and options
  • The methods of hedging risks using these trading instruments
  • The liquidity implications of these trading instruments
Duration: 2 hours
 
  11. Trading Liquidity Risk - 3
 
This course deals with the three trading instruments viz., Foreign Exchange, Money Market Securities and Foreign Exchange Options and their liquidity implications. It helps the user understand:
  • The other financial instruments used in trading liquidity, viz., foreign exchange, money market securities and foreign exchange options
  • The trading and funding liquidity risks associated with the above instruments
  • The risk warning control signs monitored by financial institutions to manage the risks
Duration: 2 hours
 
  12. Trading Liquidity Risk - 4
 
This course explains in detail the different strategies banks can employ to manage their trading liquidity risk. It helps the user understand:
  • The various strategies adopted by a financial institution to manage trading liquidity risk
  • The precautions for managing liquidity risks
  • The importance of trading liquidity management through case studies of
    • Granite partners
    • Long Term Capital Management (LTCM)
    • Metallgesellshaft
Duration: 2 hours
 
  13. Contingency Funding - 1
 
This course gives an introduction to Contingency Funding Plan. It helps the user understand:
  • The concept of Contingency Funding Plan (CFP) if normal business operations are affected by crises
  • The telltale signs of the emerging liquidity problems
  • The strategies adopted by financial institutions to deal with crisis situations
  • The six essential components of contingency funding plan
  • The evaluation of contingency funding plan against preset objectives
  • The FDICIA regulations governing liquidity management of financial institutions
Duration: 2 - 3 hours
 
  14. Contingency Funding - 2
 
This course discusses with the aid of a Real-Life Case Study, the various components of the actual Contingency Funding Plan (CFP) of a bank. It helps the user understand:
  • The components of contingency funding plan
  • The purpose, scope and content of contingency funding plan
  • Funds management and liquidity monitoring process
  • The identification of liquidity crises and its administration
Duration: 1- 2 hours
 
  Liquidity Disclosures
  Liquidity Regulations
  Benchmarking Data
  Policy Templates
  Measurement Tools
  Global Best Practices
17. Financial Institution Analysis - CAMELS Approach- A Library of 8 Courses
  1. Overview of CAMELS
 
  • CAMELS (description of each component)
  • Purpose of a rating system
  • Case study
 
  2. Earnings Ability
 
  • Different components of earnings
  • Importance of earnings to a bank’s financial condition
  • Different earning ratios on a UBPR
 
  3. Capital Adequacy
 
  • Purpose of capital
  • Factors for evaluating capital adequacy
  • Measurement of capital
  • Prompt Corrective Action
 
  4. Asset Quality
 
  • Concept of asset quality
  • Impact of asset quality on bank’s financial statements.
  • Concepts of past-due and non-accrual loans
  • Analyzing asset quality ratios
  • Asset classification and types of asset classification
  • Rating of asset quality
  • Adequacy of allowance for loans and leases losses (ALLL)
 
  5. Management Competence
 
  • Management organization and function
  • Assessment of management
  • Evaluation factors and ratings
  • Case study
 
  6. Liquidity Risk
 
  • Liquidity risk
  • Liquidity management
  • Factors for evaluating liquidity
  • Ratings
  • Case study for analysis
 
  7. Sensitivity to Market Risk
 
  • Components of market risk
  • Identifying areas sensitive to market risk
  • Measuring Interest rate Risk
  • Evaluating and rating sensitivity to market risk
 
  8. Composite Rating
 
  • Composite rating guidelines
  • Summary of component ratings
  • Assigning a composite rating to the case bank
 
  Measurement Tools
  Benchmarking Data
 
 

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