Society of Actuaries and Alchemy Technologies are jointly organizing a full day Asset Liability Management (ALM) workshop in Dubai on 8th December 2014.
Targeted at the actuarial community in the Middle East, Turkey, East Africa and Far East the training workshop is designed for actuaries, management, executive committee and board members responsible for reviewing Asset Liability Management reporting for their financial institutions.
This hands on intermediate level workshop on asset liability and liquidity management reviews traditional models used to measure and manage interest rate and maturity mismatch risk. Topics covered include gap analysis, earnings at risk, stress testing and ALM simulations for board and regulatory reporting needs.
Participating members of Society of Actuaries will earn 7.2 continuing professional education credits for their CPD programs. The Society of Actuaries ALM workshop registration page is now open. Early bird registrations before 7th November 2014 enjoy a twenty percent discount.
1. Asset Liability Management – Learning objectives
At the end of this workshop participants will be able to:
- Work with primary tools required to measure and manage ALM risk profile of financial institutions.
- Understand the sources of interest rate and maturity mismatch risk and reporting requirements around these risks.
- Use scenario based methods, stress testing and simulations to highlight ALM and liquidity risk profile.
- Review the new Liquidity coverage and Net Stable Funding Ratio rules and their application and intent.
- Dissect the primary assumptions of the model to better understand weaknesses and points of failure.
2. ALM Workshop Level
Intermediate and advance users. The workshop is aimed at individuals responsible for asset liability management and risk management within insurance companies and banks.
3. Knowledge & Workshop Prerequisites
Familiarity with basic interest rate risk concepts, funding mismatch, liquidity, portfolio management. All participants are requested to arrange laptops with a functional version of Microsoft Excel.
4. Asset Liability Management Training – What is included
All participants receive:
- An 8 hour online pre-course video primer with access valid for 30 days.
- An electronic printable 180 PDF version of ALM crash course, 3rd edition.
- Session and course handouts.
- Participation certificate
- Workshops participants who are members of SOA are eligible for 7.2 CPD credits.
Location – The Address, Dubai Marina Mall, Dubai, UAE.
Date – 8th December 2014. 8 am – 4:30 pm
- 08:00 – 08:30 am – Registration & Networking
- 08:45 – 10:45 am – Sessions One
- 10:45 – 11:00 am – Tea break
- 11:00 – 13:00 pm – Session Two
- 13:00 – 14:15 pm – Lunch break
- 14:15 – 16:15 pm – Session Three
- 16:15 – 16:30 pm – Tea break and wrap up
Asset Liability Management Training Workshop – Course Outline
| Session & Title | Topics |
| Session One –Liquidity and ALM Models | Overview and introduction. Common terms and concepts. Duration, convexity, maturity mismatch, measuring mismatch, ALM models, key assumptions and drivers.Tools and reporting templates – Price and Maturity GAP, MVE and NPV Analysis, Net Interest Income, Earnings at Risk, Cost to Close and Liquidity. |
| Session Two – Building Models | An intuitive understanding of ALM reporting. Dissecting a simple two period scenario for Gaps, NII, Earning at Risk and MVE reporting. Extending the two period model to insurance and banking industry. |
| Session Three – Simulation case study. | A three part ALM simulation. Reconciling ALM simulation model results and intuition. Implications for Policies, Tools, Stress tests, ICAAP and Scenario analysis. Name crisis, Liquidity Coverage Ratio and Net Stable Funding Ratio rules. |
Facilitator Profile
Jawwad Farid has been building, selling and implementing risk, treasury, ALM and back office systems since 1995. Jawwad has an undergraduate degree in Computer Science, a MBA from Columbia Business School and is a Fellow Society of Actuaries.
Working with clients on four continents he helps bankers, boards and regulators take a more practical approach to risk management. He is the author of Models at Work and Options Greeks Primer, both published by Palgrave Macmillan in 2014.
He runs Alchemy Technologies, a risk consulting practice and writes about risk and treasury products at FinanceTrainingCourse.com. When he is not travelling for work he teaches risk and derivative pricing as an adjunct at the SP Jain School of Global management in Dubai and Singapore.
Training Dubai in December
December is the perfect month to visit Dubai. A combination of great weather and a packed event schedule that kicks off with the arrival of the peak tourist season. Dubai International Film Festival kicks off on 10th December 2014. The Pakistan New Zealand T20 cricket series starts off first week of December. IPTL Dubai Tennis finals begin from the 11th of December. And Dubai shopping festival kicks off with the start of the winter season.
Dubai weather in December ranges from a mild 16C to a comfortable 28C. Take a look at the Tripadvisor list of fun things to do in Dubai.