Asset Liability Management – The ALM training survival guide

Asset Liability Management (ALM) Training & Survival Guide

Asset Liability Management (ALM) & Bank Capital

The Asset Liability Management (ALM) Crash course starts off with basic and core concepts and quickly delves into core tools including Gaps, Earnings at Risk and Cost to close reports. In addition to the traditional mismatch focus, the course also includes a short section on Liquidity Management as well as a related concepts section with relevant equations and ALM formulae.

Introduction – ALM – Asset Liability Management

Three new additions to this section include the ALM tweaks and hacks post, the kill a bank in one day simulation and trade weighted liquidity stress testing. All three post provide a link to ALM practice in the banking industry.

Asset Liability Management – Introducing ALM
Why does bank regulation fail? The Kill a bank in one day simulation
Asset Liability Management  – Assumptions, Convention, Tweaks & Hacks
Liquidity Stress Testing

Asset Liability Management (ALM) Core Concepts 

Interest Rate Risk: Duration, Macaulay Duration and Modified Duration
Interest Rate Risk: Convexity approximation
Asset Liability Management – Rate Sensitive Gaps, Earnings at Risk, Cost to Close and MVE Analysis
Asset Liability Management (ALM): Measuring Liquidity Risk: Cost-to-Close Liquidity Gap
Asset Liability Management – Other ALM Tools and Applications

Liquidity Management and ALM  

Master Course: Liquidity Management: Liquidity Risk
Master Course: Liquidity Management Crash Course: Liquidity Limits
Master Course: Liquidity Management: Liquidity Contingency Funding Plan

Asset Liability Management (ALM) – Related Case Studies & Guides

Master Class: Calculating Value at Risk (VaR): Course Guide
Duration, Convexity and Asset Liability Management – Calculation reference

Bootstrapping Zero and Forward Interest Rate Curves in Excel
Asset Liability Management (ALM) Case Study – Step by Step Guide to ALM Reports
Value at Risk – Methods & Metrics
Calculating Conditional Value at Risk
Senator Warren, Matt Taibbi, Michael Lewis and Bank Regulators

Monte Carlo – How to reference
What is Risk?
Advance Risk Management Workshop – Portfolio Optimization & Greeks
Pricing Interest Rate Swaps – MTM & Valuation Course
Building Maturity Profiles for Bank Advances & Deposits for ALM, ICAAP & IAS 30 Reporting

ALM Crash Course PDF & Excel package
Value at Risk - TrainingTreasury Training