Finance Training Course – Course Outline – Asset Liability Management
This advanced level workshop serves as a refresher to liquidity management, with an emphasis on traditional models including gap analysis and earnings at risk, stress testing, scenario planning, policy making and simulations.
1. Training Course Objectives
At the end of this workshop the participants will be able to:
- Measure liquidity and quantify the effectiveness of traditional measurement tools.
- Use scenario based methods, stress testing and simulations to highlight your liquidity risk profile.
- Develop assumptions for testing liquidity risk for Internal Capital Adequacy Assessment.
- Assess and evaluate existing liquidity policies and contingency plans.
2. Course Level
Intermediate and advance users. This advance level workshop is aimed at individuals responsible for asset liability management and risk management within banks, insurance companies and mutual funds.
3. Training Workshop Prerequisites
Familiarity with basic liquidity concepts, local markets, portfolio management and the Basel II framework. All participants are requested to arrange Laptops with a functional version of Microsoft Excel.
4. Course Outline
|Session & Title||Topics|
|Session One –|
Liquidity and ALM Models
|Overview and introduction. Key terms and concepts.Basic tools – Price and Maturity GAP, MVE and NPV Analysis, Net Interest Income, Earnings at Risk, Cost to Close and Liquidity.|
|Session Two –|
Liquidity Management I
|Structure, Policies, Tools, Stress tests, ICAAP and Scenario analysis for Liquidity|
|Session Two –|
Liquidity Management II
|Hands on simulation and exercises.|