ALM – Learning Roadmap

The ALM – learning roadmap covers basic tools, concepts & capital adequacy requirements, reports and techniques. The ALM process is used to manage the business and financial objectives of an institution by assessing and evaluating assets and liabilities on its portfolio in an integrated manner. It is a continuous process involving the formulation, implementation, review and subsequent revision (if needed) of asset and liability management strategies to ensure that they are within the acceptable risk tolerance levels.

It primarily and traditionally addresses interest rate mismatch and liquidity risks through tools such as duration and convexity metrics, and value at risk based concepts such as Earnings at Risk and Market Value of Equity.

ALM Learning Roadmap - ALM at a glance

What are the prerequisites?

Basic Tools

The Asset Liability Management guide begins by first reviewing some preliminary topics. These include:

ALM and Regulatory Environment

In addition to these prerequisite topics, the ALM – learning roadmap also reviews how the Asset Liability Management (ALM) process is addressed in the current regulatory environment for capital adequacy requirements. This includes the assessment of capital charge for market, interest rate mismatch and liquidity risks addressed as part of the ICAAP process and the liquidity risk regulations introduced in Basel III:

What topics are covered?

Once the pre-requisite topics and relevant regulatory environment have been covered, the ALM – learning roadmap delves into the course in two stages:

The first stage is a high level overview of ALM concepts and basic calculations covered in the “ALM training for Board & ALCO members” course.

The second stage is a detailed dive into the measurement methods and reports. These Asset Liability Management (ALM) measurement tools and applications include:

Risk Return

This is followed by a discussion of liquidity risk, liquidity ratios and analysis, liquidity limits and the liquidity contingency plan:

What are the additional topics I can read up on?

For a more detailed discussion on the liquidity risk management process you may also like to review the following posts:

Other topics related to the Asset Liability Management (ALM) process include:

ALM Learning Roadmap - ALM Framework

Premium Content:

PDF & EXCELOnline Courses
  1. ALM – Crash Course – 3rd Edition
  2. ALM – Crash Course – EXCEL Examples
  3. Asset Liability Management (ALM) Crash Course – Package
  4. ILAAP, ALM, LCR, NSFR Report validator
  5. Black Derman Toy Model Construction – EXCEL Example
  6. Black-Derman-Toy (BDT) Interest Rate Model – Package
  7. Building Maturity & Liquidity Profiles for Deposits and Advances
  8. Calibration of CIR Model – EXCEL Example
  9. Calibration of Black Derman Toy (BDT) Interest Rate model to US Treasuries
  10. Cox-Ingersoll-Ross (CIR) Interest Rate model – EXCEL example
  11. Duration Convexity – EXCEL Example
  12. Duration and Convexity for US Treasury Bill, Note and Bond
  13. Heath Jarrow Merton – HJM 3 – Factor Interest Rate Model
  14. Heath Jarrow Merton (HJM) Interest Rate Model – Package
  15. How to construct a Black Derman Toy Model in EXCEL
  16. How to utilize results of a Black Derman Toy Model – EXCEL Example
  17. How to utilize results of a Black Derman Toy Model
  18. Interest Rate Simulation Crash Course
  19. Interest Rate Simulation Crash Course – Package
  20. Principal Component Analysis – PCA – US Treasury Yield Rates