Classroom | London
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The course analyses the different ways in which a bank will structure its balance sheet and manage the associated risks. The course is based on the idea that there are three components that bank will need to manage profitably in order to comply with current regulatory requirements: capital, profitability and asset quality.
Learning Outcomes
By the end of the session the participant will be able to:
- Define what is meant by the phrase asset and liability management
- Explain the main components of a bank’s capital position
- Identify how a bank will manage their profitability
- Explain how the bank will manage their asset quality
Who should attend?
The course is designed to provide an overview of the asset and liability management (ALM) function. This function is important for a number of roles to understand including:
- Relationship managers covering financial institutions
- Compliance staff
- Regulators
- Internal auditors
- Market and credit risk professionals
- Middle office staff
- Technology staff responsible for related systems
The course assumes an understanding of banking basics (e.g. bond terminology) while some knowledge of swaps would be useful
Certification and Programme Recognition
ICMA is a member of the CPD® Certification Service, an FCA-approved qualifications provider and approved by the Securities & Futures Commission of Hong Kong as provider of Continuous Professional Training (CPT).
This course is certified by ICMA and the ICMA Centre, Henley Business School, University of Reading.
ICMA recommends that 20 learning hours can be associated with this course, based on attended/undertaken hours of study required to successfully complete the learning outcomes.
A Certificate of Attendance will be awarded to those who meet the minimum attendance requirements for this course
Please note that your course certificate of attendance or completion should be sufficient to satisfy any professional development requirements – if you require further evidence, please contact us at education@icmagroup.org
Course Trainer
Neil Schofield
The syllabus is divided into several topic areas, which are then broken down into multiple subtopics:
Capital Optimization
- What is balance sheet optimisation?
- Overview of Basle III regulations
- Risk-weighted assets and capital ratios
- Leverage ratio
- Total Capital Ratio
- Minimum Required Eligible Liabilities
- Core Equity Tier 1
- Calculating cost of capital
- Calculating the return on capital
Liquidity Risk
- What is meant by liquidity?
- Case study: The failure of Northern Rock and Silicon Valley Bank
- Regulations relating to liquidity
- Internal Liquidity Adequacy Assessment Process
- Liquidity Coverage Ratio (LCR)
- High quality liquid assets (HQLA)
- Liquidity risks not covered by LCR
Funding Risk
- How do banks finance themselves?
- Loss absorption mechanisms
- Contingent convertibles
- Net Stable Funding Requirement (NSFR)
Managing Credit Risk
- What is the nature of the credit risk embedded within the asset side of the balance sheet?
- Investment portfolio
- Using default swaps to hedge an investment portfolio
Managing Interest Rate Risk
- Banking vs. trading book interest rate risk
- Sources of interest rate risk
- Gap risk
- Basis risk
- Embedded optionality
- Measurement of interest rate risk
- Net interest income
- Changes in economic value of equity (EVE)
- Managing interest rate risk
- Interest rate swaps
Managing Currency Risk
- Review of forward FX pricing principles
- What is the cross-currency basis?
- Hedging balance sheet translation risk
Livestreamed Course
ICMA courses are delivered via video conferencing accessed on our digital learning platform, using the most effective pedagogical approaches and incorporating interactive functions like virtual breakout rooms.
The Asset & Liability Management live sessions are delivered in four 3.5 hour sessions over the course of two weeks. You will be given access to the course materials before the live sessions, and will have access to those for a total of three months from the first live session. During these three months you will have the option to keep working through the course materials at your own pace.
Livestreamed course fees
Members: EUR 2,400 (VAT not applicable)
Non-members: EUR 2,700 (VAT not applicable)
For security reasons, delegates who have not registered in advance will not be admitted to the live sessions.
Classroom Course
Our classroom courses are delivered in-person at a confirmed location.
The Asset and Liability Management classroom sessions will be delivered in London over 2 full days of training. Tea, coffee and light refreshments will be provided during the course but please note these courses are not catered. If you have any dietary requirements please let us know when you complete the registration form.
Delegates will be given access to our learning management system and the course materials before the live sessions, and will have access to those for a total of six months. During these three months you will have the option to keep working through the course materials at your own pace.
Location Address
TBC
Classroom course fees*
ICMA Members: EUR 2,400 + VAT (if applicable)
Non Members: EUR 2,900 + VAT (if applicable)
*Our prices do not include travel/accommodation. Please do not book any logistics until you receive email confirmation that the course will go ahead. This will be provided 4 weeks in advance of the start date.
For security reasons, delegates who have not registered in advance will not be admitted to the sessions.
Please note:
- All payments must be made in Euro.
Contact
Should you have any queries, please contact education@icmagroup.or
