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Asset/Liability Management

By: TSI Limited

Lagos State, Nigeria

04 - 06 Oct, 2017  3 days

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NGN 250,000

This training course provides an overview of the ALM (Asset Liability Management) issues through the analysis of its two main components: bank liquidity risk and interest rate risk

Learning Objective:

  • At the end of this session, participants will be able to:
  • Identify key components of the ALM and how to take advantage of both the liquidity and interest risks in the market.

Course Outline

  • Structure of bank balance sheet
    • Detailed description of asset items, liability items, and off-balance sheet items
    • Difference between economic, prudential and accounting management
    • Distinction between banking book and trading book
  • Application: presentation of various banking books (retail bank, capital markets bank)
  • Fundamental principles of Asset Liability Management
    • Aims of ALM : input/output balance
    • Modelling the evolution of several assets and liability types : outflow conventions, production hypotheses
    • Review of the ALM risk types : liquidity risk, interest rate risk, credit risk, forex risk
    • Factoring in of the ALM risks by the Basel II and IFRS frameworks
    • Impact of the current financial crisis and of current evolutions
  • Assessment of the bank liquidity risk
    • Regulatory constraints : liquidity coefficient and observation coefficients
    • Determination of the static liquidity gap
    • Analysis of liquidity sources and modelling of their mechanisms
    • Interaction between liquidity risk, credit risk and market risk
  • Hedging the liquidity risk
    • Hedging short term liquidity risk : REPO operations, securitization
    • Optimization and diversification of the refinancing policy in the mid-term/ long term
    • Implementation of stress tests and simulation of a liquidity crisis : techniques, examples
  • Definition and impact of interest rate risk
    • Definition and measurement scope of bank interest rate risk
    • Sources or interest rate risk : displacement or distortion of the yield curve, basis risk, liability and asset-incorporated options, off-balance sheet items
    • Assessment of the interest rate risk : fixed interest rate gap and indexed interest rate gap
    • Sensitivity of the Net Interest Margin (NIM) and of the balance sheet's Net Present Value (NPV)
  • Hedging interest rate risk
    • Implementation of a limitation system for the general interest rate risk
    • Introduction to the Earnings at Risk (EaR) and economic Value at Risk (VaR)
    • Implementation of stress tests based on various unfavourable scenarios
    • Best practices on the basis of the Basel II committee recommendations
Digital Age Halls,Capital Building,332,Ikorodu Road,Idiroko Bus Stop,Near LASU Anthony Lagos. Oct 04 - 06 Oct, 2017
NGN 250,000.00 + 12,500.00 (VAT)
(Convert Currency)

+1-646-202-8832, 08033467639, 08023019508

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