Asset Liability Management & Balance Sheet Optimization

Workshop Overview

The first day of the course focuses on the role of the ALM function and its set up within the financial institution. It provides the audience with the overview of the best market practice to ALM and its evolving role in the overall profitability of the bank. During the first day, presenter walks the audience through techniques for the interest rate risk measurement and management in the banking book (IRRBB) and emphasizes the importance of the active management of IRRBB in ALM though undertaking profitability enhancement strategies.

The second day covers, in detail, the new regulatory requirements for IRRBB (Basel Committee of the Banking Supervision Standards) and provides the methodological support in the implementation of this requirement. The second part of the day is focused on the analysis of the balance sheet maturity transformation and liquidity risks. In particular, it aims to answer the question what is the proper size of the liquidity buffer in the financial institutions.

The third day provides the overview of the Funds Transfer Pricing process and the role of the ALM unit in the FTP framework. The second part of the third day is dedicated to the balance sheet optimization techniques and acts as an introduction to the concepts of quantification and optimization of asset and liability structures.