Strategic Asset-Liability Management (ALM) can significantly improve financial performance by delivering a better balance between returns and risks across a more comprehensive set of both on- and off-balance sheet assets and liabilities.

This advanced programme covers best practice in ALM as well as ALM’s role as a strategic function in financial institutions.

Beyond full coverage of the key ALM areas of interest rate, liquidity, FX and credit risks, their measurement and best practice management; the course also integrates all key risks into a state-of-the-art constrained optimization solution for ALM, compliant with the – now clearer – suite of regulatory requirements banks face going into "Basel IV".

Practical application and strategic decision making are emphasized throughout the programme via real-world case studies and workshops, which focus on international best practices and explore the experiences of a range of institutions.

• Members of the Asset Liability Committee (ALCO)
• Treasury professionals
• Money market and FX traders
• Management of credit, deposit and other major business units
• Liquidity investment managers and traders
• Capital markets teams covering financial institutions
• Strategic planning professionals
• Risk managers and risk controllers
• Financial officers and auditors (internal and external)
• Regulators overseeing banking, investment and trading books
• IT professionals specializing in treasury systems

Learning Objectives

• Gain a solid knowledge on how to measure and manage all key risks faced in ALM, including through use of derivatives and dynamically over time
• Learn how to set appropriate incentives through funds and full transfer pricing and economic value added frameworks to strategically steer the balance sheet
• Gain hands-on experience to conduct ALM holistically, integrating all key risks, and subject to all regulatory and risk constraints, to optimize earnings and balance sheet resilience
• Learn how to organize your ALM function efficiently

It is assumed that participants have a basic familiarity with a bank’s treasury operations, banking activities, and fundamental market instruments such as forwards, swaps and options.