Asset and Liability Management for Financial Institutions
INTRODUCTION
Financial Institutions incur a variety of risks arising from the different features of their assets and liabilities. For example, a bank may have short term customer deposits and long term assets, such as 30-year mortgages. As customer deposits tend to be short term in nature, many of these deposits may be withdrawn at a moment’s notice, while the long term asset will still be on the banks’ balance sheet. This can potentially leave the bank exposed to a funding problem.
Delegates with an interest in how banks manage their treasury function – with particular emphasis on liquidity risk, interest rate risk and funds transfer pricing.
Course Objectives
- Understand the potential consequences of duration- and funding gaps on the balance sheet
- Understand and apply portfolio immunization techniques
- Calculate the duration of equity
- Learn how to compute risk measures for the market (economic) value of equity
- Understand the balance sheet management benefits of securitization
- Understand the central role of ALM in the overall enterprise risk management of financial institutions
- Learn best governance practices for the Asset-Liability Committee
- Work through case studies to recognize early warning signs of impending liquidity and rate risk events