TRAINING COURSE ON ASSET & LIABILITY MANAGEMENT

Start Date: 13/01/2020 End Date: 31/01/2020 for 15 days
Register online: https://bit.ly/2WkWwe8
Organizer: DATA-AFRIQUE CONSULTANCY (www.data-afriqueconsultancy.org)
Course fee :USD 3,000

INTRODUCTION
Post the global financial crisis, the role of the Treasury within a bank is more challenging than ever. The regulation that followed the crisis, in particular Basel III, has meant that optimization of assets and liabilities is vital in mitigating the ‘hit’ on Return on Equity that the regulation represents. This intensive 15-day asset and liability management training looks to explain the fundamental role of the ALM function and moreover via real life case studies and excel based simulations explain how the function looks to optimize balance sheet performance via the more selective deployment of balance sheet resources. In addition it will explore the fluid regulatory landscape in which ALM is functioning and outline what the industry considers as best practice in terms of dealing with the challenges that landscape presents.
Hence by attending the day training, delegates will be better equipped to work in or with the ALM function and support the optimization of the balance sheet they are tasked to achieve.

COURSE OBJECTIVES
By the end of the course, participants should be able to:
• Describe the role of the ALM function within a bank
• Articulate the causes and consequences of the global financial crisis, the motivation for the regulation that has come in the wake of it and the impact it has had on the ALM function
• Explain the impact of the regulation on bank’s balance sheet in particular the resources of capital and liquidity
• Understand the role of the ALM function in optimizing the balance sheet via either capital preservation or margin maximization achieved by a more selective approach to assets issued and funding raised
• Appreciate what future challenges lie ahead for the ALM function in particular from the potential introduction of Basel IV
• Identify ways in which the wider business can support the ALM function in dealing with these challenges via, for example, communication and alignment of business incentivisation

DURATION
15 Days

WHO SHOULD ATTEND
• Group Treasurers
• Chief Risk Officers
• Accounting and Finance Managers
• Asset Managers
• Liquidity Managers
• Risk Managers and Risk Controllers
• Risk Officers
• Auditors and Bank Regulators

COURSE CONTENT
Introduction
Session 1: The evolving role of Asset and Liability Management [ALM]
• Defining the role of ALM
• Recap on the Global Financial Crisis
• What caused it?
• What resolved it?
• What where the lessons learnt?
• How has it impacted ALM functions
Session 2: Linking Asset and Liability Optimisation to Return on Equity
• Impact of Basel III on Capital
• The risk constraint ratio
• The leverage ratio
• Recap on the Standardised Methodology for Credit Risk
• Credit Conversion Factors
• Adjusting for Collateral
• Gearing – Linking asset and liability pricing to returns on capital
• So what does this mean for ALM and ultimately strategy?
Session 3: Optimising Assets – Internal Rating Based (IRB) approach for Credit Risk
• Incentives for adopting IRB – more complexity less capital
• Foundation IRB (FIRB) compared to Advanced IRB (AIRB)
• Constructing the IRB equation for wholesale
• Constructing the IRB equation for retail
• Adjusting IRB for calculation of Economic Capital
Session 4: Traded Market Risk
• Sources of Market Risk
• Evolution of Market Risk Regulation
• Measuring Market Risk using Regulatory VaR and Stressed VaR
• Limitations of Basel II.5 and overview and Fundamental Review of the Trading Book [FRTB]
Interest Rate and Liquidity Risk
Session 5: Asset and Liability Gap Analysis
• Challenges of Maturity Transformation
• Selecting appropriate time buckets
• Distribution of maturing and non maturing assets and liabilities
• Introduction to behavioural modelling
• Adjusting for prepayment and redemption
Session 6: Non-Traded Market Risk – Overview of IRRBB
• What is IRRBB and what are the sources of it
• Comparing IRRBB to CSRBB
• Measuring IRRBB
• Economic Value of Equity [EVE} vs Earnings at Risk [EAR]
• Review of BIS 368 ‘Final’ Standards for IRRBB
• Treatment of cash flows
• Time bucketing of cash flows
• Discounting of cash flows
• Stressing of cash flows
Session 7: Liquidity Risk
• Typical Liquidity Metrics
• Evolution of Liquidity Regulation
• Basel III Liquidity Regime
• Liquidity Coverage Ratio [LCR]
• Net Stable Funding Ration [NSFR]
• How they work in harmony
• So what does this mean for ALM and ultimately strategy and liquidity preferences?
Session 8: Beyond Pillar I
• Overview of the Individual Capital Adequacy Assessment Process [ICAAP]
• Overview of the Individual Liquidity Adequacy Assessme