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Bank Asset & Liability Management

 

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Designed and presented by: Professor Moorad Choudhry,  Fifs, FCSI, FRM 
The essence of banking is asset-liability management (ALM).  ALM is more an art than a science, with ALM practitioners having to assess future market scenarios and their probability of occurring, and planning for each of these accordingly. 
This Masterclass provides a comprehensive treatment of an important financial market discipline, covering not only the background to Bank ALM, but also reviewing the techniques, products and art of ALM and Liquidity Management.
Topics covered include:

    • Introduction
    • Regulatory capital and Basel II/III
    • Return and ROC/ROE
    • Transfer pricing and cost of capital
    • Securitisation and balance sheet management
    • Risk management
      • Credit risk
      • FX / Interest rate risk
      • Operational risk
    • Derivatives and hedging
    • Liquidity risk management
    • The ALCO and bank ALM policy

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    This Masterclass is invaluable for all those involved in banking and the debt capital markets.  In particular it is targeted at:-

      • Treasury & Capital Market Associates
      • Corporate Bankers
      • Risk Managers
      • Corporate Asset & Liability Managers
      • Auditors
      • Financial Market Regulators

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Programme
Day 1:

Bank capital

  • Raising capital, Tier 1 and Tier 2
  • Debt versus equity mix
  • Cost of capital and WACC
  • Regulatory capital and impact of Basel II
  • Basel II
    • Three pillars
    • Standardised approach versus internal model approach
  • Basel III

Return and profitability

  • Measuring profitability. Placing RoE in strategic context
  • Sustainable RoE strategy
  • ROC and ROE
  • Risk-adjusted returns
  • Cost of hedging

Securitisation and balance sheet management

  • The use of securitisation for balance sheet and regulatory capital management
  • Motivations and benefits of employing securitisation
  • MBS and ABS
  • Different structures for different banking requirements
  • Using and structuring commercial paper (CP) and asset-backed CP conduits for funding

Risk management

  • Understanding and identifying risk
  • Credit risk and credit analysis
  • Lending policy
  • Interest-rate risk
    • Gap risk, yield curve risk, duration risk
  • Liquidity risk
    • Liquidity risk measurement
    • Metrics
    • Reporting
  • Currency risk
  • Quantifying risk and VaR
  • Stress testing
  • The FSA Liquidity Regime

 

Day 2:

Derivatives and hedging

  • Using FRAs, Futures, interest-rate swaps and credit default swaps to manage risk exposure

Treasury trading

  • Money market instruments
  • Depos, bills, CDs, CP, repo

ALM and the ALCO

  • The concept of asset-liability management
  • Implementing ALM policy for different types of banks
  • Role of the ALM Committee (ALCO)
  • Cost centre and profit centre approach for Treasury desk
  • Internal funds transfer pricing
  • Liquidity policy statement

 

Case studies and exercises

Case study 1: ALM policy for medium-sized regional bank
Case study 2: Hedging policy and application of derivatives
Case study 3: The 2008 liquidity crisis

Delegate course companion
Delegates will receive a copy of the author’s textbook “Bank Asset and Liability Management”, published by John Wiley & Sons in 2007, which has been highly rated by reviewers.


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Professor Moorad Choudhry has over 21 years experience in investment banking in the City of London and was most recently Head of Treasury at Europe Arab Bank plc. He was previously Head of Treasury at KBC Financial Products, and vice-president in structured finance services at JPMorgan Chase Bank.

Moorad was educated at Claremont Fan Court School in Surrey, England, then at University of Westminster and University of Reading. He obtained his MBA from Henley Business School and his PhD from Birkbeck, University of London. He is Visiting Professor at the Department of Economics, London Metropolitan University, Senior Research Fellow at the ICMA Centre, University of Reading and Visiting Research Fellow at CARISMA, Brunel University. He is author of The Credit Default Swap Basis (Bloomberg Press 2006) and Bank Asset and Liability Management (John Wiley & Sons 2007).



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 2 days £1025 + VAT


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For more information regarding bursaries, please contact us on + 44 (0) 1895 819 488 or email info@optirisk-systems.com
Discounted rates for group bookings can be also arranged on request.