E-Learning Course - Asset Liability Management (Library of 28 courses)

The following courses are covered in this bundle

1. Scope of ALM
2. Objectives of ALM
3. Growing Relevance of ALM
4. A Nine-part Framework for ALM
5. Strategies of ALM
6. Yield Curve Analysis
7. Interest Rate Gap Analysis - I
8. Interest Rate Gap Analysis - II
9. Interest Rate Gap Analysis - III
10. Simulation and Scenario Analysis - I
11. Simulation and Scenario Analysis - II
12. Duration I
13. Duration II
14. Duration III
15. Duration IV
16. Strategies for Interest Risk Management
17. Basis Point Value
18. Convexity
19. Review of Statistical Concepts
20. Value at Risk - I
21. Value at Risk - II
22. Application of Analytical Techniques
23. AL Organization
24. ALCO Meetings
25. ALM Policies and Procedures
26. Funds Transfer Pricing-Practices
27. Funds Transfer Pricing
28. Audit of ALM

Topics Covered under each course are;

Scope of ALM

Topics covered include:

• The concept of asset liability management
• The various types of market risks and their implications on the institution
• The short term and the long term risks

Objectives of ALM

Topics covered include:

• Objectives of asset liability management
• The target measures and its importance
• The dichotomy of the two target measures, viz., NII and EVPE

Growing Relevance of ALM

Topics covered include:

• The significance of ALM function
• The various influencing factors financial volatility, interest rate risk and others that contribute to the growing relevance of ALM
• The seven dimensions of interest rate risk
• The various regatory initiatives and the management�s recognition of ALM

A Nine-part Framework for ALM

Topics covered include:

• The purpose and significance of ALM framework
• In detail the nine-components of ALM framework
• The role, relevance and application of the framework

Strategies of ALM

Topics covered include:

• The various types of strategies in ALM process
• The difference between the various strategies that can be used on the basis of parameters such as speed, flexibility, costs and risk involved

Yield Curve Analysis

Topics covered include:

• The concept of yield curve and its types
• The various theories under yield curve analysis
• The types of interest rates and its computation
• The applications of yield curve analysis

Interest Rate Gap Analysis - I

Topics covered include:

• The concept of gap analysis
• The method of preparation of gap report
• The process of calculating gap, cumulative gap and related measures
• The critical factors that have to be considered while slotting balance sheet items in the gap report.
• How to identify the key positions in gap report

Interest Rate Gap Analysis - II

Topics covered include:

• The computation of income statement impact of gap
• The process of setting up gap limits
• The various restructuring strategies to be followed if gap is not within limits
• The strengths and limitations of gap analysis

Interest Rate Gap Analysis - III

This course introduces you to the various restructuring strategies to be followed if gap is not within limits. It elaborates on the on and off-balance strategies for controlling gap. The following strategies are discussed:

• Asset Restructuring Strategy
• ·Liability Restructuring Strategy
• Growth Strategy
• Shrinkage Strategy
• Off-Balance Sheet Strategy

Simulation and Scenario Analysis - I

Topics covered include:

• The concept of simulation
• The process of measuring risk positions or simulating various accounts and setting risk limits.
• The distinction between various methods of choosing scenarios for simulation
• The ways of presenting the outcomes of simulation
• The various criteria used for selecting an appropriate business strategy
• How to avoid analysis paralysis
• The components and issues involved in simulation modeling
• The concept of stress testing and backtesting

Simulation and Scenario Analysis - II

Topics covered include:

• Modeling of non-specific maturity items
• The techniques for identifying various factors that affect account balances and for analyzing rate sensitivity of core deposits
• The need to align business plan with various rate scenarios
• The process and steps involved in Monte Carlo Simulation
• The advantages and disadvantages of Monte Carlo Simulation

Duration I

Topics covered include:

• The concept of duration and modified duration
• The application of formulae for duration and modified duration
• The computation of different types of bonds
• The relationship between duration, yield, coupon, and maturity of a bond and thereby comprehend the properties of duration

Duration II

Topics covered include:

• The computation of the duration of perpetual bonds, embedded options and floaters
• The computation of the duration of a portfolio
• The application of the concept of duration for off-balance sheet items
• The effects of approximation involved while using modified duration
• The difference between gap and duration
• The strategies of risk management
• The strengths and limitations of duration

Duration III

This course explains duration of equity and leverages and other items. It helps the user understand:

• The calculation of the duration of equity
• The designing of hedging strategies to manage the interest rate sensitivity of the balance sheet

Duration IV

This unit introduces you to the duration of complex items. It helps the user understand:

• Computation of duration of complex items by using the concept of portfolio replication
• Duration calculations using zero coupon yields for finding the present value of cash flows

Strategies for Interest Risk Management

This course elaborates on the five strategies for interest rate risk management using duration.

• Dedication
• Immunization
• Indexation
• Active Management
• Rate Anticipation

Basis Point Value

Topics covered include:

• The concept of basis point value
• The change in the value of the portfolio due to one basis point change in the interest rates
• The relationship between BPV, duration and modified duration
• The calculation of BPV of on-balance sheet and off-balance sheet items
• The computation of BPV of a portfolio
• The advantages of BPV as a risk control technique

Convexity

Topics covered include:

• The concept of convexity and its properties
• The calculation of convexity of different types of bonds
• The computation of convexity of a portfolio
• The impact of price change on convexity
• The concept of positive and negative

Review of Statistical Concepts

Topics covered include:

• The various statistical measures viz., measures of central tendency and measures of dispersion
• The statistical relationship between the standard deviation and confidence intervals for normal distributions
• The concept of correation and volatility and the methods to calculate them

Value at Risk - I

Topics covered include:

• The concept of Value at Risk
• The concept of trading and banking book
• The various methodologies of estimating VaR and their strengths and weaknesses
• The comparison between the strength and limitation of VaR

Value at Risk - II

Topics covered include:

• The computation of VaR of foreign exchange spot, foreign exchange options positions, common shares/stocks, fixed income portfolio
• The various applications of VaR

Application of Analytical Techniques

Topics covered include:

• The framework of the analytical techniques - gap, duration, simulation and value at risk
• The concept and assumption under each technique
• The comparison and analysis of each of the techniques across various parameters
• The application of techniques with real life case studies

AL Organization

Topics covered include:

• The various elements of AL Organization viz., the ALCO, the AL sub-committee, and the ALCO support group
• The scope of ALCO
• The key issues of centralization and decentralization

ALCO Meetings

This course discusses about the meetings in Asset Liability Organization. It helps the user understand:

• The operational aspects of ALCO meetings
• The data requirements of ALCO meetings

ALM Policies and Procedures

This course discusses about ALM policies and procedures. It helps the user understand:

• The ALM policy and the procedure manual
• The contents of the ALCO reports

Funds Transfer Pricing-Practices

This course discusses the fundamental concepts of Funds Transfer Pricing (FTP). It helps the user understand:

• The concept of funds transfer pricing
• The various risks affecting the income and value of an institution

Funds Transfer Pricing

This course presents an analysis of various techniques used in Funds Transfer Pricing.

Audit of ALM

This course gives an introduction of the concept of audit of ALM. It helps the user understand:

• The significance and concept of audit of ALM function
• The overall approach and scope for the function of ALM audit
• In details the applications of the audit process
• The various types of AL models and examine different scenarios and assumptions involved in the audit