Advanced Asset Liability Management

Advanced Asset Liability Management
Measuring & Managing Complex Risks for Financial Institutions
A Two-Part, Online Course

Date: 15^th & 16^th November 2021

COURSE INTRODUCTION

Sound asset-liability management is crucial if banks are in future to avoid the pitfalls highlighted by the global financial crisis 2007-9. Banks failed for very basic reasons, including liquidity mismanagement, and financial product complexity. Financial innovations and a fast-changing economic environment provide opportunities to gain, but can also create significant risks. Managing these risks without losing sight of getting the basics right is what good ALM is all about.

This is an advanced ALM course designed to deliver most benefit to practitioners with some pre-existing practical or academic knowledge of asset-liability management. Whilst the course covers the basics of ALM to remind delegates of the most important techniques applied to measure and manage interest rate risk, liquidity risk, and currency risk, its focus is on developing a deeper understanding of the many varied and sometimes complex challenges that risk managers face, in particular risk capture and hedging decisions.

The course provides ample opportunity for a high level of interactive discussion, and delegates are invited to ask questions based on the course material itself, or aspects of practical risk management they face in their professional roles for which they seek clarification/advice.

Key Takeaways & Learning Objectives:

Gain insights into solutions to more complex aspects of asset-liability management
Learn about a range of modelling techniques at the forefront of ALM
Develop skills to design appropriate hedges which are suited to managing particular exposures

Fee

1 participant: RM1,450/$375
2 participants: RM2,900/$750
3 participants: RM4,350/$1,125
4 participants: RM5,800/$1,500
5 participants: RM7,250/$1,875

Early Payment Discount: Payments made on or before 1^st November 2021 will receive a 7.5% discount. Payments received after this date will be re-invoiced for the full amount.

In-house/group training

If you are looking for an in-house training program or wish to send a group to an existing public program, kindly please contact Andrew Tebbutt at [email protected] or +603 2162 7802.
Learn More

For enquiries please contact:

Mathias Sosovele
Account Manager, REDmoney Seminars
[email protected]
Direct Line: +603 2162 7800 ext 25

Normariya Sariman
Account Manager, REDmoney Seminars
[email protected]
Direct Line: +603 2162 7800 ext 44

Ramesh Kalimuthu
Events Sales Director
[email protected]
Direct Line: +603 2162 7800 ext 65
Fax: +603 2162 7810

For sponsorship & speaking opportunities:

Andrew Tebbutt
Managing Director
[email protected]
Direct Line: +603 2162 7802

For marketing and media enquiries

Anna Rozana Ramli
Marketing Director
[email protected]
Direct Line: +603 2162 7800 ext 22

COURSE INTRODUCTION

Key Takeaways & Learning Objectives:

Gain insights into solutions to more complex aspects of asset-liability management
Learn about a range of modelling techniques at the forefront of ALM
Develop skills to design appropriate hedges which are suited to managing particular exposures

WHO WILL BENEFIT?

This course has been specifically designed for the benefit of:
- Chief Risk Officers
- Chief Financial Officers
- Financial Risk Managers
- Treasury and ALM professionals
- Risk Analysts
- Financial Analysts
- Credit Managers
- Credit Portfolio Managers
- Asset Managers
- Corporate bankers
- Retail bankers
- Internal auditors and compliance officers
- Bank supervisors and regulators

Program Format

This two-part training program will be delivered online through a stable, secure and free-to-access platform. The program itself will be delivered through lectures, worked examples and case studies in order to ensure a detailed and practical understanding of the program content. Participants will have plenty of opportunity to ask questions and interact with the program director. Login details and program materials will be sent to participants upon receipt of payment

Fee

1 participant: RM1,450/$375
2 participants: RM2,900/$750
3 participants: RM4,350/$1,125
4 participants: RM5,800/$1,500
5 participants: RM7,250/$1,875

Early Payment Discount: Payments made on or before 1^st November 2021 will receive a 7.5% discount. Payments received after this date will be re-invoiced for the full amount.

In-house/group training

If you are looking for an in-house training program or wish to send a group to an existing public program, kindly please contact Andrew Tebbutt at [email protected] or +603 2162 7802.
Learn More

AGENDA AND FORMAT

Each session will be interactive in a seminar format, with participants encouraged to engage with questions throughout.

PLATFORM

AGENDA

Day 1: Understanding and Measuring Complex Risk

Overview

What is ALM and where does it fit within a bank’s risk management framework?
Defining ALM objectives in light of the bank’s risk appetite statement
Stress-testing and ALM: how can they be integrated?

Interest Rate Risk (IRR)

Earnings based IRR measurement models – repricing gap analysis, dynamic earnings at risk, Monte-Carlo simulation
Value based IRR measurement models – duration gap analysis and PV01
IRR in the trading book – VaR and expected shortfall
Embedded options: mortgage prepayments, bonds, and AT1 instruments

Liquidity Risk

Measurement techniques: from static gap analysis to full simulation
Basel II ratios: LCR and NSFR
Modelling contingencies, e.g., revolving facilities, derivatives collateral flows
Behavioral considerations, e.g., non-maturing deposits
Liquidity stress testing

Day 2: Advanced Hedging Tools and Techniques

Measuring and Managing Currency Risk

Measuring currency risk: from open exposure to risk-based methods
Hedging currency risk using forwards
Implementation of ‘rolling’ currency hedges
Hedge effectiveness and back-testing

Hedging Interest Rate Risk in the Banking Book

Recap on FRAs, swaps, and interest options
Structuring a hedging program
- Risk appetite and risk tolerance
- Rebalancing frequency v balance sheet growth
- Accounting considerations under IFRS9
- Derivatives limits
- Collateral management
Managing ‘cliff’ risk by phasing replacement hedges
Structured third-party hedge solutions versus internally initiatives/expertise

Hedging Interest Rate Risk in Traded Portfolios

Immunizing bond portfolios against parallel shifts, twists, and pivots of the yield curve
Interest rate risk management of complex securities

EXPERT COURSE DIRECTOR

Dr Ken Baldwin
Former Director, Financial Policies & Planning, Islamic Development Bank

Dr. Ken Baldwin has worked as a practitioner in banking and finance for over 25 years in senior positions spanning the front and middle offices. Having graduated from Oxford University with a first-class honors degree in Physics in 1989, he qualified as a Chartered Accountant with PWC, before joining UBS, and then later Credit Suisse, in derivatives risk and control functions based in London.

He gained a PhD in microeconomics, and worked in the GCC for 15 years in retail and investment banks. Whilst at Abu Dhabi Islamic Bank, Dr. Ken built an ALM analytic technology platform capable of capturing liquidity and interest rate risks inherent in the many varied financing products used at retail and corporate levels. He then moved to take up the position of MENA Regional Head of Quantitative Analysis for Citigroup. At Citicorp, Dr. Ken worked on structuring complex derivatives products used by Gulf-regional corporations to hedge FX and interest rate risks. Still residing in Bahrain, Dr. Ken then joined Investcorp, where he worked on the risk due diligence of corporate private equity and real estate private equity transactions and portfolio management. After leaving Investcorp, he set up the risk management department for venture capital bank, providing Basel III compliance and deal analysis for the bank. He then operationalized a new Islamic investment bank as its Chief Operating Officer for 3 years, before his most recent industry role at the Islamic Development Bank, where he set up and ran a new department tasked with developing financial policies and risk-based pricing of the bank’s Islamic financing products. Dr. Ken is currently an Assistant Professor of Finance in the UK. He has published quantitative finance articles in peer-reviewed academic journals including the Journal of International Financial Markets Institutions and Money, and the Journal of Risk, and during his earlier career, taught CFA and FRM professional certifications as a pastime for the Bahrain Institute of Banking and Finance.

WHO WILL BENEFIT?

This course has been specifically designed for the benefit of:
- Chief Risk Officers
- Chief Financial Officers
- Financial Risk Managers
- Treasury and ALM professionals
- Risk Analysts
- Financial Analysts
- Credit Managers
- Credit Portfolio Managers
- Asset Managers
- Corporate bankers
- Retail bankers
- Internal auditors and compliance officers
- Bank supervisors and regulators

REGISTRATION

*Please note there is a fee for attending this program. Please contact us for more details.

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Before completing this registration form please read and understand our booking and cancellation policy. Thank you.

Presentation materials: – important, please read carefully

as part of our sustainability drive, we offer standard access to an electronic version of the course materials. A hard copy of the materials can be provided for a fee: RM100 per copy for Malaysia-based participants; US$150 per copy for all other locations.

Please tick here should you wish to receive a hard copy of the course materials.

Booking, Payment and Cancellation Policy – important, please read carefully

By completing, signing and revised, sent separately us this registration form you are conﬁrming participants on the program. You are also conﬁrming your understanding of our Booking, Payment and Cancellation Policy.

Cancellation Policy: If participants cannot attend the program, replacement participants are always welcome. Otherwise, participants must notify us any of cancellations or requests to transfer to a diﬀerent program at least 14 days before the program date to be eligible for a refund, less a 5% administration on fee. Participants who cancel within 14 days of the program start date are liable to pay the full program fee and no refunds will be given. Instead fees will be converted to a REDmoney Seminars voucher equivalent to the original fee, less a 10% administration charge. This voucher is transferable within your organization and must be redeemed within one year of issue or become void. If a program is postponed for whatever reason registrations and fees will be automatically transferred to the new program date. Participants who wish to transfer to a diﬀerent program will be subject to the same terms as above and charged any diﬀerence in fees. No refunds or program vouchers will be issued for a no-show.
Payment Terms: All program fees are payable upon invoice. REDmoney shall receive the full program fee with no deductions of any description. All telegraphic transfer fees, taxes and levies (domestic or otherwise) shall be borne by the sponsoring organization.

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CPE/CPD Applicable:

For enquiries please contact:

Mathias Sosovele
Account Manager, REDmoney Seminars
[email protected]
Direct Line: +603 2162 7800 ext 25

Normariya Sariman
Account Manager, REDmoney Seminars
[email protected]
Direct Line: +603 2162 7800 ext 44

Ramesh Kalimuthu
Events Sales Director
[email protected]
Direct Line: +603 2162 7800 ext 65
Fax: +603 2162 7810

For sponsorship & speaking opportunities:

Andrew Tebbutt
Managing Director
[email protected]
Direct Line: +603 2162 7802

For marketing and media enquiries

Anna Rozana Ramli
Marketing Director
[email protected]
Direct Line: +603 2162 7800 ext 22