ALM Cyber*School

Asset liability management (ALM) plays a central role in generating returns in banks. This role has become even more prominent through CRD/CRR and Basel 3. Therefore, a comprehensive knowledge of the workings of ALM and their consequences on the bank’s overall result is vital for all ALM and support staff.

While traditionally ALM was mostly seen as managing interest risk, currently topics such as liquidity management and pricing (liquidity transfer price), management of the bond portfolio (liquid assets), ICAAP and equity as well as managing returns under IFRS are major ALM tasks.

The ALM Cyber*School offers a comprehensive overview on the management concept, the legal and regulatory framework and the instruments and implementation strategies in a modern ALM:

  • Bank management basics
    Bank controlling; the central role of transfer prices for risk management in ALM; the role of transfer prices in calculating the result of the customer and risk business; consequences of the market rate model as a basis for setting transfer prices
  • Interest rate, FX and credit instruments
    Terminology, conventions, pricing and use for:
    Secured and unsecured cash instruments in the money market, derivative interest instruments in the money market (OIS, FRA, MM futures), bonds and capital market futures, interest rate swaps and structures, cross currency swaps, caps and floors, swaptions, FX swaps, FX options, securitisation products and credit default swaps
  • Measuring risk
    Statistical background for modern risk measurement models; types of risk; risk measurement models for market, liquidity and credit risk; tasks, competencies and responsibilities of back office, mid office, front office and ALM in measuring risk
  • Legal framework
    Basel 2/3 equity requirements for credit risks; equity requirements for market risks in the trading book; new liquidity ratios (LCR/NSFR); leverage ratio; replacement risk and CVA for derivatives; netting agreements; ICAAP process; going concern, gone concern and stress in the context of risk-bearing capacity and risk measurement; pillar 2 minimal requirements for credit, liquidity and market risk; principles and consequences of IFRS accounting and the IAS framework for hedge accounting

Info

Start

1 October 2019, 1 November 2019, 1 December 2019, 1 January 2020, 1 February 2020, 1 March 2020, 1 April 2020, 1 May 2020, 1 June 2020, 1 July 2020, 1 August 2020, 1 September 2020

Target Group

  • ALM newcomers wishing to acquire fundamental ALM knowledge
  • Front office staff wishing to prime themselves for new ALM challenges (please note: existing knowledge on instruments will be credited)
  • Staff from controlling, mid office, risk management, accounting and internal audit wishing to acquire a profound understanding of the workings of ALM

Scope

  • Interactive study based on approx. 2.000 questions, answers and explanations
  • Approx. 700 pages of documentation

Certification

The ALM Cyber*School is part of the Certified ALM Manager training programme. Already completed modules are creditable for 5 years:

More info on the Certified ALM Manager

ALM Cyber*School

 2.100,00

Corresponds to a 14-day seminar.

Can be completed within 6 months using any computer or tablet PC with Internet access.

Register and start on any first of the month.

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