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