Learning Objectives

Most important parts of the course

  • Develop expertise in bank ALM: Understand ALM roles, responsibilities, and market risk. Explore FTP setup and profitability calculations. Learn advanced FTP concepts and their managerial benefits.

  • Master liquidity and interest rate risk management: Map balance sheet items for liquidity and interest risk. Measure liquidity gaps, define minimum liquidity, and assess liquidity risk. Gain insights into interest gaps, yield structure, and IRRBB regulation.

  • Navigate financial markets and fintech integration: Grasp financial market principles and products for risk management. Harness fintech for data structuring and smart ALM applications. Analyze case studies and real-world examples for practical insights.

  • Lenght

    3 days

  • Form

    online (or in person upon request)

  • Difficulty

    advanced/expert

Live course with a lecturer

This is Bearning's live interactive course with a lecturer. You can attend as follows:

  • 📅❌ If no specific date is listed for the course, then we currently only offer this course as an inhouse course for institutions or groups of participants (3+ ). Contact us by email for more information. We are always happy to tailor this course to your requirements. We can deliver it online or in person.  
  • 📅✅ If the course is listed for a specific date, you can sign up for it by registering and paying the fee. We will confirm your registration for the course and send you a link to connect (usually via Zoom or MS Teams) and a PDF of the presentation prior to the course. You can also register for the course by email, or you can contact us for further information. Course content and further details can be found on the course page. 

Who should attend

Target group

  • Senior Bank Executives: Financial, Risk, and Treasury top managers. Basel regulation experts.

  • ALM and Treasury Specialists: ALM, Treasury, and Capital markets professionals. Product and project managers in ALM/Treasury.

  • Risk and Compliance Professionals: Bank's risk managers. Internal Audit and senior staff. Compliance and senior staff.

  • Cross-Functional Bank Experts: Bank professionals from various departments (middle-office, back-office, legal, etc.).

Course Description

Discover ALM for Banking Excellence

Uncover the essentials of Assets and Liabilities Management (ALM), a cornerstone of effective bank management. Learn balance sheet mapping, administered product modeling, risk separation, and strategic bond portfolio management. Explore the fusion of finance and technology, leveraging fintech, data, and algorithms for superior management. Delve into liquidity and interest rate risk management, understanding the importance of distinguishing and managing these aspects separately. Navigate IRRBB compliance and gain expertise in measuring various interest rate risk subtypes. Perfect for bank top managers, risk professionals, and more.

Content

  • Balance Sheet Management in a bank:
    • Assets and Liabilities Management (ALM) 
    • ALM responsibilities in a bank
    • ALCO
    • Relationship Treasury vs. ALM 
    • Market risk and controlling

  • Internal prices FTP (Funds Transfer Price):
    • set-up, rules and managerial benefits of using FTP in a bank 
    • Basic IRR FTP
    • Liquidity premium (FTP)
    • Profitability calculation 
    • Advanced FTP system - contingent liquidity spread, credit-spread, optionality, basis-spread, other FTP adjustments

  • Managing liquidity in a bank:
    • Methods for mapping the balance sheet items for liquidity management - replication portfolio for administered products and items without defined maturity 
    • Liquidity gaps and measurement of liquidity risk
    • Defining minimum liquidity 
    • Liquidity curve and liquidity costs/premium
    • Stress scenario for liquidity management
    • Liquidity ratios (LCR/NSFR)
    • ILAAP (Internal liquidity adequacy assessment process)

  • Managing interest rate risk (IRR) in a bank:
    • Methods for mapping the balance sheet items for interest risk management - replication portfolio for administered products and items without defined maturity 
    • Interest gaps and measurement of interest risk
    • Yield from balance structure, revaluation, dynamic management and related risks
    • Regulation of interest risk - IRRBB (Interest rate risk of the banking book)

  • Market risks, financial markets principles and products for managing of liquidity and interest rate risk:
    • Principles of present value, yield curve and zero curve, modified duration, convexity, discount factors
    • Credit spread vs. interest risk, management of long-term interest position and bond portfolio in a bank
    • Central Bank role, facilities and instruments in the conduct of monetary policy
    • Money market (Depo, CD, CP, T-bills, Repo, OIS, FRA/Future)
    • Capital market (Fixed Income and bonds) products (various bonds, swaps, futures)

  • Fintech in ALM:
    • Data structuring for ALM
    • Using smart applications on ALM management
    • Comparing ALM systems

  • Examples and case studies from practice, lessons learned from bankrupt banks (such as SVB), excel-based calculations and explanations, ALM model on replication portfolio

Instructor

CEO, Bearning Martin Macko

Martin started his career in banking in 1994 as an MM&FX Treasury trader. Later he was appointed Treasury Director and Chairman of ALCO at a subsidiary of an international banking group. In 2007, Martin founded a consulting company. Later, Bearning expanded its activities to include professional banking education in the areas of ALM & Treasury, financial markets, risk management, fintech and digitalization. Martin holds several degrees and qualifications: Ing. (equivalent to M.Sc.) from the Slovak Technical University, ACI Dipl. (ACI Dipl.) from the Financial Markets Association, Financial Modeling & Valuation Analyst (FMVA)® and Certified Banking & Credit Analyst (CBCA)™ and Capital Markets & Securities Analyst (CMSA)® from the Corporate Finance Institute.

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