Learning Objectives

This course will allow you to:

  • Understand ALM's role in liquidity management and its collaboration with Treasury, risk, and market departments.

  • Analyze internal liquidity pricing mechanisms, including FTP (liquidity premium), and apply them to optimize liquidity risk management.

  • Utilize liquidity gap analysis to identify and address liquidity risks, while ensuring compliance with regulatory ratios like LCR and NSFR.

  • Develop strategies for managing liquidity risk, including mapping cash-flows, constructing stress scenarios, and utilizing financial market products.

  • Apply Excel-based simulations, such as the Bearning ALM model, to replicate portfolios and assess liquidity and interest management strategies.

  • Length

    1 day

  • Form

    online live

  • Difficulty

    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

  • ALM Professionals, Treasury Managers, and Risk Analysts seeking to enhance liquidity management expertise.

  • Product and Project Managers in ALM/Treasury eager to optimize liquidity risk strategies.

  • Financial Analysts and Consultants aiming to deepen understanding of liquidity risk assessment.

  • Finance and Banking Educators, Students, and Continuing Education Participants eager to stay updated on industry best practices in liquidity management.

  • Bank Executives, Compliance Officers, and Audit Professionals interested in regulatory-compliant liquidity practices.

Course Description

Advanced Liquidity Management in ALM

This advanced course on Liquidity Management within Assets and Liabilities Management (ALM) provides an in-depth exploration of essential concepts and practices vital for ensuring the stability and sustainability of financial institutions. Participants will delve into internal pricing methodologies for liquidity risk, regulatory compliance frameworks such as LCR and NSFR, and effective management strategies for mitigating liquidity risks. Through a blend of theoretical knowledge, practical examples, and hands-on simulations using the Bearning ALM model, professionals in ALM/Treasury, risk management, and related fields will gain the expertise needed to navigate the complexities of liquidity management while adhering to regulatory requirements.

Content

Introduction to ALM

  • ALM Responsibilities in a Bank
  • Relations to Treasury, Market Risk, and Risk Controlling

Internal Pricing for Liquidity Risk (Liquidity Premium - FTP-LQ)

  • Rules and Utilization in a Bank
  • Contingency FTPs and Other FTP Adjustments

Identifying Liquidity Risk

  • Profitability Calculation from Liquidity Gaps
  • Liquidity Buffer

Managing Liquidity Risk

  • Methods for Mapping Cash Flow of Balance Sheet Items
  • Replication Portfolio for Administered Products - Non-maturing Deposits (NMD) and Non-maturing Assets (NMA)
  • Liquidity Gaps and Measurement of Liquidity Risk
  • Minimum Liquidity Definition
  • Liquidity Curve and Liquidity Costs/Premiums
  • Liquidity Stress Scenarios

Regulatory Ratios of Liquidity Risk

  • Liquidity Coverage Ratio (LCR)
  • Net Stable Funding Ratio (NSFR)

Financial Market Products for Managing Liquidity Risk

  • Money Market Products (Deposits, CDs, CP, T-bills, Repos, FX Swaps)
  • Fixed Income Products (Bonds)

ILAAP (Internal Liquidity Adequacy Assessment Process)

Examples and Case Studies from Practice

  • Excel-Based Calculations and Explanations
  • Bearing ALM Model (LQ Part) 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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