Asset/Liability Management

Course Description

In the past few years a number of well-publicized cases of dramatic losses at financial institutions both large and small have occurred. These losses have increased the public’s awareness of the interest rate risks associated with traditional banking activities as well as newer and more complex derivatives instruments. This class will identify the products that are most often used to either leverage or de-leverage risk, as well as the strategies and tools used to manage these positions.

Delivery Options

  • On- or off-site instructor-led training
  • Standalone delivery or larger-program integration Flexible half-day, one-day or two-day seminar structures
  • Webinar format
  • Fully customizable courses

Course Outline


Organization of Asset/Liability Management

  • Interest Rate Risk Management
  • Balance Sheet Matching
  • Asset/Liability Management Committee (ALCO) Composition


Interest Rate Risk Measurement Tools

  • Gap – Static vs. Dynamic and Repricing vs. Cash flow
  • Earnings At Risk (EaR) and Income Simulation
  • Duration And Convexity Economic Value Of Equity (EVE)
  • Measuring Core Deposit Behaviors


Market Risk Measurement Tools

  • Market Value Measures
  • Present Value of a Basis Point (PVBP, DV01)
  • Statistical Analysis
    • Standard Deviation and Correlation
    • Probability Distributions
  • Value At Risk (VaR)
  • Stress Testing Models
  • Back-testing Models


Risk Mitigation and Hedging Using Derivatives

  • Forward and Futures Contracts
  • Swaps
  • Options
    • Caps, Floors, and Collars
  • Credit Derivative
  • Interest Rate Risk Hedging Strategies
    • Swap Strategies
    • Options Strategies



  • Mortgage-Backed Securities
  • Asset-Backed Securities
  • Structured Finance/CDOs


Regulatory Considerations

  • Regulatory Guidance
  • Risk Capital Allocation for Market/Interest Rate Risk

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