Asset & Liability Management

4 days 26-29 Nov 2017, Dubai UAE £3,410.00 Download brochure Add to basket

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This course will explore its issues and its challenges for bank risk managers auditors and regulators. The course will emphasise practical advantages and disadvantages of risk measurement and management tools and techniques. Samples of best practices risk reports will be provided.
Course knowledge will be reinforced through workshops using MS Excel to explore rate risk measurement and liquidity stress testing as well as course reviews. Basic knowledge in risk management, control and statistics is required. Active participation of the class is necessary to benefit from the full value of this programme.
The case studies will give you real life examples of the theories covered in the lectures, giving you a greater understanding of the course topics. The same sample bank is used for most risk measurement, reporting and hedging examples to enhance examples and comparisons.
All delegates will receive comprehensive course documentation for use before and during the programme. This will enable you to return to your organisation with an extensive and valuable source of information for future reference.

A 4-day course covering:

  • Using EaR and EvE to measure IRR
  • Measuring liquidity cash flow coverage and survival horizons
  • Managing interest rate risk
  • Managing liquidity risk
  • Best practice risk reporting
  • Contingency planning
  • Meeting requirements for regulatory compliance

The course is designed to combine theory and global best practice.

Teaching methodology

  • The course is designed to provide a mix of concepts with practical applications
  • Course material and organisation begin with fundamentals and proceed to advanced concepts
  • Heavy emphasis on data and algorithm limits on quantitative modeling
  • Hands on exercises for 4 methods of measuring rate risk plus liquidity stress testing
  • Case studies based on real-world examples

Who should attend?

  • Group Treasurers
  • Chief Risk Officers
  • Accounting and Finance Managers
  • Asset Managers
  • Liquidity Managers
  • Risk Managers and Risk Controllers
  • Risk Officers
  • Auditors and Bank Regulators

Who should attend


  • Group Treasurers
  • Chief Risk Officers
  • Accounting and Finance Managers
  • Asset Managers
  • Liquidity Managers
  • Risk Managers and Risk Controllers
  • Risk Officers
  • Auditors and Bank Regulators


We work with a series of expert instructors, please select the course location of interest to review the credentials of who will be delivering the programme.

Graham Dudlyke

Graham Dudlyke is a leading consultant and specialist trainer with over three decades of experience within the international financial markets, holding senior positions in a number of leading financial institutions in both London and New York.

His career boasts a wealth of experience within the derivative and capital markets, with senior roles at JP Morgan chase and Mitsubishi UFJ Securities International within derivatives trading, marketing, structuring and risk management. At JP Morgan he managed rate option trading books, and additionally held responsibility for developing the derivatives trading and marketing presence within European markets. At Mitsubishi UFJ he held responsibility for the management of interest rate derivatives trading, and played a major role in building and developing the interest rate derivatives trading business into new products and markets.

In 2011 Graham joined Hilltop Fund Management LLP, London, as a consultant, advising on hedge fund trading and complex investment strategies.

As an independent training consultant for over 10 years, Graham brings his unique practitioner’s perspective and insight to financial markets, providing training and consultancy services to many of the world’s leading financial institutions - banks, institutional investors and asset managers, official institutions and other related financial bodies. The world’s largest asset manager, global ‘bulge bracket’ investment banks, a number of supranational development banks, Fortune 500 companies, as well as central banks across four continents are all represented amongst the institutions that Graham has worked with in the delivery of specialised training and consultancy needs.

Graham is a consultant to Euromoney Institutional Investor plc, international business-to-business publisher, business conference, seminar and training course provider, as a regular and world renowned expert on derivatives and capital markets.

Graham holds an M.B.A. from Imperial College, London and an M.A. from Oxford University.



Dubai Finance

This programme takes place on a non-residential basis at a central 4 to 5* Dubai hotel. Non-residential course fees include training facilities, documentation, lunches and refreshments for the duration of the programme. Delegates are responsible for arranging their own accommodation, however, a list of convenient hotels (many at specially negotiated rates) is available upon registration.

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Do you have five or more people interested in attending this course? Do you want to tailor it to meet your company's exact requirements? If you'd like to do either of these, we can bring this course to your company's office. You could even save up to 50% on the cost of sending delegates to a public course.

To find out more about running this course in-house:

Our Tailored Learning Offering

If you want to run this course at a location convenient to you or if you want a completely customised learning solution, we can help.

We produce learning solutions that are completely unique to your business. We'll guide you through the whole process, from the initial consultancy to evaluating the success of the full learning experience. Our learning specialists ensure you get the maximum return on your training investment.


We can offer any of our public courses delivered at your office or we can devise completely tailored solutions:

Read more about our offering or complete a call back request to speak to a learning specialist.



Day 1

Introduction to ALM

§ Defining ALM and its objectives
Risk management (interest rate, liquidity risks)

        - Net interest income maximisation

Enhancement of net worth (Economic Value Added)

§ Asset liability mismatches for Banks

       - Maturity transformation and the role of banks

       - Banking book and Trading book classifications

       - IFRS - Accrued vs. Fair Value (M-t-M) Accounting Treatment

       - Interest rate risk in banking books versus trading book exposures

       - Funds Transfer Pricing (FTP)

§ ALM for other financial institutions

       - Defined benefit Pension fund management

       - Insurance (Life, Property and Casualty)

       - Structural asset – liability mis-matches

       - Risk exposures (liquidity, interest rate, inflation, credit etc.)

The Role and Organisation of Treasury

§ Treasury and the implementation of ALM strategy

§ The roles and responsibilities of the treasury function

       - Funding and investment strategy

       - Liquidity risk management

       - Market risk management

§ Current trends – changes in the strategic role of treasury

       - Impact of regulatory capital requirements on treasury strategy

§ Objectives and organisation of the treasury function

       - Maximisation of shareholder value

       - Risk management policy, reporting and control

Treasury Risk Management

§ Risk Management within the treasury function

§ Market risks:

       - Interest rate risks (gap, yield curve, convexity)

       - Currency (FX) exposure

       - Credit spread and default risks

       - Commodity price risks

       - Optionality: Volatility and correlation risks

§ Sources and types of market risk exposure:

       - Cash flow and balance sheet (Transaction and Translation) exposures

§ Operational risks

Day 2

Modelling Interest Rate Risk

§ Interest rate risk in “Banking book” and” trading book” assets and liabilities

§ Interest rate risk; impact on NII and economic value

§ Sources of interest rate risk exposure in assets and liabilities

Price risk vs. re-pricing risk

       - Current rate sensitivity vs. NPV

       - Yield curve risk

       - Basis risk

       - Convexity and optionality risks

§ Measurement of interest rate risk

§ Interest rate Gap analysis

       - Gap management and hedging

       - Managing interest rate gap risk with interest rate derivatives

       - Shortcomings of gap analysis

§ Measurement of interest rate risk exposure:

       - Duration, DV01/PV01 measures

§ Duration/DV01 analysis of assets and liabilities

§ Portfolio Approach to management of interest rate risk

       - Bucketing interest rate risk into maturity bands

       - Weaknesses in bucketed duration approach

       - Key rate duration

       - Calculation of key rate duration

§ Asset liability portfolio management techniques

       - Immunisation

       - Cash flow matching, horizon matching and dedicated portfolio approaches

§ Statistical approaches to risk measurement – Value at Risk

Value at Risk

§ Drawbacks of traditional market risk measurement and management techniques

§ Introduction to statistical methods of risk measurement – Value at Risk

§ Calculating firm-wide VaR – parametric and simulation based techniques

§ Integration within firm-wide risk management strategy

       - VaR based allocation of capital and limit setting

       - Performance measurement (RAROC)

§ Advantages and shortcomings of different VaR methodologies

§ Back-testing and stress testing

§ Limitations of VaR and the need for complementary measures

§ Extending the statistical approach to credit risk:

§ Portfolio credit risk modelling

§ Portfolio loss distributions

§ Using portfolio credit models to optimise asset pricing/returns

§ Stochastic interest rate risk modelling

§ Yield curve modelling – bootstrapping swap/bond yield curves

§ Convexity risk; pre-payment risks in mortgages and other callable debt

§ Modelling pre-payment options

§ Stochastic rate models

       - Equilibrium and no-arbitrage models

       - Using stochastic models to value optionality, estimate interest risk (effective duration, Delta, Gamma measurements)

Case Study: Value at risk analysis of firm wide balance sheet

Day 3

Managing Interest Rate Risk - Interest Rate Derivatives

§ The role of derivatives in asset liability management

§ OTC and exchange traded derivatives

§ Interest Rate Forwards: Forward Rate Agreements (FRAs)

§ Short term Interest Rate Futures – Eurodollar/Euribor Futures

§ Basis risks in hedging

§ Overnight Index Swaps (OIS) and Interest Rate Swaps (IRS)

§ Constant maturity swaps (CMS)

§ Tailored swaps and ‘macro’ swaps

§ Accounting treatment – Hedge accounting

§ Interest rate options:

   - Caps/floors and swap options

Case Study: Identification and measurement of interest rate risk; Hedging strategies using FRAs/OIS and Interest Rate Swaps

Applications of CMS in hedging re-pricing risk, yield curve exposures

Liquidity Risk Measurement and Management

§ Funding and liquidity risk

§ Metrics for measuring funding and liquidity risk

§ Gap analysis:

       - Types of liquidity gap

       - Liquidity gap time profiles

       - The maturity mismatch and "riding the yield curves

§ Maturity mismatch risk and the dynamics of liquidity gaps

§ Cash flow forecasting

       - Short term (medium/long term) funding and securing of contingent funding/liquidity sources

       - Modelling (replicating) customer assets and liabilities; liquidity assessment

       - Time buckets and granularity

       - Liquidity risk using cash flow models

§ Effective liquidity risk management

       - Funding mix: Liquidity gap analysis and funding strategy

       - Liquidity buffers and reserves

       - Eligible collateral and central bank funding

       - Risk limits – settling limits

       - Contingencies and contingency planning

       - Funds transfer pricing

§ Scenario analysis

§ Defining scenarios

§ Case studies (1998, 2007 – 2008)

§ Lessons learned from systemic events

Day 4

Stress testing in ALM

§ Stress testing customer assets and liabilities

§ Indeterminate maturity deposits

§ Market access and eligible collateral

§ Traditional stress tests

§ Stochastic approaches to stress testing

§ Stress testing and VaR

§ Inappropriateness of VaR in liquidity risk management

§ Practical approaches to dealing with extreme events in stress testing

Case Study: Illustrative Examples of Stress Tests

Funds transfer pricing

§ Enabling the meaningful evaluation for profitability in banking products

§ FTP as a core component of asset liability management

§ Standard FTP methodologies

§ Modelling customer assets and liabilities: price elasticity

§ Constructing internal funding curves

§ Costing liquidity risk premia

The Role of Securitisation in ALM

§ Introduction to securitisation

§ Funding and balance sheet restructuring via securitisation

§ Necessary asset characteristics for securitisation

§ Asset backed security classes (MBS, ABS, CDOs etc.)

§ Strategic benefits of securitisation

§ The economic rationale

§ Regulatory capital considerations

§ Trading book capital rules (Basel 2.5)

§ Basel 3 capital requirements

§ How have the regulatory changes impacted on the Securitisation market?

Regulatory Compliance – Liquidity Requirements

§ Liquidity risk requirements (NSFR, LCR)

§ Designation of core versus volatile asset and liabilities

§ Stress scenarios

§ Impact of liquidity requirements for treasury balance sheet management and financing strategy

§ Liquidity asset buffer

§ Eligible asset types

§ Assessment of the impact of liquidity rules on bank profitability, risk and ALM strategy


Treasury Risk and Regulatory Capital Requirements

§ Regulatory capital requirements for financial institutions

§ An overview of the Basel Accord – objectives, structure and provisions:

       - Market risk

       - Counterparty risk

       - Operational risk

§ Banking book and trading book designations

§ Standardised and internal model approaches

§ Trading book capital rules (Basel 2.5)

§ Overview of Basel 3 regulatory capital requirements

§ Liquidity risk requirements (NSFR, LCR)

§ Impact of liquidity requirements for treasury balance sheet management and financing strategy

§ Liquidity asset buffer

§ Regulatory requirements for liquidity risk management

§ Basel 3 provisions

       - Net Stable Funding Ratio (NSFR)

       - Liquidity Coverage Ratio (LCR)

       - Liquidity asset buffer (asset types, characteristics, costs)

Why us

We have a combined experience of over 60 years providing learning solutions to the world’s major organisations and are privileged to have contributed to their success. We view our clients as partners and focus on understanding the needs of each organisation we work with to tailor learning solutions to specific requirements.

We are proud of our record of customer satisfaction. Here is why you should choose us to help you achieve your goals and accelerate your career:

  • Quality – our clients consistently rate our performance ‘excellent’ or ‘outstanding’. Our average overall score awarded to us by our clients is nine out of ten.
  • Track record – we have delivered training solutions for 95% of worlds’ top 100 banks and have trained over 250,000 professionals.
  • Knowledge – our 150 strong team of industry specialist trainers are world leading financial leaders and commentators, ensuring our knowledge base is second to none.
  • Reliability – if we promise it, we deliver it. We have delivered over 20,000 events both in person and online, using simultaneous translation to delegates from over 180 countries.
  • Recognition – we are accredited by the British Accreditation Council and the CPD Certification Service. In an independent review by Feefo we scored 96% on service and 95% on product