Masterclass on Asset Liability Management Optimization Event, 29.Jun.2025

Course Description

This intensive 5-day masterclass provides a comprehensive exploration of advanced Asset Liability Management (ALM) strategies and optimization techniques. Participants will gain in-depth knowledge of ALM best practices, balance sheet management, and risk mitigation strategies. The course combines theoretical concepts with practical applications, equipping financial professionals with the tools to enhance their institution's financial performance and navigate complex regulatory landscapes.

Learning Objectives

• Develop advanced ALM strategies to optimize balance sheet management
• Implement effective liquidity risk management techniques
• Master the use of Funds Transfer Pricing (FTP) in ALM frameworks
• Analyze and mitigate interest rate risk using sophisticated modeling techniques
• Design and implement an integrated ALM optimization framework
• Align ALM strategies with regulatory requirements and business objectives

Course Modules

Day 1: Foundations of Modern ALM

• Evolution of ALM in banking
• Key components of an effective ALM framework
• ALM's role in value creation and risk management
• Regulatory landscape and its impact on ALM

Day 2: Liquidity Risk Management in ALM

• Advanced liquidity risk measurement techniques
• Stress testing and scenario analysis for liquidity management
• Contingency funding planning
• Optimizing the liquidity buffer

Day 3: Interest Rate Risk and FTP

• Interest rate risk measurement and modeling
• Advanced gap analysis and duration techniques
• Implementing an effective Funds Transfer Pricing system
• FTP's role in performance measurement and product pricing

Day 4: Balance Sheet Optimization Strategies

• Capital management and optimization
• Asset-liability matching strategies
• Use of derivatives in ALM
• Integrating credit risk into the ALM framework

Day 5: ALM Optimization and Integration

• Building an integrated ALM optimization model
• ALM governance and the role of ALCO
• Aligning ALM with business strategy and risk appetite
• Case study: Implementing an optimized ALM framework

Practical Wins for Participants

• Ability to design and implement advanced ALM strategies
• Enhanced skills in balance sheet optimization and risk management
• Improved decision-making capabilities in financial resource allocation
• Capacity to align ALM practices with regulatory requirements and business objectives