Asset Liability Management (ALM) Master Class: About

At a Glance

Program Type
Single Course
Fall 2021
Delivery Method
Field of Interest
Days of Week
Sat, January 29, 2022
Total Units
0.05 CEUs

Earn Your ALM Certificate

Attend this one day course on Asset Liability Management and learn from ALM experts why managing interest rate risk is a core competency for banks and credit unions. ALM is more than just a data processing exercise--staff must not only produce a set of risk measures, but assess and interpret them as well. This course is designed to provide the basic tools for understanding interest rate risk measures and using them to assess the institution's sensitivity to rate movements.

Topics Covered:

Interest Rate Basics

ALM as the measurement of the value and the interest-rate risk of the bank’s portfolio.

  • Value measurement: present value, future value, discount factors, and rates
  • Bonds, discount factors, and yield-curve generation
  • Interest-rate changes over time: shift, twist, and bow
  • Credit risk and credit spreads

Asset Valuation and Risk Modeling

  • Overview of loan (bond and mortgage) math
  • Duration and convexity
  • Default risk
  • Prepayment risk

Liability Valuation and Risk Modeling

  • Deposits
  • Advances
  • Bonds

Risk Measures and Stress Tests

  • NII and IRR
  • EAR, VAR, EVE, and FTP
  • Stress Tests, Economic Capital, and RAROC

Advanced Topics in ALM

Topics will be chosen based on participants’ suggestions and will either be more advanced treatment of elements of the course or ALM-related topics such as liquidity risk management or hedging.