Presenter: Professor Moorad Choudhry, Dept of Mathematical Sciences, Brunel University

Course Running Time: 5 Hours 

Part 1 (Running Time: 41:05)

Part 2 (Running Time: 15:41)

Part 3 (Running Time: 30:54)

Part 4 (Running Time: 20:51)

Part 5 (Running Time: 1.00:08)

Part 6 (Running Time: 19:59)

Part 7 (Running Time: 41:38)

Part 8 (Running Time: 42:04)

Part 9 (Running Time: 12:44)

A high-level principles seminar for senior executives who work directly or indirectly with the ALM function and apply ALM principles at the CEO and ALCO level when determining bank strategy and risk management appetite.

Asset-liability management and liquidity management are the cornerstones of bank risk management. The premier executive challenge of the Basel III era is integrating these into bank strategy, such that they form an integrated part of every bank’s overall business model and drive customer engagement.

This advanced-level seminar is aimed at senior and experienced bankers and is of relevance to every member of a bank’s ALCO. It seeks to review key aspects of ALM and present the vital questions of how ALM, liquidity risk and ALCO governance should be set up and implemented at a bank. Delegates will be encouraged to critique different bank operating models and risk governance, with a view to determine collectively what represents business best-practice.

Key Features:

• Strategy and capital
• Capital structure and management
• ALM introduction and overview
• The risk management triumvirate: CFO, CRO and Treasury
• Treasury operating model
• NIM and NII: the ALM framework for the Banking Book
• Liquidity risk management and funding policy
• Funds transfer pricing and asset-liability origination
• Liabilities strategy formulation
• Credit rating agency considerations
• Bank yield curve and asset origination pricing
• Treasury input to strategy setting
• Corporate governance and ALCO

Workshop Content:

Strategy and capital

• Treatment of capital and reserves
• Concept of no free funding and no “capital income” for business lines
• Capital structure considerations
• ROC and RAROC
• Strategy setting within Basel III regime

Strategy setting

• Pre- and post-crash models
• Resource inputs
• Treasury input to strategy setting

 Treasury operating model

• Business best-practice governance and org structure

Managing NIM

• Understanding net interest margin
• Issues in preserving NIM: holistic balance sheet view

Liquidity risk management

• The funding model: strategic principles
• Liquidity policy statement and statement of liquidity risk appetite

Funds transfer pricing and asset-liability origination

• Principles of internal funding
• Funding policies for each business line
• Correct FTP to ensure no disincentives in asset-liability raising
• Interaction with NIM

Liabilities strategy formulation

• The right funding model
• Optimum funding strategy
• Liabilities pricing and FTP

The yield curve

• Understanding inputs and outputs
• Interpolation model: not straight line!

Loan origination pricing: correct input parameters

• Reviewing elements of loan pricing

The liquid asset buffer

• Cash-securities mix
• Funding principles
• Portfolio selection for liquidity preservation not return

Managing interest rate risk in the Banking book

• Business best-practice approach to hedging IRR
• Hedging – not speculation!

Credit rating agency principles

• Factors in determining the credit rating
• Action when targeting a desired rating