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Concepts of Asset and Liability Management for Banking
CALM : CALMV1
Basic Concepts of Asset & Liability Management in Banking
Learn How To
After taking this course, the students will be able to explain how Asset and Liability Management links balance sheet structure to income, and how cash flows, repricing, and liquidity gaps drive risk. They will understand how to evaluate scenarios that stress a bank and interpret core measures, including Economic Value of Equity, Net Interest Income, Liquidity Coverage Ratio, and Net Stable Funding Ratio. They will be able to describe the Interest Rate Risk in the Banking Book framework, duration measures, and funds transfer pricing, and translate these concepts into clear strategic choices for a financial institution.
Who Should Attend
People new to banking and Asset and liability management
Prerequisites
None
Course Outline
- What is Asset and Liability Management
- Balance Sheet and Income Statement
- Repricing and Liquidity Gaps Concepts
- Generating cashflows for financial instruments
- Run-off, Constant and Growth Scenarios on the Balance Sheet
- Hypothetical Portfolio Analysis and What-If Scenarios
- Duration Measures - Effective, Modified, and Key Rate Durations
- IRRBB Framework - Overview and Key Components
- Funds transfer pricing concepts
- Economic Value of Equity and Net Interest Income Explained (EVE & NII)
- Liquidity risk, LCR and NSFR