Understand Banking Asset & Liability Management

| 23-8-2019 | treasuryXL | Financial Training Hub

The management of Assets & Liabilities, known as ALM, is key to potential success of banks. The ALM strategy is set by the Board of Directors that has to decide about different financial activities in connection with two risks: interest rate and liquidity risk. This interactive course introduces you to Asset & Liability Management and the world of finance. Several workshops are included. This training is available for English and Dutch groups.

Key Takeaways

This training will learn you:

1. Yield curve impact on Asset & Liability Management
2. Gaps as basis to determine ALM exposure
3. Duration to manage the ALM mismatch
4. The use of interest rate swaps to change equity at risk
5. Basel regulation impact on capital management
6. How the new liquidity ratio’s will affect ALM

Who can do this course

The course is suitable for people that (want to) work in the financial sector. It is not necessary for participants to have specialized finance experience or education. (Duration: 1 or 2 days depending on participants experience)


This training is a mix of presentations, discussions and workshops.
Topic overview:

  • Introduction of assets & liabilities of financial institutions
  • Bank risks in general
  • Specific bank risks
    − Interest rate margin and risk
    − Liquidity risk: why?
  • Reading the yield curve
    − Short and long term interest rates
    − Forward rates
  • Gap analysis to measure ALM exposures
  • (Modified) Duration for interest risk management
    − Money Duration
    − Basis Point Value
    − Equity at risk and supervisor minimum requirements
    − Interest rate swaps and ALM
  • Basel Supervision on risk management
  • Capital requirements in general
  • Liquidity ratio’s workshop: NSFR and LCR