Program Description:
Think you have a good handle on the basics of asset/liability management, or you're ready to take the next step? Learn the income-based and wealth-based approach to asset/liability management, gap management of interest rate risk, how to conduct a static gap analysis, calculating asset/liability valuation and market risk, regulation of interest rate risk using the Federal Reserve System's IRR model, and explore hedging with derivative securities.
After successfully completing this course, the student will be able to:
- Define Asset-Liability Management (ALM)
- Determine the primary objectives of ALM
- Describe two key approaches to ALM
- Identify key responsibilities of the asset-liability management committee
- Identify factors which influence net interest income or the NIM
- Examine the static gap method of asset-liability management
- Interpret a static gap analysis report
- Describe the weaknesses of static gapanalysis
- Understand the concept of computer simulation modeling for asset-liability management
- Examine how interest rate changes affect asset and liability values
- Calculate the present discounted value of a financial instrument
- Define duration and calculate the duration of asset and liabilities
- Understand duration as a measure of market and interest rate risk
- Identify key duration concepts
- View an actual report of the duration of a bank's assets and liabilities
- Understand the interest rate risk model used by theFederal Reserve System
- Understand the current regulatory approach to assessing interest rate risk
- Identify strategies for reducing interest rate risk
- Describe how banks can reduce interest rate risk by using derivative securities
- Describe derivative securities and identify the popular types
- Identify the payoff or cash flow characteristics of derivatives
- Identify why interest swaps are the most commonly used derivative instruments
Who Should Attend:
Those individuals identified in the Asset Liability Management I course who are ready for the next step and more technical information.
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