Asset Liability Management II (CS225-Accelerated)

 

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Course 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. A complete list of included lessons appears below.

Asset Liability Management

This lesson gives the student an overview of asset-liability management.

Topics include:

  • Asset-liability management objectives
  • Income-based approach to ALM
  • Wealth-based approach to ALM
  • ALM committee responsibilities

Lesson objectives include:

  • 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

GAP Management of Interest Rate Risk

This lesson covers the gap management of interest rate risk.

Topics covered include:

  • Factors which influence NII or the NIM
  • Static Gap: How do you calculate it?
  • Static Gap Analysis: What does it say?
  • Static Gap: Word of caution
  • Overview of computer simulation analysis

Lesson objectives:

  • 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

Asset/Liability Valuation and Market Risk

This lesson covers the asset/liability valuation and market risk.

Topics covered include:

  • Present discounted value
  • Duration: The Calculation
  • Duration: A measure of market risk

Lesson objectives:

  • 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

Regulation and Interest Rate Risk Management

This lesson covers the regulation and interest rate risk management.

Topics covered include:

  • Duration: A review
  • Putting duration to work
  • Federal Reserve System's IRR Model
  • Regulatory approach to IRR assessment
  • Strategies to reduce excessive IRR

Lesson objectives:

  • 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 the
  • Federal Reserve System
  • Understand the current regulatory approach to assessing interest rate risk
  • Identify strategies for reducing interest rate risk

Hedging with Derivative Securities

This lesson covers hedging with derivative securities.

Topics covered include:

  • Definition of derivative security
  • Types of derivative securities
  • Interest rate swaps
  • Futures versus forwards
  • Hedging with futures
  • Hedging with forwards
  • Hedging with options
  • Caps and floors

Lesson objectives:

  • 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

 

Enrollment Form

Download and print an enrollment form from here, complete and fax to 904-354-1834