How to model and project the balance sheet of the bank?
What are the key equilibrium and the major threats?
How to classify and handle balance sheet risks?
Are the regulatory and the economic views coherent?
What is expected from ALM managers?
When should management actions be triggered?
What can we learn from passed crises?
What are the current issues?


What are the principles and mechanisms of Asset Liability Management in banks?
The purpose of this 3-day seminar is to introduce the principles and mechanisms of asset liability management in banks. During these three days, we address all the issues relevant to this essential matter, from balance sheet modelling and projection to managing structural risks. These are illustrated by a number of business cases and exercises that facilitate the assimilation of the concepts and techniques presented. On day 1, we sketch the global functioning of the Bank, to position the “raison d’etre” of the ALM in regards to the business objectives and their interactions. Once the ALM’s role is defined, we devise the resources and the organization required for a successful mission. This includes describing the ALM ecosystem, with its Steering Committee called the ALCO, the various teams and their responsibilities, from the valuation of financial instruments to the management of balance sheet risks such as interest rate, liquidity and currency risks. Also, we learn how to transfer these risks to the ALM using appropriate mechanisms and funds transfer pricing. Day 2 focuses on the techniques used for valuing assets and liabilities and measuring balance sheet risks. In order to value financial instruments, we learn how to generate their expected future cash flows under various conditions. We discover how aggregating these cash flows and assessing possible future cash shortfalls form the basis for assessing balance sheet risks. We also look at applicable regulations (LCR, NSFR, IRRBB…) and put them in perspective with the economic reality. Issues related to options and credit risk (IFRS 9) are also addressed. A number of exercises and games facilitate assimilating these principles and techniques. Day 3 addresses the management issues related to ALM and operational matters. You learn how to control and mitigate risks, and a number of key questions are addressed: What risks should be taken? Up to what level? How to hedge risks? How does ALM relate to risk management and to risk budgeting and risk appetite? What is expected from ALM professionals and how do they interact with other functions in the bank? Finally, we look at the current matters of concern to the ALM community, such as the macro prudential policy, low interest rates, the resolution fund and new technologies. We finish the seminar with a series of exercises/games aimed at rehearsing all the major elements learned during these three days: The role and the positioning of the ALM, assets valuation principles, balance sheet risks identification, measurement and management, applicable regulations, and finally current concerns.

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