Bank Asset-Liability Management

A 3-day guide through the key areas of bank ALM

Program flyer
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Next available date: 11 March

 

Basel III implementation is upon us and banks now need to work towards balance sheet optimization in order to satisfy the sometimes competing demands of the regulator, the customer and the shareholder, and to preserve shareholder value efficiency. Efficient and effective asset-liability management (ALM) practice is the primary part of this process.

This 3-day program guides participants through the key areas of bank ALM: integrated ALM origination framework, capital management, liquidity risk, Funds Transfer Pricing (FTP) and interest rate risk in the banking book (IRRBB). It addresses both the challenge of implementing an efficient regulatory submissions process (ICAAP and ILAAP), to ensure that a bank is able to implement best-practice processes, and the “3-dimensional” optimization problem of meeting the requirements of all stakeholders.

“Implement asset-liability management in a way that is appropriate for your bank.”

Professor Moorad Choudhry, Recognise Bank Limited and the Loughborough Building Society.

Material from the instructor’s book The Principles of Banking is used in the workshop. Case studies and group exercises are used throughout the course to reinforce learning.

How you will benefit

  • Implement best-practice ALM processes
  • Ensure effective and best-practice ICAAP and ILAAP processes
  • Apply strategic ALM discipline to ensure an optimized balance sheet in Basel III implementation
  • Implement an integrated liabilities strategy that will optimize the liability structure while enabling efficient compliance with NSFR and LCR
  • Manage the balance sheet efficiently to account for new capital regulations such as Leverage Ratio
  • Ensure IRRBB is managed efficiently to maximize hedge effectiveness and to minimize the regulatory capital charge
  • Apply best-practice FTP processes into origination strategy to maintain effective balance sheet management
  • Adopt an effective ALCO operating framework and governance mechanism that delivers an efficiently managed balance sheet

Program length
3 days

Day 1 09:00 – 17:30
Day 2 09:00 – 17:30
Day 3 09:00 – 17:30

Next step
We offer carefully crafted learning paths designed to help you dive deeper into various facets of finance. Take the next step in your professional learning path by choosing one or more of our specialized programs, for example:

 

Day 1

  • The origins and development of ALM in banks 
  • Strategic ALM and Best-practice ALM principles
  • The Risk Management Framework
    –   
    Board Risk Appetite Statement (RAS), Key Risk Indicators (KRIs) and strategic planning process
  • Basel III Liquidity: NSFR and LCR
    –   Reporting
    –   Strategic ALM and balance sheet management implications
  • Basel III Additional monitoring metrics
  • Basel III Liquidity principles
  • ILAAP principles
    –   What makes a good ILAAP? What makes a poor ILAAP?
    –   Ensuring an efficient and value-added ILAAP process
  • Case study: Silicon Valley Bank and First Republic Bank failures: lessons (re-)learned

Day 2

  • Basel III capital
    –   Capital management and capital planning
  • Basel III – Interest rate risk in the banking book (IRRBB)
    –   Balance sheet management
      Pillar 2A capital impact on business lines
  • Basel III – Interest rate risk in the banking book
    –   
    Hedging and Strategic ALM
    –   Key Metrics NII and EVE
  • Case study: IRRBB implementation
  • ICAAP best practice principles
    –   
    Basel III ICAAP and Management Actions
    –   Process into Recovery Plan standards 

Day 3

  • Funds transfer pricing (FTP)
    –   Liquidity term premium best-practice
    –   Balance sheet management
    –   The FTP curve methodology
  • Applying FTP to banking book
    –   Funding policies
    –   Product applications
  • ALCO governance and framework
  • ALCO best-practice principles
    –   How to ensure an effective ALCO process
    –   What makes a fit-for-purpose ALCO?
  • ALCO lessons learned from 2023 bank failures
  • Group exercise / discussion forum

Program preparation

There is some preparatory work required for this program. Pre-readings consist of case materials, chapters of a book and/or a few articles. These materials will be made available on a password protected webpage a few weeks prior to the program.

To ensure maximum benefit from the program for participant and fellow-participants, we strongly advise to prepare prior to attending.

Read more
> ‘Bank Asset-Liability Management is the core of banking’ – View from the classroom with Prof. Choudhry
> ‘Implement asset-liability management in a way that is appropriate for your bank’
> Silicon Valley Bank collapse: thoughts from Prof. Choudhry (ALM)

 

The Bank Asset-Liability Management program is relevant to executives who want to better grasp key areas of bank ALM. The program is especially beneficial to:

  • ALCO and EXCO members
  • Head of Treasury and staff
  • Head of Balance Sheet Management
  • Head of Money Markets
  • Head of ALM
  • Head of Liquidity Risk
  • Head of Deposits
  • CRO and staff
  • CFO and staff
  • Product management
  • Head of Regulatory Reporting and staff
  • Head of Internal Audit
  • ILAAP and ICAAP authors
  • Management consultants in the Basel III space
  • Board NEDs

Is this program not the right fit for you?
We offer other programs which you might find more interesting or useful, such as:

 

 


Faculty

Moorad Choudhry Bank ALM

Moorad Choudhry

Professor Moorad Choudhry is an independent non-executive director at Recognise Bank Limited, in London, and at the Loughborough Building Society.  He was latterly Treasurer, Corporate Banking Division at The Royal Bank of Scotland. Moorad is a Fellow of the Chartered Institute for Securities & Investment, a Fellow of the London Institute of Banking and Finance,…

Read more


  • 3 days
  • € 3950
  • Risk Management
  • English
  • 4.7 / 5

Available dates

Need help?

Find your program here or contact us directly for personal advice:
Call us at +31 20 246 7140 or email us at [email protected].

Program flyer

For a more detailed program description and information regarding faculty please download the program document.


Accreditation

CFA/VBA – PL  credit hours
This program is eligible for 18 PL credit hours as granted by CFA Society VBA Netherlands

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