ALM & Capital Adequacy – Course Outline
- Introduction to ALM
- Interest Rate/ Maturity Mismatch Risk and Liquidity Risk
- Duration and Convexity, including the relationship with options and volatility
- Asset and Liability Sensitivity
- ALM framework
- Building blocks for an ALM model
- ALM measurement tools
- ALM reporting
- ALM Stress Testing
- Introduction to Capital Adequacy (including a background of capital adequacy regulation)
- Internal Capital Adequacy Assessment Process (ICAAP) & Liquidity Risk Capital Extensions
Course Prerequisites
Familiarity with basic asset liability management concepts, value-at-risk (VaR), local markets, portfolio management and the Basel II framework.
Course Audience
The course is targeted to intermediate and advanced users and is aimed primarily at banking professionals and individuals responsible for asset liability management and risk management within banks, insurance companies and mutual funds who need to quickly review or refresh their understanding of ALM and Capital Adequacy regulations for work, professional review, audit or personal development.
Course Guide
Here is the structure of the course.
Title
|
Duration
|
||
Session 1 – Introduction to Asset Liability Management (ALM) | 33:15 mins | ||
Session 2 – Interest Rate mismatch & ALM | 21:51 mins | ||
Session 3 – ALM reports and extensions | 26:59 mins | ||
Session 4 – Evolution of Capital Adequacy requirements | 16:32 mins | ||
Session 5 – Review of ICAAP (Internal Capital Adequacy Assessment Process) & Basel II (III) – Liquidity risk adjustments | 34:06 mins | ||
Session 6 – Understanding Duration & Convexity | 22:58 mins |
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First Gulf Bank, Abu Dhabi, UAEI have attended a number of training courses conducted by Alchemy technologies. Broadly, the areas covered have been Financial Risk Management aspects, Basel II implementation in Pakistan, as well as product knowledge for relatively new products in the our market for instance Financial Derivatives. As trainers, Mr. Jawwad Farid and his team bring in a wealth of conceptual knowledge entwined with their own professional experiences, adapting and honing it to our local market needs. The training courses are very informative and are delivered in a witty and energetic manner. The learning needs of the participants are kept in focus, and they are kept involved by interactive discussions and queries. Personally, I have always left these sessions with a much better understanding and grasp over the subjects delivered, which has helped me professionally.”
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