Teaching hours: 72 (23 weekly lectures x 3 hours)
Total learning hours: 300
Internet-based student-faculty forum and seminars
Module One: Bank Balance Sheet Risk Management
We introduce the key tenets of bank ALM and proceed to delve in depth into the tools, techniques and principles available that students must be familiar with if they are to manage ALM strategy for their bank. We assess and analyse key risk and performance metrics including NII/NIM, and also present best-practice principles of interest-rate and FX hedging.
Primer on bank business model, financial statements and regulation. Introduction to Value-at-Risk
Treasury Target Operating Model and reporting line
Asset-Liability Management II: banking products, interest rate benchmarks, FX hedging and NII/NIM management
Basel III capital and liquidity rules
ALM trading and hedging principles I: Money markets. ALM Simulation game: Introduction
ALM trading and hedging II: Banking Book interest- rate risk management
Module Two: Treasury ALM Operating Model and Risk Management Governance
An essential ingredient in sound ALM structure is the e ectiveness and efficiency of the Treasury operating model. This module presents business best-practice recommendations for the target operating model and the management and operation of the bank’s asset- liability committee (ALCO).
- Asset-Liability Management I: strategic ALM and balance sheet management
- Asset-Liability Management III: The ALCO ToR / charter. ALM Simulation game: Discussion
- ALCO recommended sub-committee organisation and ALCO oversight of credit risk
Module Three: Strategic ALM and Financial Markets
Module Three reviews the operation of the bank within the wider capital and financial markets. We review market instruments, the use and application of securitization for balance sheet management and wider stakeholder concerns including how a bank should undertake its recovery and resolution planning. We also run through the process of obtaining a formal credit rating.
- Capital market disciplines for bank issuers (AT1, T2, Secured, Unsecured)
- The mechanics of securitisation for balance sheet management
- Recovery and Resolution Planning
- Investor relations and the credit rating process
Module Four: Bank Liquidity Risk Management
Module Four is perhaps the most arcane and technical, and yet up there with the most important, of all the BTRM modules. It covers all aspects of liquidity risk management and how this vital function should be carried out in order to ensure continuous through-the- cycle survivability. Related topics such as yield curve construction and stress testing, an essential part of the Basel III regulatory regime, are covered in depth.
Liquidity risk management I
Liquidity risk management II: Risk metrics and limits;
Derivatives and Collateral (CVA, FVA, etc), part 1
Liquidity risk management III: liabilities strategy, managing the liquid asset bu er (HQLA); Asset encumbrances
Internal funds transfer pricing (“FTP”) and funding policies; Collateral management (CVA, FVA, etc), part 2
Constructing the bank internal funding curve; intra- day liquidity risk
Liquidity reporting, stress testing and ILAAP
Module Five: ALM and Capital Management
The module covers capital management, capital planning and capital strategy. The role of the CFO and Treasurer in this regard is examined in detail. We also present guidelines for the policy template process, when the student may be required to bring the latest developments to a particular committee such as ALCO.
Capital management I: capital structure and planning
Capital management II: capital strategy and ICAAP
Principles of policy documentation: liquidity and capital
Collateral management: Bilateral Margin Rules and Central Clearing for OTC
EXAM: 3-hour unseen written examination