Description
SUITABLE FOR:
Head of ALM, Risk Managers, Compliance Managers, Treasury Managers, Treasurers, Treasury Analysts, Finance Directors, General Managers, Financial Controllers, Finance Managers, Accounts Managers, Financial and Management Accountants, Internal Auditors, Financial Analysts, Accounts Supervisors and Accounts Superintendents.
OBJECTIVES:
By the end of the course, delegates will:
- Have greater awareness of how to measure and manage interest rate risk.
- Have greater understanding of the techniques of measuring financial risk .
- Have greater understanding of the role of derivative products and how to value them .
- Have a greater understanding of liquidity management .
- Be able to undertake capital planning and allocation more effectively.
- Have greater understanding of transfer pricing strategies.
- Be able to design a performance measurement model
SUMMARY:
The topics covered include:
Day One
Introduction to Asset and Liability management
- The role of asset and liability management
- Strategy definition
Identifying Risk
- What is risk?
- Identifying different types of risk
- Case study
Measurement and Management of Interest Rate Risk
- Gapping
- Duration
- Duration-gap
Day Two
Measurement and Management of Interest Rate Risk (continued)
- Duration of equity
- Convexity
Techniques to Measure Financial Risk
- Value at Risk
- Other approaches
Day Three
Derivative Products
- The role of derivatives
- Analysing derivatives
- Interest Rate:
- Futures
- Swaps
- Valuation techniques for derivative products
Liquidity Management
- Funding liquidity
- Trading
Capital Planning
- Credit Risk Capital
- Market Risk Capital
- Risk Adjusted Return on Capital
Day Four
- Capital allocation approaches
- Case Study
Transfer Pricing and Performance Measurement
- Why transfer price?
- Using transfer pricing
- Transfer pricing for: (continued)
- Basis Risk
- Liquidity Risk
- Performance measurement issues
- Designing a performance measurement model
- Exercise – The Balance Sheet
