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Finance
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New York Institute of Finance

Asset Liability Management

  • Advanced

Learn how to identify, measure, and manage interest rate, credit, and liquidity risks on the balance sheets of firms, with a focus on financial institutions. This course offers 21 CPE credits and equips you with essential skills for effective asset and liability management.

  • Interest rate risk
  • Credit risk
  • Liquidity risk
  • Balance sheet management
  • Yield curve analysis

Overview

This comprehensive course covers the identification, measurement, and management of various financial risks, focusing on interest rate, credit, and liquidity risks. Participants will gain insights into balance sheet management, yield curve analysis, and the use of derivatives for risk mitigation. The course is designed for professionals seeking to enhance their expertise in asset and liability management, offering practical skills and strategies applicable to real-world scenarios.

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    English
    course language
  • Professional Certification
    upon course completion

Who is this course for?

Risk Managers and Analysts

Professionals responsible for identifying and managing financial risks within organizations.

Treasurers

Individuals managing the financial assets and liabilities of a company.

Fund Managers

Professionals overseeing investment portfolios and making decisions to achieve financial goals.

This course provides essential skills for managing financial risks, focusing on interest rate, credit, and liquidity risks. Ideal for professionals in finance, it enhances your ability to manage balance sheets and apply risk mitigation strategies, advancing your career in financial risk management.

Pre-Requisites

1 / 3

  • Fixed income arithmetic

  • Intermediate MS Excel skills

  • Elementary calculus

What will you learn?

Asset and Liability Management
Introduction to business models and ALM frameworks, including maturity mismatch, interest rate spread, and funding.
Asset & Liability Management
Focus on repricing and maturity mismatch, yield curve risk, basis risk, and option risk.
Yield Curve Shifts and Spreads
Analysis of historic yield curves, economic and policy drivers, and forecast changes.
Bank ALM Strategy
Examination of typical bank liability and asset profiles, and adjustments for rate changes.
ALM Modeling Assumption
Understanding default conventions, asset and liability sensitivity, and NII analysis.
ALM Risk Measurement Tools
Tools for measuring market value of equity, earnings at risk, and various gaps.
Duration and Convexity
Study of Macaulay duration, yield duration, effective duration, and Monte Carlo simulations.
Liquidity Risk
Understanding liquidity risk, its sources, measurement, and management plans.
Quantitative Measurement of Liquidity Risk
Techniques for measuring liquidity risk and developing contingency funding plans.
ALCO Risk Monitoring and Reporting
Monitoring and reporting risks according to U.S and Basel III requirements.
Managing NII and MVE Risk with Derivatives
Use of fixed income and FX derivatives to manage NII and MVE risks.
Case Studies
Analysis of Silicon Valley Bank and Signature Bank to recognize early warning signs of risks.

New cohorts coming soon