ALM and Balance Sheet Optimisation
London, 21-22 March 2018

Day one of the course will delve into the evolution of the ALM function in the context of a changing regulatory environment, along with discussing ILAAP, liquidity under Pillar II. The day ends with a session on behavioural modelling and IRR, focusing on IRR metrics & scenarios and value measures.

Day two will continue with a comprehensive overview of balance sheet management and optimisation strategies, moving on to an explanation of how to build an internal funding framework under FTP. The course continues with a discussion on the impacts of IFRS9 and FRTB on balance sheet management and concludes with an overview of Capital Management including RWA calculations and managing capital pricing.

Risk Training is recognised by the CPD Certification Service and we have been approved to award CPD points towards professional development certifications. This event awards attendees with 12 CPD points.

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Confirmed Speaker:

  • Matteo Formenti, Operational ALM - Behavioural Models for IRRBB, UniCredit
  • Vincent Campisano, Senior Liquidity Manager, Tesco Bank
  • Tamim Chebti, ALM/Treasury Expert, ABN AMRO Bank N.V
  • Patrick Alderman, Independent Consultant
  • Nadir Pirani, VP Liquidity Risk Management, Deutsche Bank
  • Sridhar R Aiyangar, Group Head, Balance Sheet and Liquidity Management, Bank ABC

Event Highlights:

  • A discussion on the evolution of ALM and how to successfully operate an efficient ALM model
  • Overview of ILAAP and the changing regulatory environment
  • Delve into the key concepts of Pillar II including utilising LCR and the impact of risk factors on stress testing
  • Gain further understanding of behavioural modelling and interest rate risk, analyse IRR metrics & scenarios and discuss how to manage IRRBB in practice
  • Insight into ways in which you can improve your balance sheet management strategies including looking at behavioural and deposit modelling
  • Learn about FTP, how to build your internal funding framework and utilise this as an interest rate risk management and profitability management tool

Who Should Attend:

  • This course is primarily aimed at those working in ALM however Risk Training welcomes anyone who would benefit from this training. Specific job titles may include but are not limited to:

    Chief Risk Officer
    Risk Officer
    Liquidity Risk Manager
    Credit Risk Officer
    Risk Modelling
    Risk Governance
    Internal Audit
    ALM Specialist
    Strategic Asset & Liability Management
    Financial Analyst
    Market Risk
    Non-Traded risk
    Interest Rate Risk


Learning Outcomes:

  • A new or enhanced knowledge of the ALM regulatory environment and how to go beyond regulatory compliance to create and maintain an effective ALM strategy
  • Examine ILAAP in detail, from internal governance through to business model strategies and liquidity risk management
  • Gain insight into IIR metrics and scenarios and how these impact on behavioural modelling and interest rate risk - discuss business model impact and how to manage IRRBB in practice
  • Learn how to improve and optimise your balance sheet management through focusing on modelling balance sheet risk
  • Gain a thorough understanding of the concepts around FTP, how this affects your liquidity reporting and can act as a profitability management tool 
  • Understand the impacts of IFRS 9 & FRTB on balance sheet management and discuss 2018 updates and the new regulatory standards

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