ACF Academy
Asset & Liability Management Training Training
 Asset & Liability Management Training
Targeted Audience:
 Anyone working at management level within a commercial bank, those working in ALM, credit, treasury, strategy. In addition, central bank regulators and anyone else responsible for banking supervision at national, regional, or state level.
CPE Credits:
 21 hours
Course Level:
Date  DurationCostVenueRegister
17-19 Apr 2019  3 days£2875.00London

Strategic Bank Management and ALM

The Credit Crisis and Basel III

The aftershocks from the credit crisis, continued problems with impairments, slow economic growth, the pressure on bank capital and liquidity, and new rules and regulations, have all combined to make bank management significantly more difficult.

Basel III – the new system for determining the level of banks’ capital and liquidity –creates a much more challenging environment for banks to operate within, and it is getting more difficult every year as the minimum requirements are raised step-by-step.

ACF’s Global Banker simulation features a full implementation of the new BIS liquidity and capital measures, allowing delegates to experience at first-hand how they work in a completely realistic environment. The results are surprising – Basel III will potentially cut bank profitability by almost 40%.

Never before has it been so important for bankers – at all levels and in all roles – to understand the complexities of banking in the 21st century, to be aware of how their role fits in, to comprehend the big picture, and to identify problems before they become serious.

The Strategic Bank Management seminar does just that. Using ACF’s sophisticated Global Banker simulation within a realistic and detailed scenario, the seminar shows delegates how to develop effective solutions to today’s problems and strategies to ensure that their bank maintains profitability.

The Strategic Bank Management Seminar
Over an intensive three-day period, delegates will:
  Obtain a detailed overview of total bank operations – seeing clearly how everything fits together.
  Appreciate the impact of Basel III on commercial bank operations.
  Establish how to restore profitability through the design and execution of successful strategies – taking into account the need for liquidity and the cost of capital in a Basel III world.
  Identify and analyse a bank’s exposure to the various sources of risk – and how to design strategies to control risk within acceptable bounds.
  Appreciate the dynamics of commercial banking – exploring the interactions between  funding, lending, liquidity, and capital.
  Assess how derivatives like interest rate swaps and credit default swaps can enable banks to manage their exposure to interest rate and credit risk – but to be aware of counterparty and mark-to-market risk.
  Explore how successful securitisation can help banks manage their balance sheet.
  Understand asset and liability management concepts – and how they affect day-to-day decisions throughout the bank.
  Broaden the breadth and depth of their banking knowledge – learning about and gaining first-hand experience within each major area of the bank.
Hot Topic  The importance of credit risk, liquidity, and capital in today’s environment.
After taking part and experiencing the issues at first hand with Global Banker, delegates will gain a remarkable understanding of each of the principal functional areas within a bank, and see clearly how these areas successfully integrate together.

Delegates will learn to recognise the wider impact of their actions, and will be able to apply more astute judgement in the execution of their decisions. Instead of a blinkered outlook, delegates will have a panoramic view. Instead of copying the competition, delegates will devise creative strategies. Instead of reacting to problems, delegates will identify potential obstacles and implement pro-active tactics to circumvent them. In short, delegates will be able to make better, more profitable, but safe decisions, to the material advantage of the bank.

In an ever more complex and risky world, the Strategic Bank Management Seminar will help delegates achieve the critical edge.


Course Outline
 Overview of Bank Financial Management
Balance sheet structures
On- and off-balance sheet accounts
Interest rate risk measures
Regulatory ratios
Capital adequacy
ALM concepts
Integrating total bank operations – credit, finance, trading, treasury and risk management
Hot Topic:
The importance of credit risk, liquidity, and capital in today’s environment.
 Risk Management
Identifying banking risks
Credit risk
  • Exposure from traditional lending
  • Exposure through credit derivatives like CDS and CDO
Liquidity risk
  • Analysing the need for liquidity
  • Providing liquidity – asset-based and liability-based alternatives
Interest-rate risk
  • Maturity mismatch
  • Gap risk
  • Yield-curve risk
Currency risk
Duration risk
Operational risk
Quantifying risk exposures
Controlling risk through pro-active risk management
Hedging techniques using derivatives
Integrating and combining risks
The Value-at-Risk (VaR) approach
Topical issues:
• Measuring risk under crisis conditions
  • Combining credit risk and market risk
Hot Topic:
Measuring risk in a stressed environment – beyond the VaR approach.
Measuring profitability: RoA vs. RoE
Risk-adjusted returns
Capital-adjusted returns
Risk-return trade-off
Impact of capital and liquidity requirements on bank profitability
Cost of implementing hedging programs
Hot Topic:
Returning to and maintaining profitability.
 Lending Policy
Credit risk and its impact
Risk assessment
Establishing acceptable levels of risk-adjusted return
Using credit derivatives to manage credit risk exposure
Achieving the right lending mix
Retail vs. corporate
Syndicated loans
Floating-rate vs. fixed-rate
Hot Topic:
The importance of credit risk management in today’s environment.
 Liquidity, Financing Policy, and Basel III
Retail vs. money-market funding
Over-dependence on the money-markets – the problem
Liquidity risk from market funding
Competing for retail deposits
Minimising costs of money market funding
Basel III and the new liquidity ratios
  • Liquidity Coverage Ratio
  • Net Stable Funding Ratio
Hot Topic:
How much will the new Basel III liquidity rules affect my bank?
 Treasury Management
Using money-market instruments – bills, CDs, commercial paper and bonds
Using derivative instruments – futures, options, FRAs and swaps
Controlling risk
Managing cash flows and liquidity
Investment management
Hot Topic:
Investing in liquid assets when Treasury rates are zero.
 Capital Management
Raising capital
Debt vs. equity vs. hybrid instruments
Floating-rate vs. fixed-rate debt
Callable bonds
Convertibles, equities
Measuring the cost of capital
Capital allocation
Securitisation of assets
Hot Topic:
Raising capital – what is the best choice?
 Capital for Credit, Market, and Operational Risk – Basel I through Basel III
Basel I
Tier One, Tier Two, and RWA
Basel II
Pillars I, II, and III
Menu of approaches
Standardised vs. Internal Ratings Based (IRB) approaches
Foundation vs. Advanced IRB approaches
Using internal credit models
Allowance for credit risk mitigation
Use of credit derivatives
Operational Risk
Basel III
The new capital and leverage ratios
The Capital Conservation Buffer
The Countercyclical Buffer
The Market Risk Amendment
Using internal market risk models
The multiplier: yellow and red cards
Hot Topic:
How will Basel III affect ny bank?




"The material was not delivered in a vacuum. The instructor always had an example / actual article to illustrate his point, so the class turned out to be a lot more interesting about real-life markets."

– Heajun H.