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Time taken to complete each Course:
Two - Three hours
1.
Scope of ALM
- Objectives
- Introduction
- Interest
Rate Risk
- Foreign
Exchange Risk
- Commodity
Risk
- Stock
Market Risk
- Liquidity
Risk
- Credit
Risk
2.
Objectives of ALM
- Objectives
- Introduction
- Rate
Scenario Table
- Short
Term and Long Term Risk
3.
Growing Relevance of ALM
- Objectives
- Nature
and Significance of ALM
- Financial
Volatility
- Explosion
of New Products
- Regulatory
Initiatives
- Management
Recognition
4.
A Nine-part Framework for ALM
- Objectives
- Introduction
- Strategic
Framework
- Organizational
Framework
- Operational
Framework
- Analytical
Framework
- Technology
Framework
- Information
Reporting Framework
- Performance
Measurement Framework
- Regulatory
Compliance Framework
- Control
Framework
5.
Strategies of ALM
- Objectives
- Introduction
- On
Vs. Off-Balance Sheet Strategy
6.
Yield Curve Analysis
- Objectives
- Introduction
to Yield Curve Analysis
- Types
of Yield Curves
- Analyzing
Yield Curve
- Bond
Arbitrage Strategies
- Application
of Yield Curve
7.
Interest Rate Gap Analysis - I
- Objectives
- Introduction
to Gap
- Gap
Report
- Considerations
in Slotting of Different Items
8.
Interest Rate Gap Analysis – II
- Objectives
- Income
Impact
- Gap
Limits
- Restructuring
Strategies
- Strengths
and Limitations
9.
Interest Rate Gap Analysis – III
- Objectives
- Asset
Restructuring Strategy
- Liability
Restructuring Strategy
- Growth
Strategy
- Shrinkage
Strategy
- Off-Balance
Sheet Strategy
10.
Simulation and Scenario Analysis - I
- Objectives
- Introduction
to Simulation
- Measuring
Risk Positions
- Scenarios
and Results
- Simulation
Modeling
- Backtesting
11.
Simulation and Scenario Analysis – II
- Objectives
Non-specific Maturity Items
Business Strategies
Monte Carlo Simulation
Software Packages
Strengths and Limitations
12.
Duration I
- Objectives
- Introduction
- Duration
Vs. Yield
- Duration
Vs. Maturity
- Duration
Vs. Coupon
13.
Duration II
- Objectives
- Duration
of a Perpetual Bond
- Duration
of a Bond with Embedded Options
- Duration
of Portfolio
- Duration
of Off-Balance Sheet Items
- Approximation
in Duration
- Gap
Vs. Duration
- Payment
Frequency
- Strategies
for Risk Management
14. Duration III
- Objectives
- Duration
of Equity and Leverages
- Examples
- Duration
of Complex Items
- Leveraged
Inverse Floaters
- Zero
Coupon Yield Curve
- Comparison
15.
Duration IV
- Objectives
- Duration
of Complex Items
- Zero
Coupon Yields Curve
- Comparison
16.
Strategies
for Internal Risk Management
- Objectives
- Dedication
- Immunization
- Indexation
- Active
Management
- Rate
Anticipation
17.
Basis Point Value
- Objectives
- Introduction
- Calculation
of Basis Point Value for On-Balance Sheet Items
- Calculation
of Basis Point Value for Off-Balance Sheet Items
- Basis
Point Value of a Portfolio
18.Convexity
- Objectives
- Introduction
- Definition
of Convexity
- Convexity
Calculation
- Convexity
and Yield
- Convexity,
Maturity, Coupon and Price Change
- Convexity
of Portfolio
- Positive
and Negative Convexity
19.
Review of Statistical Concepts
- Objectives
- Statistical
Measures
- Normal
Distribution
- Correlation
- Volatility
and Standard Deviation
20.
Value at Risk -I
- Objectives
- Introduction
- Measures
of Risk Exposure
- Computation
of VaR
- Strengths
and Limitations of VaR
21.
Value at Risk -II
- Objectives
- VaR
for Foreign Currency Spot and Options
- VaR
for Foreign Exchange Forward
- VaR
for Common Shares
- VaR
for Fixed Income Securities
- VaR
of a Portfolio
- Applications
of VaR
22.
Application of Analytical Techniques
- Objectives
- Introduction
- Concepts
and Assumptions
- Application
- Practices
- Case
Study I
- Case
Study II
23.
AL Organization
- Objectives
- Introduction
- Composition
of ALCO
- Scope
of ALCO
- Properties
24.
ALCO Meetings
- Objectives
- Introduction
- ALCO
Meetings
- ALCO
Data Requirements
25.
ALM Policies and Procedures
- Objectives
- Introduction
- Policy
Statement
- Procedure
Manual
- ALCO
Reports
26.
Funds Transfer Pricing
- Objectives
- Introduction
- Concepts
- Review
of Risks
- Practices
27.
Funds
Transfer Pricing - Practices
- Objectives
- Introduction
- Analysis
of Techniques
28.
Audit of ALM
- Objectives
- Introduction
- Overall
Approach
- Audit
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