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

JOB AIDS