Contents:

Asset Liability Management Courses 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 JOB AIDS Measurement Tools Disclosures Regulations Global Best Practices Benchmarking Data Policy Templates