Introduction

Asset and Liability Management (ALM) is a critical banking discipline that underpins financial stability, profitability, and regulatory compliance. In an environment of volatile interest rates, evolving regulations, and heightened supervisory scrutiny, banks must actively manage the interaction between assets, liabilities, capital, and liquidity. This Asset and Liability Management training course provides a practical and structured understanding of how ALM functions support sustainable banking performance. Participants explore how balance sheet risks arise, how liquidity and funding stability are assessed, and how interest rate risk—particularly in non-maturity deposits and capital—can be effectively managed. The course also examines lessons from recent banking failures, reinforcing the importance of disciplined ALM governance, robust stress testing, and clear risk appetite frameworks.

Key focus areas include:

Key Learning Outcomes

At the end of this training course, participants will be able to:

Training Methodology

This training course uses an applied and analytical learning approach, combining expert-led instruction, real-world banking examples, structured discussions, and scenario-based analysis. Participants work through practical ALM situations to strengthen decision-making, risk assessment, and regulatory awareness within a controlled learning environment.

Asset and Liability Management

Who Should Attend?

This training course is ideal for professionals seeking to…

  • Strengthen balance sheet risk management capabilities
  • Support Asset and Liability Committee (ALCO) activities
  • Manage liquidity, funding, and interest rate exposures
  • Enhance regulatory compliance and supervisory engagement
  • Improve financial resilience and capital efficiency
  • Contribute to strategic banking and treasury decisions

Course Outline

Day 1

Introduction to banking

  • The unique nature of banking
  • The structure of a bank balance sheet
  • The manner in which banks generate income
  • The risks to which banks are exposed
  • The regulations imposed on banks
  • Net interest margin
  • The yield curve
  • Discounted cash flow
  • The various forms of regulatory capital and funding: CET1, Tier 1, Tier 2, MREL
  • Requirements for capital: credit risk, market risk, operational risk, interest rate risk
  • Regulatory capital requirements: Pillar 1, Pillar 2 and ICAAP
  • Measuring bank performance: return on risk-adjusted capital (RORAC), economic value added (EVA)
Day 2

Funding the Bank

  • The nature of bank assets and liabilities
  • Cash flow mismatch
  • The optionality embedded in bank balance sheets
  • The behavioural maturity of bank liabilities
  • Deposit guarantees
  • Liquidity regulations
  • Loan-to-deposit ratio
  • Regulatory requirements: Liquidity coverage ratio (LCR), net stable funding ratio (NSFR)
  • Funds transfer pricing
  • ILAAP, L-SREP
  • Liquidity stress test
  • Contingency funding plan 2
Day 3

Market Risk in Banking

  • Accrual accounting vs mark-to-market accounting
  • Trading book vs banking book
  • Fair value hierarchy
  • Interest rate swaps, FRAs, cross-currency swaps
  • Marking to market
  • Valuation adjustments: CVA, DVA, FVA
  • Price sensitivity of assets and liabilities
  • Measures of price sensitivity: modified duration, basis point value
  • Measuring market risk of portfolios: value-at-risk (VaR) and expected shortfall
  • Optionality measures and convexity
  • Capital for market risk-taking
  • Using derivatives to manage market risks
  • Counterparty credit risk
  • Clearing, collateral and margining
Day 4

Interest Rate Risk in the Banking Book (IRRBB)

  • Risks to net interest margin
  • Gap analysis
  • Sources of risk: fixed, floating and administered rate products
  • Treatment of equity, non-maturity balances and free funds
  • Structural hedging
  • Types of risk: yield curve risk, customer optionality
  • Pipeline and prepayment risk
  • Non-performing loans
  • Risk management: repricing gaps, derivatives
  • Behaviour of non-maturity deposits
  • Income measures of interest rate risk
  • Economic value measures of interest rate risk
  • Economic value of equity (EVE) vs Earnings at risk (EAR)
  • What to hedge, when to hedge, how much to hedge
  • Trade-off between income and economic value
  • The link between liquidity risk and interest rate risk
  • Basel III IRRBB regulations (Apr/16)
  • EBA IRRBB guidelines (Jul/18)
  • PRA rules and guidance (Dec/21) 3
Day 5

The ALM Process

  • The Asset Liability Committee (ALCO)
  • ALCO roles and responsibilities
  • Setting risk appetite
  • Developing contingency funding plan
  • Designing stress tests
  • Implementing the structural hedge

International Standards & Professional Alignment

Our training courses are aligned with internationally recognised professional standards and frameworks across leadership, strategy, finance, governance, risk, compliance, and audit. By integrating globally trusted models, we ensure learners develop practical, relevant, and industry-recognised capabilities.

Our trainings draw on leading international standards and professional frameworks, including ISO, ISACA, COSO, OECD, IIA, FATF, Basel, IFRS/ISSB, GRI, NIST, CPD, ILM and the OECD AI Principles. This alignment ensures consistency with global best practices across financial management, risk oversight, digital governance, sustainability, and strategic decision-making..

Designed in alignment with globally recognised professional bodies, our courses support continuous professional development, strengthen organisational capability, and provide clear pathways toward professional certifications valued worldwide.

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FAQs

This training course focuses on how banks manage liquidity, funding, capital, and interest rate risk through effective Asset and Liability Management practices. It emphasizes balance sheet stability, regulatory compliance, and risk-adjusted performance.

Yes, the course addresses key regulatory frameworks affecting Asset and Liability Management, including capital adequacy, liquidity ratios, and interest rate risk regulations. Participants gain clarity on supervisory expectations and compliance responsibilities.

The training course explains how interest rate risk arises in the banking book and how it affects earnings and economic value. It covers practical approaches to managing non-maturity deposits, structural hedging, and repricing gaps.

Absolutely. The course examines how weaknesses in Asset and Liability Management can expose banks to liquidity and interest rate shocks, reinforcing lessons learned from recent market events and regulatory responses.

Treasury professionals, risk managers, finance leaders, and senior banking professionals benefit most, as the course strengthens their ability to manage balance sheet risks and support sound strategic decisions.

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