Syllabus
21.2.2024
Intro to ALM 28.2.
ALM basics & Interest rates 6.3.
Product and valuation fundamentals 13.3.
Liquidity risk and FX risk 20.3.
Interest rate risk 27.3.
MIDTERM 3.4.
Funds transfer pricing + midterm results 10.4.
ALM and financial market + SVB assignment 17.4.
Silicon Valley Bank case 24.4.
ALCO report assignment + explanation 1.5.
State holiday 8.5.
State holiday 15.5.
Current ALM topics 22.5.
ALCO reports - presentations
Annotation
The course will provide a hands-on dive into how banks steer their balance sheets. The focus will be mainly on liquidity and interest rate (IR) positioning and steering. Students will understand how the IR position influences bank’s interest income and the value of its equity over time. How to position a bank to profit if rates are expected to increase/decrease/rotate? Alternatives to steering the balance sheet via internal pricing of liquidity (FTP) and externally, via operations with bonds and interest rate derivatives, will be explained and practiced. Real life banks' balance sheets and situations on financial markets will be used during the course as both lectors are employed as ALM professionals by a leading financial institutions. To make it more fun, students will form several groups (banks) which will get their own balance sheets as a basis for hands-on (mainly group) homework.
Course contact email: ilovealm2017@gmail.com