- Time Value of Money - Refresher
- Simple interest calculations
- Single and multiple rate compounding
- Interest and discount factors
- Classic repo and sell-buyback calculations
and coupon re-investment implications
- Bond pricing, accrued coupon, dirty and
invoice price
- Day/count conventions and comparative
returns
- Curve construction, blending, interpolation
and splinning
- Building a yield curve
- ALM Setting Policy and Procedure
- ALM definition
- ALM process
- Asset and Liability Committee - (Country)
ALCO
- The role of internal audit
- ALCO package of information
- Product approval process
- Asset classes
- Money Market
- Deposits
- Commercial paper
- Treasury bills
- Repos
- Real Estate
- Commercial property
- Property companies
- Securitised funds
- Fixed Income
- Government bonds
- Corporate bonds
- Structures and credit-linked bonds
- Equity and Hybrids
- Common stock
- Convertible bonds
- Derivatives
- Stock index futures
- Baskets
- Forward contracts
- Equity swaps
- Options on equities
- Options on an index
- Second generation options
- Interest rate swaps
- Currency swaps
- Asset swaps
- Default swaps
- Spread options
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- The Importance of Funding
- Deposits and certificates of deposit (CDs)
- The REPO market
- Medium term note and commercial paper
programmes
- Bond issues
- Customer current accounts
- The Three Pillars of ALM
- Interest rate risk management
- Liquidity risk management
- Credit risk management
- Risk Measurement
- Methods of calculating VaR
- Variance - covariance
- Historical simulation
- Monte Carlo simulation
- Stress testing and back testing
- Using the information to write a Risk
Report
- Credit VaR calculations
- CreditMetrics
- CreditRisk+
- KMV
- Understanding Credit VaR
- Asset Allocation
- Choosing the Tenor of Assets and Weighting
the Duration of the Book
- Adjusting duration using cash market instruments
- Adjusting duration using derivative instruments
- Calculating and balancing convexity
- Funding the Assets
- Choosing the correct mix of fixed and
floating rate liabilities
- Calculating the duration of the liabilities
- Duration and non-interest rate sensitive
liabilities (current accounts)
- Liquidity Management
- Separating interest rate risk and liquidity
by using long-term deposits and CDs and
FRAs and futures
- Choosing the most cost effective liquid
assets
- Avoiding the liquidity spiral by lengthening
the
- duration of liabilities
- RAROC
- Types of capital issues for
- Return on
- Regulatory capital
- Economic capital
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