Session 1-2:
· Goals of ALM & ALM Roles and Responsibilities · Analysis of Assets and Liabilities of a bank Module 2 : Risk Management in Banks Session 3: · Aim of Risk Management · Decision under certainty and uncertainty · Efficient portfolio and Utility Theory · Purpose of ALM · Value at Risk and its approaches · Value at Risk (VaR) and Portfolio Diversification Module 3 : Liquidity Risk Management Session 4 to 5: · Need for the approaches to Liquidity Risk Management · Fundamental Approaches · Technical Approaches · Investment-borrowing decisions · Management of surplus balances · Managing Deficit balances- Models for the same · Securitization Module 4: Interest Risk Management & Economic Capital on account of Interest Rate Risk Session 6 to 10: · Types of Interest Rate risks and their analysis · Bond Terminology · Bond Return · Yield to Maturity (YTM) concept · Realised Yield and its properties · Bond Price Theorems · Risk in Bonds · Duration and its Analysis · Modified Duration · Convexity · Theories of Interest Rates · Forecasting interest rates and their risks · Popular Models for Interest Rate Risk Management · Managing Interest Rate Risk with Derivatives · Mean Reversion Model Module 5 : Exchange and Currency Risk Management Sessions 11-12: · Types of Forex Exposures · Management of Foreign Exchange Exposure · Various Techniques used in managing Forex Exposures Module 6: Earning Analysis in ALM Session 13 to 14: · Earning at Risk (EaR) Analysis · Net Present Value and methods of its assessment · Duration Gap Analysis · Free Cash Flow to Equity · Market Value of Equity ( NPV & MDuration Approach)