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ALM Simulation program (10 – 12 August 2016) / Events
ALM Simulation program (10 – 12 August 2016)
Dear Head of Treasury,

In keeping with the SLFA’s policy of enhancing knowledge and the skill levels of market participants by providing quality training, SLFA has organized an ALM Simulation program on STRATEGIC BALANCE SHEET MANAGEMENT UNDER BASEL III.

Dates : 10 – 12 August 2016
Venue : Galle Face Hotel
Time : 8.30 am – 5.00 pm each day
Cost : Rs. 150,000/- per participant
Max. no. of participants 24 (Registrations will be done on first come first served basis)

Please confirm your participation to
Rihaan Shakoor (rihaan.shakoor@gmail.com)
or
Manjula Ekanayake (mekanayake@sampath.lk)
latest by 30th June 2016.

STRATEGIC BALANCE SHEET MANAGEMENT UNDER BASEL III.
Using the ALM Simulator - GuardB@nk 3

For whom: The programme will be of value to professionals in the following areas:
  • ALM practitioners
  • Treasurers and treasury personnel
  • Risk managers
  • Chief Financial Officers and finance personnel
  • Balance Sheet Management team members
  • Personnel from strategic planning departments in banks
  • Internal Audit and Compliance personnel
Key Learning Objectives At the end of the programme, you will be able to:
  • Outline and explain the Balance Sheet Management (ALM) Process in a bank
  • Recognize and understand how the ALM concepts affect day-to-day decision-making in a bank
  • Better identify and analyse a bank’s exposure to the Key Sources of Financial Risk
  • Identify the various strategies and frameworks that banks employ in order to control risks within specified limits
  • Assess the structure and dynamics of a Balance Sheet in order to determine whether the structure is aligned with the strategy of the bank
  • Better interpret the Balance Sheet of a bank as well as being able to identify the key drivers of bank performance
Course outline

Day 1
  • Introduction – The Financial Services Landscape
  • Financial Volatility and Financial Innovation
  • The Growing Importance of Risk Management & ALM
  • Regulatory Reforms
  • Capital Management under Basel III
  • Regulatory Capital Requirements – Basel III
  • Measuring Capital Adequacy
  • Value Creation and Bank Profitability (Part 1)
  • Financial Intermediation and Mediation
  • Key Financial Objectives in Banking
  • Introduction of the GuardB@nk 3 ALM Simulation Program
  • Key parameters and functionalities
  • Quarterly forecasts and simulation – Quarter One
Day 2

The ALM Process within a Bank
  • Risk Management Framework and the ALM Process
  • Business Relevancy of the ALM Process
  • Role & Responsibilities of the ALCO
  • Role & Responsibilities of the ALM department
  • ALM Strategy and Framework
  • Best Practice in ALM
Value Creation and Bank Profitability (Part 2)
  • Performance & Profitability Measurements
  • Risk– and Capital-Adjusted Returns
Feedback Quarter One
Bank Financial Risk Management
Major Risks in Banking
Balance Sheet Structures
Liquidity Risk Management (Part 1)
  • Funding and Trading Liquidity
  • Liquidity Risk Management Framework
  • Funds Transfer Pricing
Interest Rate Risk Management (Part 1)
  • Sources of Interest Rate Risk
  • Earnings and Economic Perspectives
  • Interest Rate Sensitivity Gaps
Quarterly forecasts and simulation – Quarter Two

Day 3

Feedback Quarter Two
Liquidity Risk Management (Part 2)
  • Liquidity Risk—Limits and Ratios
  • Latest Developments in Liquidity Management
  • Liquidity Management—measuring and reporting
  • Contingency Funding Plan
Interest Rate Risk Management (Part 2)
  • Duration Gap Analysis
  • Earnings at Risk (EaR)
  • Financial Derivatives (FRAs and Interest Rate Swaps)
  • Hedging Strategies
Macroeconomic Indicators
  • Key Indicators and their use
  • How Central Banks use economic indicators
Quarterly forecasts and simulation – Quarter Three
Final Feedback and Debrief

Kind regards
Shanaka Perera
Secretary – SLFA