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| Asset & Liability Management |
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Jean Dermine more>>
Professor of Banking and Finance
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Allow 6 to 8 hours for the completion of each part |
Price: € 200 + VAT |
| Learning Objectives: |
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- Understand ALM, the control of value
creation and risks in a commercial bank
- Understand the sources of bank profitability and value creation
- Understand value center management, economic capital allocation, loan pricing, credit risk provisioning, and securitisation
- Understand the control of interest rate and liqudity risks on- and off- balance sheet
- Understand Basel II capital regulation
- Understand credit derivatives
- Understand diversification of risks
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Course Structure:
Part I - Value Creation
- Module 1: Banking Services and Balance Sheet
- Module 2: Value Creation for Shareholders
- Module 3: ROE Decomposition
- Module 4: Profit Center Management
- Module 5: Allocation of Profit and Transfer Pricing
- Module 6: Capital Adequacy Regulation, Basel I
- Module 7: Loan Pricing: the Equity Spread
- Module 8: Loan Pricing: Credit Risk and Credit Provisions
- Module 9: Capital Adequacy Regulation, Basel II
- Module 10: Securitization
- Module 11: Value Creation: a Summary
Part II - Risk Control
- Module 12: The Control of the Interest Rate Risk 1
- Module 13: The Control of the Interest Rate Risk 2
- Module 14: Forward and Financial Futures
- Module 15: The Control of the Interest Rate Risk 3
- Module 16: The Control of Liquidity Risk
- Module 17: Options
- Module 18: Credit Derivatives
- Module 19: Aggregation of Risks and Risk Diversification
- Module 20: Asset and Liability Management: an Art, not a Science
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