Bank Asset–Liability Management — The Practitioner Programme
This is a working practitioner's course in bank Asset–Liability Management. It runs through the four disciplines at the core of balance sheet risk and shows how they connect: capital adequacy and recovery planning (ICAAP and RRP), liquidity adequacy (ILAAP), interest-rate risk in the banking book (IRRBB), and the funds transfer pricing and ALCO governance that price and steer the whole balance sheet.
-
Module 1 — ICAAP & Recovery Planning
Build and defend an ICAAP that supervisors accept, and see how recovery and resolution planning connect to it. A practitioner deep-dive through the ECB's seven principles, the risk appetite framework and RAS, capital strategy and planning, stress and reverse-stress testing, the Use Test and ready-to-use ICAAP templates — then recovery and resolution planning, from early-warning indicators and management actions through to TLAC, MREL and PRA expectations.
Build and defend an ICAAP that supervisors accept, and see how recovery and resolution planning connect to it. A practitioner deep-dive through the ECB's seven principles, the risk appetite framework and RAS, capital strategy and planning, stress and reverse-stress testing, the Use Test and ready-to-use ICAAP templates — then recovery and resolution planning, from early-warning indicators and management actions through to TLAC, MREL and PRA expectations.
-
Module 2 — Liquidity Risk Management & ILAAP
Measure, stress test and govern liquidity risk, and write an ILAAP that stands up to supervisory review. Covers the liquidity risk framework, survival days, LCR and NSFR, idiosyncratic and market-wide stress testing, HQLA policy and asset encumbrance, the funding plan and liquidity contingency plan, and the PRA's Pillar 2 liquidity framework, OLAR and L-SREP — with specimen reports and templates throughout.
Measure, stress test and govern liquidity risk, and write an ILAAP that stands up to supervisory review. Covers the liquidity risk framework, survival days, LCR and NSFR, idiosyncratic and market-wide stress testing, HQLA policy and asset encumbrance, the funding plan and liquidity contingency plan, and the PRA's Pillar 2 liquidity framework, OLAR and L-SREP — with specimen reports and templates throughout.
-
Module 3 — Interest-Rate Risk in the Banking Book (IRRBB)
Measure interest rate risk in the banking book on both an earnings (NII) and economic value (EVE) basis, and manage it in practice. Covers the types of IRRBB, Basel and EBA guidance, the supervisory outlier test, CSRBB, worked NII and EVE sensitivity calculations, behaviouralisation, hedging with interest rate swaps, prepayment and basis risk, and real UK bank case studies — including IRRBB in a negative-rate environment.
Measure interest rate risk in the banking book on both an earnings (NII) and economic value (EVE) basis, and manage it in practice. Covers the types of IRRBB, Basel and EBA guidance, the supervisory outlier test, CSRBB, worked NII and EVE sensitivity calculations, behaviouralisation, hedging with interest rate swaps, prepayment and basis risk, and real UK bank case studies — including IRRBB in a negative-rate environment.
-
Module 4 — Funds Transfer Pricing & ALCO Governance
Design a funds transfer pricing regime that prices liquidity correctly, and run an ALCO that governs the balance sheet as an integrated whole. Covers FTP objectives and components, the term liquidity premium, the cost of the liquidity buffer, dynamic FTP and internal funding curves — then ALCO best practice: board risk appetite, the modern ALCO, terms of reference, and group versus local structure.
Design a funds transfer pricing regime that prices liquidity correctly, and run an ALCO that governs the balance sheet as an integrated whole. Covers FTP objectives and components, the term liquidity premium, the cost of the liquidity buffer, dynamic FTP and internal funding curves — then ALCO best practice: board risk appetite, the modern ALCO, terms of reference, and group versus local structure.