CONTENT

ASSET LIABILITY MANAGEMENT & FUNDS TRANSFER PRICING

One day course of knowledge and experience sharing, solve difficulties in operating and managing the Bank's Asset and Liability.

Course leader: Fred Vacelet

Prerequisites:

• Simple and compound interest, discounting
• Net Present Value
• Use of Microsoft Excel

Topic 1: ALM and Risk Overview

• Balance sheet
• Balance sheet products, positions and options
• Components of Interest Rate Risk
• Gap Analysis 
• Earnings at Risk (EaR)
• Duration
• Cash flows forecasting
• Quantitative tools for estimating cash flows from off balance sheet commitments

 Topic 2: ALM Modelling

• Modelling optionality
• Behavioural models
• Path-dependent optionality
• Understanding and using sensitivity testing
• Parallel and twist scenarios
• Rate changes, yield curve smoothing and term structure models

 Topic 2: FTP Models

• Introduction to FTP and Raroc
• Pricing goals
• Choosing, managing and validating models
• Model risk

Topic 4: Discussion and Real experience sharing

 1. Application of FTP in Vietnam: Issues and Fred Vacelet's approach

 2. Calculate NIM to offset the risks and returns for the Bank; Capital for liquidity risk

 3. Balance Sheet Optimization

BENEFIT

• Understand and apply the underlying principle of Asset Liability Management
• Understand the place of Interest Rate Risk andLiquidity Risk within Market Risk, Liquidity Risk and Asset Liability Management
• Apply these elements in a Balance Sheet Management approach to risk management and appreciate the benefits of such an approach
• Describe the elements of FTP Governance and Management and describe the benefits of such an approach
• Describe the elements of FTP Methods and understand its historical development

WHO SHOULD ATTEND

• Financial team
• Asset and Liability Management team
• Liquidity and market risk team
• ALCO members
• Internal auditors

TESTIMONIALS

"The Courses at ARFQuant vary in many topics which reward for those who work in the financial sector. The pursuit of these specialized courses is a very arduous process, but the results are well worth the effort. The courses go from theoretical to practical, thus helping to better understand the nature of the problem, as well as how to apply it in practice. Overall, ARFQuant course leaders are very good at teaching and dedicated. Participation in ARFQuant courses helps to increase the systematic and effective learning compared to self-study and self-study." Phương Phùng- OCB

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"A survey on the main issues that the trainees are interested in has been conducted to make sure that the course’s content is fit the needs of the trainees. The training environment was open which encourage the participation of all attendants. Instructors are enthusiastic, supportive and willing to share their knowledge and experience" Phượng Phan - FeCredit

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"The course leader has deep knowledge in risk management, he is enthusiastic and open to the students. Teaching methods attract the attention of students. He usually use stories mixed with humor as examples for the whole class and to create a dynamic atmosphere. The course was  organized professionally" Hien Phan - BIDV

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"From the beginning of 2017, I have been experiencing 02 courses at ARFQuant - Statistics - modeling risk, internal credit rating model.

Even the duration of the courses were quite short but the knowledge I obtained from the course is huge, thanks to the special way that ARFQuant’s teachers deliver the course: simple, understandable and valuable. During the course I felt quite comfortable and easy to grasp knowledge. In addition to the mandatory content in the curriculum, teachers share more experiences in learning and research (eg, Mr. Hoang shared his experiences in reading and reviewing FRM and Mr.Fred taught how to handle data when it is bias, etc.).
Materials and lectures are well designed and focused. At the end of the course, I can take advanced knowledge gained in these materials to study and work. However, it would be more complete if the material introduces some other sources of reference so that I can read more after the courses.

 If I have the opportunity to attend other courses, I would like to experience at ARFQuant again. " Thảo Nguyễn - OCB

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