Upon completion of this course, participants will be able to:

• Measure interest rate risk using multiple advanced methodologies
• Implement comprehensive asset-liability management frameworks
• Design and execute effective hedging strategies for interest rate exposure
• Conduct earnings and economic value analysis under different scenarios
• Manage balance sheet structure and optimize funding strategies
• Ensure compliance with regulatory requirements for interest rate risk
• Utilize derivatives and other instruments for risk management
• Develop ALCO policies, procedures, and governance frameworks
• Implement stress testing and scenario analysis effectively

• ALCO Committee Members and Participants
• Treasury Managers and Specialists
• Risk Management Professionals
• Chief Financial Officers and Finance Directors
• Balance Sheet Management Teams
• Investment Portfolio Managers
• Regulatory Reporting and Compliance Staff
• Financial Analysts and Modelers

• Case studies on interest rate risk management challenges
• Group simulation modeling exercises with real data
• Individual risk calculation and analysis assignments
• Syndicate discussions on hedging strategies and implementation
• ALCO meeting simulations and decision-making exercises
• Mini-case studies on ALM failures and successes
• Stress testing workshops and scenario development

Unit 1: Interest Rate Risk Fundamentals

• Types of interest rate risk and their characteristics
• Yield curve dynamics and term structure theories
• Basis risk, gap risk, and optionality risks
• Regulatory definitions and measurement requirements

• Repricing risk and maturity mismatches
• Embedded options and behavioral risks
• Yield curve risk and shape changes
• Basis risk between different rate indices

Unit 2: Measurement Techniques

• Gap analysis methodology and limitations
• Duration and convexity measures calculation
• Earnings at risk calculation methodologies
• Economic value of equity analysis techniques

• Value at risk for interest rate exposures
• Sensitivity analysis and stress testing
• Scenario analysis and what-if modeling
• Behavioral modeling and prepayment risks

Unit 3: Simulation Modeling

• Static and dynamic simulation approaches
• Monte Carlo simulation techniques application
• Behavioral modeling assumptions and validation
• Scenario analysis and stress testing frameworks

• Model validation and back-testing processes
• Assumption setting and sensitivity analysis
• Model governance and documentation
• Regulatory model approval requirements

Unit 4: Hedging Strategies

• ALM hedging framework development
• Derivative instruments for hedging applications
• Hedge accounting requirements and implementation
• Effectiveness testing methodologies

• Interest rate swaps and FRAs usage
• Options and caps/floors strategies
• Futures and forward rate agreements
• Structured hedging solutions

Unit 5: ALM Organization

• ALCO structure, roles, and responsibilities
• Policies and limits framework development
• Reporting and monitoring systems implementation
• Model validation and governance processes

• Risk appetite statement development
• ALM strategy formulation and execution
• Performance measurement and attribution
• Stakeholder communication and reporting

Unit 6: Product Pricing

• Transfer pricing mechanisms and methodologies
• Funds transfer pricing framework implementation
• Product pricing strategies and margin management
• Balance sheet optimization techniques

• Loan and deposit pricing methodologies
• Behavioral maturity modeling
• Option-adjusted spread analysis
• Customer behavior and elasticity modeling

Unit 7: Regulatory Compliance

• Basel interest rate risk standards implementation
• Local regulatory requirements and reporting
• ICAAP and stress testing requirements
• Disclosure and reporting standards compliance

• Industry best practices implementation
• Model risk management frameworks
• Data quality and governance standards
• Technology and system requirements