Advanced Asset Liability Management for Banks and Insurers Training Course

Course overview

Banks and insurers face balance-sheet decisions in which small movements in rates, spreads, inflation, lapses, deposit behaviour or liquidity can materially change earnings, capital and solvency. Treasury, finance, risk and actuarial teams must translate these exposures into defensible limits, hedging actions, product-pricing decisions and management reports. This course addresses the practical challenge of connecting asset-liability measurement with decisions made through ALCO, investment committees, risk committees and insurer balance-sheet management forums.

Participants build advanced capability in interest-rate risk in the banking book, liquidity risk, funds-transfer pricing, economic value and earnings-at-risk measures, duration and convexity, behavioural assumptions, insurance liability cash-flow modelling, solvency capital and hedge effectiveness. They apply gap analysis, repricing schedules, duration matching, cash-flow matching, scenario analysis, stress testing and sensitivity analysis across banking and insurance portfolios. The course also examines how Basel IRRBB and Solvency II expectations shape model governance, reporting and management action.

Instructor-led sessions combine worked calculations, model critiques and realistic bank and insurer cases. Participants use Excel-based ALM templates to model contractual and behavioural cash flows, construct rate-shock scenarios, assess liquidity gaps, test hedge alternatives and document assumptions. Each participant leaves with an ALM action pack: a modelled balance-sheet case, a stress-test dashboard, a management-limit proposal and a concise committee paper that can be adapted for their own institution.

The programme is designed for practitioners who already work with financial statements, risk data, treasury, investments, actuarial analysis or prudential reporting and now need to make integrated balance-sheet decisions. It is especially valuable where bank and insurance teams need a common technical language for explaining exposure, capital implications and recommended actions to senior management.

Course objectives

By the end of this course, participants will be able to:

• Construct contractual and behavioural cash-flow ladders for banking and insurance balance sheets
• Calculate repricing gaps, duration, modified duration, convexity and net interest income sensitivity
• Model economic value of equity and earnings-at-risk under prescribed and bespoke interest-rate shocks
• Design liquidity gap reports and contingency funding indicators using maturity and behavioural assumptions
• Evaluate deposit beta, prepayment, lapse and surrender assumptions for ALM model governance
• Compare cash-flow matching, duration matching, derivatives hedging and natural-hedge strategies
• Apply Basel IRRBB and Solvency II principles to ALM limits, stress tests and management reporting
• Produce an ALCO or investment-committee paper with exposures, scenarios, limit breaches and recommended actions

Benefits of attending

Target competencies

Who should attend

• Bank Treasury Managers — who set funding, liquidity and interest-rate risk actions for the balance sheet
• ALM and Balance-Sheet Risk Analysts — who build cash-flow models, sensitivity reports and ALCO packs
• Insurance Investment Managers — who align asset portfolios with liability duration, cash flows and solvency needs
• Actuaries and Actuarial Analysts — who assess liability assumptions and their interaction with asset strategy
• Market and Liquidity Risk Managers — who challenge IRRBB, liquidity scenarios, limits and model assumptions
• Finance and Prudential Reporting Managers — who explain earnings, capital and regulatory effects of balance-sheet risks

Requirements and prerequisites

Participants should have working experience in banking, insurance, treasury, investments, risk, actuarial or finance roles. They should be comfortable reading a balance sheet and income statement, interpreting present value and discount rates, and working with spreadsheet formulas, charts and pivot tables. Familiarity with duration, yield curves, liquidity ratios, derivatives or solvency capital is helpful but not essential; these concepts are refreshed before advanced application. Participants do not need to be programmers, quantitative modellers or users of a specialist vendor ALM platform. A laptop with Microsoft Excel is required for the practical modelling exercises.

Training methodology

The instructor leads concise technical briefings followed by spreadsheet-based calculations using bank and insurer balance-sheet data. Participants work through cash-flow ladders, repricing schedules, duration measures, behavioural assumptions and multi-curve stress scenarios before comparing results in facilitated groups. Cases require participants to defend funding, investment, hedging and limit-management choices in simulated ALCO and insurer investment-committee discussions. Daily debriefs distinguish model output from management judgement. On the final day, each participant converts the case analysis into an institution-ready ALM action plan and committee paper.

Course outline

Day 1: ALM architecture and balance-sheet diagnosis

• Integrated bank and insurer balance-sheet risk framework
• Contractual versus behavioural cash-flow mapping
• Yield-curve construction, discount factors and present-value mechanics
• Repricing gap analysis by time bucket
• Duration, modified duration and convexity calculations
• Bank deposit, loan and insurance liability behavioural assumptions
• ALCO, investment committee and model-governance decision rights

Workshop: Participants build a contractual and behavioural cash-flow ladder for a mixed banking and insurance balance sheet and identify the largest maturity mismatches.

Day 2: Interest-rate risk and earnings sensitivity

• Basel IRRBB measurement perspectives and supervisory shock scenarios
• Economic value of equity calculation methodology
• Net interest income sensitivity modelling
• Parallel, steepener, flattener and short-rate shock design
• Deposit beta and non-maturity deposit segmentation
• Loan prepayment and fixed-rate asset optionality
• Interest-rate risk limits, triggers and escalation protocols

Workshop: Participants calculate EVE and NII impacts under multiple rate shocks and draft an IRRBB limit-breach escalation note for ALCO.

Day 3: Liquidity, funding and funds-transfer pricing

• Contractual maturity gaps and behavioural liquidity ladders
• Liquidity coverage ratio and net stable funding ratio linkages
• Contingency funding plan indicators and survival horizons
• Wholesale funding concentration and rollover-risk analysis
• Funds-transfer pricing curve design and liquidity premiums
• Liquidity stress scenarios for deposits, collateral and policyholder claims
• Liquidity risk appetite statements and early-warning indicators

Workshop: Participants construct a 90-day stressed liquidity ladder, identify funding shortfalls and recommend contingency funding actions.

Day 4: Insurance ALM, solvency and hedge design

• Liability cash-flow projection for life and general insurance portfolios
• Solvency II market-risk and matching-adjustment considerations
• Asset-liability duration matching and key-rate duration
• Cash-flow matching for annuity and long-tail liability portfolios
• Spread risk, credit migration and reinvestment-risk assessment
• Interest-rate swaps, swaptions and inflation-linked hedge structures
• Hedge effectiveness, basis risk and collateral implications

Workshop: Participants evaluate three asset and derivative hedge options for an annuity portfolio and recommend one using duration, cash-flow and solvency evidence.

Day 5: Stress testing, governance and management action

• Integrated interest-rate, spread, liquidity and behavioural stress testing
• Reverse stress testing and management-action feasibility
• Model validation, assumption challenge and sensitivity testing
• ALM dashboards for earnings, value, liquidity and capital metrics
• Risk appetite calibration and limit-setting methodology
• ALCO and insurer investment-committee paper structure
• Remediation roadmaps for data, model, hedge and governance gaps

Workshop: Participants complete an ALM stress-test dashboard and present a committee paper containing exposures, limit recommendations, management actions and implementation priorities.

Tools & standards covered

Microsoft Excel, MATLAB, Basel Committee IRRBB Standard, EIOPA Solvency II Framework

A typical training day

Live online deliveries follow the same structure in the East Africa Time zone, with shorter screen blocks and longer breaks.

What the fee includes

How you can take this course

Certification

Participants who complete the full five days receive the Skillset Development Certificate of Completion, stating the course title, course code, dates and delivery format — suitable for professional-development records and employer reimbursement.

Frequently asked questions