Asset Liability Management for Financial Institutions Training Course

Duration 5 days 10 modules · 33 contact hours
Level Intermediate Certificate on completion
Who attends Treasury Managers, ALM Analysts and others
Fee from USD 1,100 KSh 95,000 for Kenyan organisations
Where 52 cities + online See dates by city
Next start 9 Nov 2026 Course code SD-BI-060

Before you join: Participants should understand bank or insurer balance sheets, core financial statements, basic time value of money and common financial products such as loans, deposits, bonds and swaps.

Dates & prices

Two start dates a month in every city, and live online on weekdays or weekends. Fees are per participant; classroom fees include tuition, materials, lunch and refreshments, and the certificate.

Suggest a date or city

Showing the next six months. Later dates, other cities and private deliveries for your team are available on request.

Course overview

Banks and insurers must fund long-dated assets, customer withdrawals, policy obligations and contingent commitments while protecting earnings, capital and market value. A change in rates, deposit behaviour, credit spreads, policy lapses or collateral requirements can expose weaknesses in liquidity reserves, funding structures, product pricing and hedging. Asset liability management (ALM) provides the governance, measurement and decision processes needed to identify these exposures before they become funding or solvency problems.

This course develops practical ALM capability for banking and insurance balance sheets. Participants assess contractual and behavioural cash flows, calculate liquidity gaps, interpret the Liquidity Coverage Ratio and Net Stable Funding Ratio, measure interest-rate risk in the banking book, and evaluate economic value and earnings sensitivity. They examine funds transfer pricing, deposit modelling, prepayment assumptions, duration matching, derivatives hedging, IFRS 9 hedge accounting and IFRS 17 insurance liability considerations. Stress testing connects liquidity, earnings, market value, capital and management actions.

Teaching combines focused instructor briefings with worked calculations, sector cases, group analysis, ALCO decision simulations and structured application planning. Cases reflect issues such as rapid retail deposit outflows, fixed-rate mortgage prepayments, annuity portfolio duration gaps, collateral calls and rising funding spreads. Participants leave with an ALM diagnostic, a risk metric pack, a stress-testing structure and a 90-day action plan suitable for adaptation within their institution.

The course is suited to treasury, risk, finance and insurance professionals who contribute to balance-sheet decisions, ALCO reporting, liquidity management, product pricing, capital planning or investment-liability matching.

What you will be able to do

  • Construct contractual and behavioural cash-flow profiles for banking and insurance portfolios
  • Calculate liquidity gaps, survival horizons, Liquidity Coverage Ratio and Net Stable Funding Ratio measures
  • Measure repricing risk, earnings-at-risk and economic value sensitivity under interest-rate shocks
  • Evaluate non-maturity deposit, prepayment, lapse and drawdown assumptions using back-testing
  • Design matched-maturity funds transfer pricing rates and product profitability allocations
  • Assess duration matching, derivatives hedging and hedge accounting considerations
  • Build integrated liquidity, interest-rate and capital stress-testing scenarios
  • Prepare ALCO reporting, limit proposals and a prioritised ALM action plan

Benefits of attending

For you

  • Interpret ALCO packs with greater confidence and challenge key assumptions
  • Explain how rate changes affect earnings, economic value, liquidity and capital
  • Build credible liquidity and interest-rate risk analyses for senior management
  • Contribute to funding, pricing and hedging decisions using quantified evidence
  • Translate insurance liability characteristics into asset allocation and duration requirements

For your organisation

  • Earlier identification of funding gaps, deposit run-off risks and collateral pressures
  • Better alignment between product pricing, liquidity costs and balance-sheet profitability
  • More disciplined interest-rate risk limits, monitoring and escalation decisions
  • Stronger evidence for ALCO, internal audit and regulatory review
  • Clearer stress-testing links between liquidity, earnings, capital and management actions

Course modules

10 modules over 5 days

Participants can establish the governance, risk appetite and control structure required for effective ALM oversight.

  • Board-approved ALM policy, risk appetite statements, limits and escalation authorities
  • Three-lines-of-defence responsibilities for treasury, risk, finance, and internal audit
  • ALCO mandates, membership, decision rights, meeting packs, and action tracking
  • Risk appetite metrics linking earnings, liquidity, capital, and market-value exposures
  • Data lineage from source systems through calculation engines to management reports
  • Model inventory controls covering ownership, validation, change approval, and documentation
  • Regulatory expectations under Basel IRRBB principles and liquidity risk guidance

Participants can map contractual cash flows and apply governed behavioural assumptions to material balance-sheet products.

  • Contractual cash-flow mapping by product, currency, repricing date, and maturity
  • Behavioural assumptions for non-maturity deposits, prepayments, drawdowns, and renewals
  • Segmentation of retail deposits using balance stability, rate sensitivity, and attrition
  • Loan prepayment models incorporating refinancing incentives, seasoning, and borrower characteristics
  • Contingent liquidity mapping for undrawn facilities, collateral calls, and guarantees
  • Insurance liability cash flows by claims pattern, lapse, expense, and inflation
  • Assumption governance using back-testing, challenger models, and documented expert judgement

Participants can measure liquidity risk, identify funding gaps and prepare credible contingency funding responses.

  • Liquidity Coverage Ratio calculation using high-quality liquid assets and stressed outflows
  • Net Stable Funding Ratio assessment across asset tenors and funding stability
  • Cash-flow maturity ladders identifying daily, weekly, and monthly funding gaps
  • Survival horizon analysis under institution-specific and market-wide stress scenarios
  • Contingency funding plans defining triggers, funding sources, communications, and governance
  • Collateral liquidity management for margin calls, haircuts, encumbrance, and mobilisation
  • Liquidity transfer pricing that assigns costs to products and business lines

Participants can quantify and interpret earnings and economic-value exposure to interest-rate movements.

  • Repricing gap reports by time bucket, currency, product, and behavioural maturity
  • Earnings-at-risk projections under parallel, steepener, flattener, and basis-rate shocks
  • Economic value of equity sensitivity using discounted expected cash flows
  • Basel IRRBB shock scenarios and outlier-test interpretation
  • Key rate duration analysis for non-parallel yield-curve movements
  • Basis risk measurement between administered rates, reference curves, and funding costs
  • Optionality assessment for caps, floors, prepayments, and embedded customer options

Participants can construct funds transfer pricing approaches that assign funding, liquidity and option costs appropriately.

  • Matched-maturity funds transfer pricing using market curves, liquidity premiums, and options
  • Pool-rate transfer pricing for portfolios with homogeneous repricing and liquidity characteristics
  • FTP rate construction from swap curves, credit spreads, and liquidity charges
  • Separating treasury margin from customer margin in product profitability reporting
  • Treatment of non-maturity deposits within internal pricing and behavioural duration frameworks
  • Performance attribution across business units, products, currencies, and customer segments
  • FTP governance covering curve ownership, exceptions, disputes, and periodic recalibration

Participants can evaluate hedging choices against economic exposure, liquidity needs and financial reporting effects.

  • Market value balance-sheet measurement using present value, duration, and convexity
  • Interest-rate swap hedges matched against fixed-rate assets or liabilities
  • Swaptions and caps for managing asymmetric rate exposures and embedded options
  • Foreign-exchange funding mismatches measured through currency cash-flow and basis analysis
  • Hedge effectiveness testing under IFRS 9 documentation and measurement requirements
  • Counterparty credit exposure, collateral agreements, and central-clearing considerations
  • Hedging decision criteria balancing accounting effects, economics, liquidity, and execution costs

Participants can assess insurance investment portfolios against liability duration, liquidity and capital requirements.

  • Asset-liability cash-flow matching for annuity, life, and long-tail general insurance portfolios
  • Duration and convexity matching against discounted insurance fulfilment cash flows
  • IFRS 17 discount rates, financial-risk treatment, and liability measurement implications
  • Solvency capital sensitivity to interest rates, spreads, inflation, and equity markets
  • Strategic asset allocation constraints from liability duration, liquidity, and capital consumption
  • Matching adjustment and illiquidity-premium concepts for eligible long-term insurance liabilities
  • Reinsurance cash-flow effects on liquidity, capital, and duration positions

Participants can design integrated stress tests that connect balance-sheet shocks with capital and management actions.

  • Integrated balance-sheet scenarios linking rate shocks, deposit behaviour, credit losses, and capital
  • Reverse stress testing from liquidity failure or capital-breach outcomes
  • Scenario design using historical episodes, hypothetical narratives, and management actions
  • Capital planning effects of earnings volatility, OCI movements, and valuation changes
  • Interaction of IRRBB, liquidity risk, credit risk, and market risk
  • Model risk assessment through sensitivity analysis, benchmarking, and outcome monitoring
  • Management action feasibility considering timing, market capacity, governance, and reputational effects

Participants can produce decision-focused ALCO information with clear limits, trends, exceptions and escalation requirements.

  • ALCO dashboard design using limit utilisation, trends, exceptions, and forward indicators
  • Risk limit calibration against appetite, capital capacity, earnings tolerance, and liquidity buffers
  • Early-warning indicators for deposit outflows, spread compression, collateral, and market access
  • Variance analysis separating volume, rate, mix, assumption, and model effects
  • Management information narratives that distinguish facts, assumptions, uncertainties, and decisions
  • Regulatory reporting controls including reconciliations, sign-offs, evidence, and issue logs
  • Escalation protocols for limit breaches, data defects, and scenario deterioration

Participants can prioritise ALM improvements and prepare evidence-based recommendations for senior decision-makers.

  • ALM diagnostic linking current exposures, data quality, governance, and decision priorities
  • Materiality assessment ranking liquidity, earnings, economic-value, capital, and insurance risks
  • 90-day action plan with owners, milestones, dependencies, and evidence of completion
  • ALCO paper structure stating exposure, analysis, recommendation, alternatives, and required decision
  • Assumption remediation plan covering data gaps, validation, approvals, and monitoring
  • Limit review proposal aligned with stress results and risk appetite
  • Implementation roadmap for reporting, FTP, hedging, and contingency funding improvements

Exercises and examples are adapted to each cohort's sectors and roles.

What you take back to work

  1. ALM governance and risk appetite checklist
  2. Behavioural cash-flow assumption register
  3. Liquidity gap and survival horizon template
  4. IRRBB earnings and economic-value sensitivity model
  5. ALCO dashboard and decision-paper template
  6. 90-day ALM improvement action plan

Who should attend

  • Treasury Managers — manage funding, liquidity buffers, collateral and interest-rate exposures
  • ALM Analysts — build cash-flow models, risk metrics and ALCO reporting
  • Risk Managers — oversee liquidity, IRRBB, model risk and stress-testing controls
  • Finance Managers — connect balance-sheet risk with earnings, capital and product profitability
  • Insurance Investment Managers — match asset portfolios to policy liability cash flows
  • Internal Auditors — assess ALM governance, assumptions, controls and evidence

Skills and tools covered

Liquidity risk measurementInterest-rate risk analysisFunds transfer pricingBalance-sheet stress testingInsurance liability matchingALCO reporting

Tools and standards

Basel IRRBB principles, Liquidity Coverage Ratio, Net Stable Funding Ratio, IFRS 17

How the course runs

Training methodology

The course uses short technical briefings followed by worked balance-sheet cases and guided calculations. Participants analyse cash-flow ladders, deposit assumptions, repricing gaps, liquidity ratios, duration exposures and stress scenarios in small groups. ALCO simulations require participants to interpret risk reports, compare funding and hedging options, and recommend actions under changing market conditions. Instructor feedback focuses on calculation logic, assumptions, governance and management communication. The final application planning segment converts course methods into priorities for participants' own institutions.

Requirements and prerequisites

Participants should understand bank or insurer balance sheets, core financial statements, basic time value of money and common financial products such as loans, deposits, bonds and swaps. Experience in treasury, finance, risk, actuarial, investments or regulatory reporting is helpful. Participants should be comfortable interpreting spreadsheet-based calculations and financial ratios. Prior ALM experience is not required. The course does not require advanced derivatives pricing, programming, actuarial qualification or prior knowledge of a specific regulatory jurisdiction.

A typical training day

08:30 – 10:30First session
10:30 – 10:45Refreshment break
10:45 – 12:30Second session
12:30 – 13:30Lunch and networking
13:30 – 15:00Third session
15:00 – 15:15Refreshment break
15:15 – 16:30Workshop and daily review

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

What the fee includes

  • Instruction by a practitioner facilitator
  • Full course workbook and materials
  • Exercise files, templates and case studies
  • Refreshments and lunch on classroom deliveries
  • Certificate of completion
  • Post-course application plan

Frequently asked questions

Participants need familiarity with financial institution balance sheets, basic financial products and core financial statements. Prior ALM experience, advanced derivatives pricing and actuarial qualifications are not required.

Bring a laptop for calculations and, where permitted, an anonymised example of an ALCO pack, liquidity report or balance-sheet issue. Course materials and calculation templates are provided.

It suits treasury, risk, finance, investments, actuarial and internal audit professionals in banks, insurers and similar financial institutions. It is particularly relevant for people preparing ALCO reporting or supporting funding, pricing and capital decisions.

Treasury courses often focus on cash operations, money markets and funding execution, while market-risk courses commonly focus on trading portfolios. This course examines the interaction of assets, liabilities, liquidity, interest-rate exposure, capital, product pricing and insurance liabilities.

Participants can review behavioural assumptions, assess cash-flow gaps, improve ALCO reporting and test whether risk limits reflect current exposures. The action plan helps them identify practical priorities for data, modelling, governance or funding arrangements.

The course runs from 08:30 to 16:30 each day, providing about 6.5 contact hours daily. Time is allocated across ten modules covering governance, modelling, liquidity, IRRBB, FTP, hedging, insurance ALM, stress testing, reporting and application planning.

Questions about this course?

Ask about dates, fees, group bookings or running it for your team. Our training team replies by email.

Ask on WhatsApp info@skillsetdevelopment.com

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