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Description

Bank ALM: Modelling Interest Rate Risk, Managing Liquidity and Hedging

Model interest rate and liquidity risk on the banking balance sheet, then size the hedges

  • 2 days — 14 h
  • In-person or virtual
  • Expert
  • Up to 6 participants

Asset and liability management in banking runs up against balance sheet items that carry no contractual maturity: current accounts, savings and profit-sharing deposits, and loans repaid ahead of schedule. Gaps calculated on contractual data alone give a distorted picture of exposure and lead to hedges that are poorly sized.

Two days devoted to advanced modelling and hedging techniques: behavioural run-off conventions, gap measurement, net interest income sensitivity and instrument selection. All work is carried out on simplified but complete balance sheets, tested against contrasting scenarios.

Learning objectives

  • Build behavioural run-off profiles for items without contractual maturity
  • Calculate interest rate and liquidity gaps
  • Measure the sensitivity of net interest income and economic value
  • Model the embedded options in the balance sheet
  • Select hedging instruments suited to the exposure
  • Prepare the decision pack for an asset and liability committee

What makes this programme different

Run-off models are built and then stress-tested against contrasting scenarios
Proposed hedges are quantified and compared across sub-groups
The session closes with a simulated asset and liability committee and a final arbitration

Programme

1Balance Sheet Structure and Run-Off

Assigning a maturity to items that have none

  • Identify balance sheet items without contractual maturity
  • Build a defensible run-off convention
  • Handle new production and the dynamic balance sheet
  • Document and justify the assumptions retained

2Measuring Interest Rate Risk

From gap to sensitivity

  • Calculate static and dynamic interest rate gaps
  • Measure the sensitivity of net interest income
  • Assess the economic value of equity
  • Build yield curve deformation scenarios

3Liquidity and Embedded Options

Anticipating customer behaviour

  • Build liquidity gaps
  • Model early repayment behaviour
  • Treat off-balance sheet commitments
  • Factor in funding and liquidity costs

4Hedging and Steering

Deciding in the asset and liability committee

  • Compare hedging instruments against the exposure profile
  • Size the hedge and measure its effectiveness
  • Monitor indicators and the limits that have been set
  • Prepare the pack presented to the committee

Who is it for

Asset and liability managers · risk analysts · banking management controllers and finance department executives in credit institutions.

Prerequisites

A sound grasp of interest rate mechanics and hands-on experience of asset and liability management.

Dates & locations

36 scheduled dates between November 2026 and December 2027. Seats are confirmed in the order enquiries are received.

November 2026

December 2026

January 2027

February 2027

March 2027

April 2027

May 2027

June 2027

September 2027

October 2027

November 2027

December 2027

None of these dates suit you? We open additional sessions on request, and any programme can be run privately for your team.

Practical details

Before the programme
Online positioning questionnaire. Your development objectives are shared with the trainer, who tailors the practical case studies to your context.
Teaching methods
Theoretical input, workshops and practical case studies. Digital course materials and method sheets provided.
Assessment
Multiple-choice tests and role-play exercises. Assessment of learning at the start and end of the programme, with immediate and 60-day follow-up evaluations.
After the programme
One year of access to the e-learning platform. Self-assessment of the skills acquired and a 30-day follow-up session with your trainer.
How to register
Registration online or on the basis of a quotation.
Lead time
11 working days after confirmation of registration.
Accessibility
Accessible to people of determination. Contact our accessibility coordinator to design a suitable solution: contact@mpf-academy.ae
Start dates
Rolling intake: in addition to the scheduled sessions, this programme can start on request.