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Description:	This course provides participants with a thorough understanding of the traditional functions of Asset Liability Management (ALM) from the traditional maturity gap to contemporary use of sophisticated ALM hedging techniques that encompass all assets and liabilities of financial institutions, including off-balance sheet items.
Topics:	Introduction to the process of asset and liability management. ALM management goals, policies, procedures, and systems. Measuring and managing interest rate risks in ALM: sources and effects of interest rate risk, measuring interest rate risk, managing maturity gap, managing duration gap. Measuring and managing exchange rate risk in ALM: sources and effects of exchange rate risk, measuring exchange rate risk, managing foreign exchange position. Measuring and managing credit risk in ALM: defining credit and credit risk , factors influencing credit risk, pricing credit, diversification of loan portfolios. Asset securitization and ALM. Using derivatives in an ALM system Implementation, regulatory and accounting issues in ALM Framework
Teaching:	28 hours during second semester