Agenda

McKinsey - An Introduction to Asset and Liability Management

Case Study

Contract Specifications

Hedging an Equity Portfolio

The Regulatory Environment

The Rules of Risk Management

Case Study

The Laws of Investing

Swap Driven Bond Issues

FRA Hedging

JP Morgan Swaps

FRAs, Futures and Interest Rate Swaps

How Hedging Works

Asset & Liability Management - Key Themes

Exercise

Exercise and Discussion

Asset & Liability Management - Key Issues for ALCOs

Exercise and Discussion

Case Study

Asset & Liability Management - Key Observations for ALCOs

Reviewing the Effectiveness of the Senior ALM Committee

The Rules of Risk Management

Managing Interest Rate Risk - 1

Case Study

Managing Interest Rate Risk - 2

Managing Interest Rate Risk in the Banking Book

Case Study

EVE and Hedging

Exercise

Practical Workshop

Simulation

Liquidity Coverage Ratios

Case Study

Practical Workshop

Simulation - Hedging Duration Gaps

Hedging Pitfalls

Case Study

Practical Workshop

Simulation - Interest Rate Hedging and Market- Making

ALM Lehman Brothers

Contingency Funding Plans

Case Study

Multi-Currency Asset & Liability Management

Case Study