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Audit of Asset / Liability Management (ALM)


This course is for personnel in auditing, controllers and treasury positions.


It is particularly useful for those who must provide audit coverage of the interest rate risk activities of the Asset/Liability Management function (ALM, ALCO etc.).


The course provides an excellent overview of the depository organization's problem of having interest-sensitive assets and interest-sensitive liabilities that mature at different times. 


Among other things, it does the following:

         Focuses on how the depository institution can lose money simply by being "on the wrong side" of changes in the direction of interest rates.

         Provides an overview of "position management" and how it is handled.

         Explores ALM techniques including the use of derivatives such as caps, floors, collars, swaps, swaptions, futures, forward placement contracts etc.

         Discusses the typical ALM techniques of Net Gap Analysis, Static Gap Analysis, Earnings Simulation, and Duration Modeling.

         Reviews the composition of ALM committee members and their duties.

         Provides a step-by-step approach for auditing the ALM activities.


Course coverage also shows what could go wrong with the ALM process.





Category: Banking Auditing