Audit Of Asset/Liability Management (Alm) Function

This 90-minute webinar provides an overview of ALM principles and ALM measurement techniques. It focuses on auditor issues and procedures related to the audit of the ALM function.

It covers important ALM topics such as:

Liability sensitivity

Monitoring the mismatch of maturing interest sensitive assets and maturing interest sensitive liabilities

Knowing management’s view of the future direction of interest rates

Reviewing strategies used to react to expected changes in interest rates

Understanding “immunity”

Understanding “position management”

Managing the “gap”

WHY SHOULD YOU ATTEND?

Learn about liability sensitivity.

Appreciate the significance of the mismatch between interest sensitive assets and interest sensitive liabilities.

Focus on the issue of knowing management’s and the ALM committee’s decision about the direction on interest rates.

Understand key ideas about immunity, position management, gap, duration etc.

Obtain an overview of NII and NPV approaches to ALM.

Review how auditor’s approach the audit of the ALM function.

AREA COVERED

• Interest rate risk
• Liability sensitivity
• Simulation models
• Position management
• Gap positions
• Immunity
• Derivative usage for ALM
• ALM committee composition and duties

LEARNING OBJECTIVES

• The purposes for an ALM committee.
• How decisions of ALM affect the entity.
• What is interest rate risk (IRR).
• How IRR is monitored and controlled.
• How maturities are “manipulated” and “why?”
• What is immunity?
• What is position management?
• What is the composition of high level committee
• NII models for controlling IRR
• NPV models for controlling IRR

WHO WILL BENEFIT?

• Senior bank management
• Selected directors on the Board
• Controllership personnel
• ALM committee members
• Audit committee members
• Internal auditors – all levels
• External auditors
• Primary regulators
• Risk managers
• Financial statement preparers