The Model Lab for Asset Liability Management is an advanced course focusing on proper development and use of asset liability management (ALM) models, controls and key assumptions.
Participants will be hands-on with an actual model throughout the course to demonstrate and practice concepts. Topics will include prepayments, deposits, valuation, assumptions, as well as model mechanics. Instruction will be from a model vendor and agency instructors. In addition, an industry expert will discuss modeling and current conditions that can have an effect on assumptions and outputs.
Content is designed for examiners with extensive experience.
The length is four and a half days.
| At-a-Glance | |
|---|---|
| Length | 4 ½ days |
| Delivery | In-Person |
| Prerequisite/Pre-course | Yes |
| Continuing Education | No |
Objectives
Upon completion, the participants should be able to:
- Explain how an (ALM) model is used to measure interest rate and liquidity risk.
- Assess model input and setup.
- Verify data integrity.
- Recognize the importance and limitations of modeling in the decision-making process.
- Recognize the importance of conducting sensitivity analysis of key modeling assumptions.
- Discuss the regulatory perspective on governance and controls relative to asset liability modeling processes; and
- Assess the adequacy of a model in the context of balance sheet complexity.
Target Audience
The target audience for this class consists primarily of experienced community and mid-to large-size financial institution examiners who are capital markets subject matter experts or are regularly involved in or conduct a significant number of ALM reviews of in-house modeling in larger, more complex institutions who need to understand the model’s mechanics.
This is not a course for generalist examiners expecting ALM model output analysis nor is it a course on large bank modeling and will not cover the Liquidity Coverage Ratio (LCR) or Dodd-Frank Act Stress Testing (DFAST).
Pre-Course Assignment
Participants must log into the model prior to class using a laptop.