Live sessions: 12, 13, 19 & 20 November
10:30 - 14:00 CET | Time Zone Converter



The course analyses the different ways in which a bank will structure its balance sheet and manage the associated risks.  The course is based on the idea that there are three components that bank will need to manage profitably in order to comply with current regulatory requirements: capital, profitability and asset quality.

Learning Outcomes

By the end of the session the participant will be able to:

  • Define what is meant by the phrase asset and liability management
  • Explain the main components of a bank’s capital position
  • Identify how a bank will manage their profitability
  • Explain how the bank will manage their asset quality

Who should attend?

The course is designed to provide an overview of the asset and liability management (ALM) function.  This function is important for a number of roles to understand including:

  • Relationship managers covering financial institutions
  • Compliance staff
  • Regulators
  • Internal auditors
  • Market and credit risk professionals
  • Middle office staff
  • Technology staff responsible for related systems 

The course assumes an understanding of banking basics (e.g. bond terminology) while some knowledge of swaps would be useful

Certification and Programme Recognition

This course is certified by ICMA and the ICMA Centre, Henley Business School, University of Reading.

ICMA recommends that 20 learning hours can be associated with this course, based on attended/undertaken hours of study required to successfully complete the learning outcomes.

A Certificate of Attendance will be awarded to those who meet the minimum attendance requirements for this course

ICMA is a member of the CPD® Certification Service, an FCA-approved qualifications provider and approved by the Securities & Futures Commission of Hong Kong as provider of Continuous Professional Training (CPT).

Please note that your course certificate of attendance or completion should be sufficient to satisfy any professional development requirements – if you require further evidence, please contact us at

Course Trainer

Neil Schofield

The syllabus is divided into several topic areas, which are then broken down into multiple subtopics:

Capital Optimization

  • What is balance sheet optimisation?
  • Overview of Basle III regulations
    • Risk-weighted assets and capital ratios
    • Leverage ratio
    • Total Capital Ratio
    • Minimum Required Eligible Liabilities
    • Core Equity Tier 1
  • Calculating cost of capital
  • Calculating the return on capital

Liquidity Risk

  • What is meant by liquidity?
  • Case study: The failure of Northern Rock and Silicon Valley Bank
  • Regulations relating to liquidity
    • Internal Liquidity Adequacy Assessment Process
  • Liquidity Coverage Ratio (LCR)
    • High quality liquid assets (HQLA)
    • Liquidity risks not covered by LCR

Funding Risk

  • How do banks finance themselves?
  • Loss absorption mechanisms
    • Contingent convertibles
  • Net Stable Funding Requirement (NSFR)

Managing Credit Risk

  • What is the nature of the credit risk embedded within the asset side of the balance sheet?
  • Investment portfolio
    • Using default swaps to hedge an investment portfolio

Managing Interest Rate Risk

  • Banking vs. trading book interest rate risk
  • Sources of interest rate risk
    • Gap risk
    • Basis risk
    • Embedded optionality
  • Measurement of interest rate risk
    • Net interest income
    • Changes in economic value of equity (EVE)
  • Managing interest rate risk
    • Interest rate swaps

Managing Currency Risk

  • Review of forward FX pricing principles
  • What is the cross-currency basis?
  • Hedging balance sheet translation risk


Livestreamed Course

ICMA courses are delivered via video conferencing accessed on our digital learning platform, using the most effective pedagogical approaches and incorporating interactive functions like virtual breakout rooms.

The Asset & Liability Management live sessions are delivered in four 3.5 hour sessions over the course of two weeks. You will be given access to the course materials before the live sessions, and will have access to those for a total of three months from the first live session. During these three months you will have the option to keep working through the course materials at your own pace.

Livestreamed course fees

Members: EUR 2,100 + VAT (if applicable)
Non-members: EUR 2,400 + VAT (if applicable)

For security reasons, delegates who have not registered in advance will not be admitted to the live sessions.

Please note:

  • All payments must be made in Euro.


Should you have any queries, please contact education@icmagroup.or

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