The Course provided an in-depth exposure to asset/liability management, concepts and methodologies as they apply to a financial institution’s banking book; i.e., non-trading assets and liabilities. The materials covered in PALM enabled participants to identify and draw conclusions about interest rate, investment and liquidity risk issues they will encounter while examining financial institutions. The Course contained a case study based on an intermediate-sized U.S. commercial bank, which was used to illustrate and reinforce the balance sheet ALM concepts presented in the lectures.

Objectives: This Course was designed to give participants a broad overview of the basic principles of asset/liability management, including interest rate risk, investment portfolio management, liquidity risk, balance sheet hedging and ALM model risk. The Course also provided participants with a basic understanding of: (i) how financial markets determine interest rates, (ii) how changes in those rates can affect the risk posture and profitability of financial institutions, (iii) what tools are available to measure an institution’s interest rate risk and liquidity exposures, and (iv) why and how institutions use certain products to manage their interest rate risk and liquidity exposures.

Resource Persons: The faculty of resource persons comprised instructors and technical experts from the Federal Reserve System and the SEACEN member central banks of Bank Negara Malaysia and Bank of Thailand. They were namely Mr. Adrian D’Silva, Senior Advisor, Supervision and Regulation, Federal Reserve Bank of Chicago; Mr. Patrick Coyle, Senior Examiner, Capital Markets Risk and Policy Team, Federal Reserve Bank of Richmond; Mr. Naimi Shuib, Manager, Specialised Risk-Unit Risk, Bank Negara Malaysia and Mr. Parinat Sakphanich, Team Executive, Onsite Examination Department II, Bank of Thailand.

Target Group: The 28 participants, drawn from 9 institutions of 9 economies, comprised middle-level banking supervisors and examiners of central banks/monetary authorities whose work involve regulation and supervision of banks, interest rate and liquidity risk management.