Asset and Liability Management - Balance Sheet Management Simulations Workshop
Asset and Liability Management - Balance Sheet Management Simulations Workshop
  • Overview
  • Objectives & Outline
  • Methodology
  • Participant Profile
  • Trainer
  • Overview


    Not Available


    9:00 AM – 5:00 PM


    Asian Banking School
    The programme covers key aspects of bank balance sheet asset and liability management (ALM). Recent regulatory reforms, particularly the ‘New Global Liquidity Standard’ added to global banking requirements in Basel lll will be discussed and analysed. Other key aspects of ALM including balance sheet and capital structure and management will be covered. The implications of Basel lll for bank strategic and business growth planning will be a point of focus.

    The programme gives participants hands on experience in managing bank’s balance sheet and determining its financial results through making and executing ALM decisions and then analysing the outcomes, in a competitive setting, using GuardB@nk ALM simulator.

    Participants are provided with PCs, equipped with the GuardB@nk ALM simulation software, for the practical exercises.




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  • Objectives & Outline
    Upon completion of the programme, participants will be able to:
    • Understand and explain the asset and liability (ALM) processes required in a bank and the process of managing a bank’s balance sheet and financial results
    • Recognise how ALM processes effect day-to-day decision making in a bank
    • Better identify and analyse a bank’s exposure to key risk factors
    • Understand performance measurement and value creation in a banking model which contains different business activities
    • Function more effectively within their own bank directly or indirectly in the ALM process  
    The programme includes a half day of individual balance sheet management simulation exercises, accompanied by conceptual sessions preceding and following the simulation exercises. Course participants work together in small groups of 2-4 persons, with each group managing a separate bank in a competitive environment. The decisions and financial results of each bank group are analysed and compared at the end of each simulation session. The simulations are designed to provide the participants with a realistic experience in managing the balance sheet and financial performance of a bank under changing market conditions. 

    Topics discussed during the conceptual sessions: 
    • The ALM process in banking
    • Value creation and bank profitability
    • Major risks in banking
    • Bank business models and balance sheet structures
    • Macroeconomic indicators
    • Liquidity risk management
    • Interest rate risk management
    • Capital management
    • Regulatory reform and the impact of Basel lll

    The simulation programme exercises provide exposure to the following banking areas: 
    • Commercial and corporate banking activities
    • Retail banking activities
    • Private banking activities
    • Investment banking activities

    The following specific products are included in the bank simulation programme: 
    • Interbank loans and deposits
    • Commercial loans – involving different industries with separate risk profiles
    • Retail loans
    • Distribution channel management
    • Savings deposits and current accounts
    • Certificates of deposit
    • Medium term notes and bonds
    • Securities (T-Bills and T-Bonds)
    • Capital account management (Tier 1 and Tier 2) and off-balance sheet items and instruments

    The following specific financial risks will be covered in the simulation programme exercises: 
    • Liquidity risk management
    • Interest rate risk management
    • Currency risk
    • Credit risk management
    • Market risk

    The following quarterly results (output) are produced by the simulation programme: 
    • Forecasts covering cash flow gaps as well as interest rate re-pricing gaps
    • Financial statements, consisting of:
      • Balance sheet
      • Income statement
      • Notes to the financial statements
      • Industry report
      • Market reports

    Other special features of the bank ALM simulation programme include: 
    • Simulations will be programmed using the Malaysian Ringgit as currency with some balance sheet activities also in a second currency (USD).
    • The economic environment used during a workshop is customised by the trainer to match the current market conditions in Malaysia (macroeconomic conditions / scenarios and financial market rates).
    Programme schedule:
    DAY 1
    • Programme agenda and overview 
    • Introduction: Financial services landscape 
    • Bank capital requirements: Basel III 
    • Bank profitability and value creation 
    • Introduction to the simulation programme 
    • Strategic plan and introduction of worksheets 
    • Quarters 1 & 2 bank simulations
    DAY 2
    • Review of Day 01 simulations 
    • The asset and liability management process 
    • Bank financial risk management 
    • Funds transfer pricing 
    • Balance sheet structures 
    • Traditional liquidity risk management 
    • Corporate objectives and introduction to Quarters 3 & 4 simulation 
    • Feedback on results from Quarter 1 & 2 
    • Quarter 3 & 4 bank simulation 
    • Review of all bank simulations and final outcomes of the competing bank teams 
    • Closing and course evaluation
  • Methodology
    Pre-programme Preparation

    To prepare participants for the practical part of the programme, participants receive a User Manual, an initial set of Financial Statements and an Industry Report. These pre-programme preparation documents are sent via email at least one week prior to the commencement of the training programme. The User Manual fully explains how the banks in the exercises operate in the simulated market environment and how the assets and liability decisions made by the participants will impact the financial results of the banks in the competitive simulation environment.

    During programme

    The half-day session in the programme includes conceptual sessions coupled with practical concept implementation in the bank balance sheet simulation exercise sessions.
  • Participant Profile
    Middle and senior level bank professionals involved in the ALM and balance sheet management process and bank ALCOs, including members of the banks’ commercial & retail lending, ALM support, finance, risk management, strategic planning, IT and treasury departments
  • Trainer


    Douglas Bongartz-Renaud has over 35 years’ experience in the Financial Markets and Services Industry. He was an Executive Director in the Markets Division with ABN AMRO in Amsterdam. Douglas headed the Treasury, ALM and market risk team in ABN AMRO’s Risk Advisory Service business, which was engaged in projects with over 40 banking clients in Asia and the EMEA region.

    His client-based advisory and implementation work covered:
    • Treasury and Investment Banking – Financial Product Range Expansion, Infrastructure Development, Systems and Processes Selection and Implementation; 
    • Market Risk Management – Basel II Standard & IMA Approach Compliance, Risk Exposure Measurement and Reporting methods, implementation and assessment of VaR, IRC, Stress-Testing Models; 
    • Asset and Liability Management – Structural Interest Rate, Currency, Liquidity Risk Management, and Fund Transfer Pricing frameworks and Processes.
    He held a number of senior trading and product management positions in ABN AMRO’s Financial Markets and Treasury Department from 1985 through 2011, including, Global Head of Currency Derivatives Trading, Structuring & Distribution, Global Head of Structured Products Trading & Derivatives Product Development, Global Head of Swaps & Options Trading.

    Douglas is a member of the GARP (and holds the ‘FRM’ certification) and of the PRMIA risk associations, and served on the ISDA (International Swaps and Derivatives Association) Board of Directors from 1994 to 2008, He is a Senior Partner in Tripod Partners. and provides training and consultancy to banks in the areas of ALM, Treasury and Risk Management. Douglas has worked for the IFC (World Bank Group) in projects in Asia and Africa and as a part time subject matter expert for KPMG for banking sector engagements in Indonesia.

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