Overall Approach to the Audit of Asset/Liability Management (ALM) Function

OVERVIEW

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”

The webinar reviews and discusses interest rate risk as well as net gap analysis. It emphasizes the importance of valuing the assets and liabilities at current market prices (fair value approach), as well as the importance of hedging fair value positions.

It also discusses the composition of the ALM committee and the decisions expected of that high level committee. Attention is focused on ALM committee approaches to interest rate risk management such as:

• Net interest income analysis (NII)
• Net present value analysis (NPV)

Attendees review examples to help them learn about simulation models, particularly dynamic simulation. It also explains the use of “duration” analysis.

Specific auditor issues are addressed, outlining an ALM audit approach that includes:

• Reviewing the ALM policy
• Verifying the numbers used by the ALM committee to make decisions
• Making a real commitment about the future direction of interest rates and how to react to rate changes
• Comparing actual results to expected results

A special part of the coverage includes a review of controls for derivatives.

The webinar provides an excellent review of ALM and how the auditor approaches ALM audit coverage.

WHY SHOULD YOU ATTEND

You should attend to:

• 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.

AREAS 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

• Auditors (internal and external) will take away valuable information about the ALM function and how to conduct and audit of the ALM activities
• Board members, ALM committee members and senior management will be refreshed about the purpose, reasons and approaches of the typical ALM function.

For more detail please click on this below link:

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Email: [email protected]

Toll Free: +1-888-300-8494

Tel: +1-720-996-1616         

Fax: +1-888-909-1882

Others Details

Know about ALM principles and ALM measurement techniques, including the auditor issues and procedures related to the ALM audit.