Professional Documents
Culture Documents
ALMB-MB14
MBA 2014-16: Term-VI
Asset Liability Management in Banks
(Faculty: Prof. Asit Ranjan Mohanty)
Email: Asit.Mohanty@ximb.ac.in
COURSE OUTLINE
Introduction
Banking institutions, which actively manage their risks, have a decisive
competitive advantage. Asset Liability Management (ALM) is a major
component of the overall risk management of an institution and typically
focuses on financial risks. A working definition of ALM, Asset-Liability
Management is the ongoing process of formulating, implementing,
monitoring, and revising strategies related to assets and liabilities in an
attempt to achieve financial objectives for a given set of risk tolerances and
constraints. It covers the set of techniques used to manage interest rate and
liquidity risks. It deals with the structure of the Balance Sheet subject to the
given constraints - internal, external and regulatory. ALM policies are
intended to keep liquidity and interest rate risks at an acceptable level given
expectation of future interest rates. Liquidity and interest rate policies are
interdependent since any projected liquidity gap will be funded at an
unknown rate.
The course would provide understanding of Measurement and Management
of Liquidity, Interest rate risk & Choosing assets and liabilities, which result
in the highest expected return on equity. This course will address the
different approaches for Value at Risk (VaR) in detail combining both asset
and liability products. The measurement of Economic Capital in the Banking
Book which is one of the important aspects of the Pillar II of the New
Revised Basel Framework will be addressed as Part of the Interest Risk
Management. The hands on exercises will trained the students to work in
the industry immediately.
Background
Getting the right balance is always the challenge when banks and financial
Recommended Text:
Term Book
Management of Financial Institutions : Meera Sharma
Asset Liability Management : T.Ravi.kumar, Vision Books
Reference Material
Fundamentals of Risk Measurement : Marrison Chris, Tata
McGRAW-Edition 2005
Bank Asset Liability Management : Moorad Choudhry, Willey
Finanace
Asset Liability Management Tools: A Hand Book of Best Practice by
Bernd Scherer , Risk Books
Guidelines for Implementation of the New Capital Adequacy
Framework(NCAF) April 2006: Reserve Bank of India Publication
Evaluation
Components
Weights (%)
Two Quizzes
25%
Mid Term
35%
End Term
40%
Code of Ethics
For individual quizzes/End term, it is unethical to seek any direct help
from others, whether or not you finally make use of the help.
Discussions among individuals either in class-room or in the
examination hall are completely forbidden. Those who will be
identified disturbing in the class will be asked to leave the class
immediately. No one is allowed to come to the class after the scheduled
start time. You should not carry either the Cell Phones & Laptops to the
class.
Feedback
I would also request you to give me continuous feedback. I would be in
the class room for some more time after the class is over to take up
your doubts and feed back. You may form a focus group (consisting of
6-7 students from the class with diverse backgrounds including the CR)
that continuously interacts with the students and informs me about
their problems, if any, with the course.
Contact Details
Though I am usually available in my office till late in the evening, it is
better to check beforehand. I also come to office on weekends and
would try to give you a weekend appointment if you need one. You can,
of course, always reach me by e-mail at Asit.Mohanty@ximb.ac.in. My
Ext 995.
The scope of the course outline is not exhaustive to cover Asset Liability
Management in the Banks. Nevertheless care has been taken to ensure
that none of the important concepts remain untouched. By the time
students complete the course, they would realize that how the
Management of Assets & Liability is a never ending process.but they
will get good basic foundation on Asset Liability Management of the
Banks.
Created By: Alora Kar on 13/08/2014 at 15:23
Category: BM-II T-VI Doctype: Document
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