Federal Reserve System
Program and Participants:
In-house Training Programs for Board of Governors of the Federal Reserve System, USA
Presented by:
Sam L. Srinivasulu, Ph.D., President of GFTT
Program Objective:
Enable bank supervisors and examiners to effectively:
  • Analyze the Sources and Characteristics of Market Risks
  • Evaluate Risk Management Process, Infrastructure, and Organization
  • Evaluate Risk Measurement Capabilities
  • Discuss Weaknesses with Management
  • Initiate Corrective Action as Needed
    - Assigning Risk Management Rating
    - Evaluating Capital and Earnings Adequacy
  • Analyze the following:
    - Appropriateness of the amount of risk being taken
    - Reasonableness of assumptions
    - Robustness of the models
    - The fit between the model being used and the risk profile of the institution
    - Quality of ALM infrastructure
    - Adequacy of internal controls
    - Level and trend of exposure
    - Compliance with the internal policies and applicable regulatory standards
    - Plan of action to enhance the effectiveness of Asset/Liability Function
Week One: Asset/Liability Management: Modelling and Risk Management (5 days)
Week Two:
Asset/Liability Management strategies including: Liquidity Management & Contingency Funding Plan, Capital Adequacy Planning and Asset Securitization (5 days)
The courses focused on the tools required by examiners to assess all aspects of Balance Sheet Management, including Asset/Liability Management, Liquidity Management & Contingency Funding Plan , Capital Adequacy Planning and Asset Securitization. The project was designed as a dynamic, interactive training program
The program was designed to enable delegates:
  • Apply Asset/Liability Management concepts at financial institutions

  • Independently review and evaluate Interest Rate Risk exposure, the Asset/Liability Management process/strategies, and Interest Rate Risk modeling, Liquidity Management & Contingency Funding Plan, Capital Adequacy Planning and Asset Securitization at banking organizations.
Central objective of the program
To provide examiners with the technical tools needed to assess Asset/Liability Management function in financial institutions. To achieve this goal, the course focused on:
  • Providing training in techniques and issues required by examiners to evaluate and assess models used by institutions in the measurement and tracking of Interest Rate Risk
  • Providing examiners with a basis for evaluating the limits and controls needed to effectively manage Interest Rate Risk exposure in banking organizations
  • Reviewing the application of various regulatory policy statements, examination procedures and other guidance in the modeling and measurement of Interest Rate Risk
  • Providing training in the complexities of measuring and modeling Interest Rate Risk for various products used in the banking and trading books
  • Providing training on the strategic and practical considerations associated with managing the Balance Sheet composition of a banking organization, while providing insight into the risk/reward trade-offs associated with Asset/Liability management decisions
High Level Agenda
Course One: Asset/Liability Management (5 days)
The courses focused on the tools required by examiners to assess all aspects of Balance Sheet Management, including Asset/Liability Management, Liquidity Management & Contingency Funding Plan , Capital Adequacy Planning and Asset Securitization. The project was designed as a dynamic, interactive training program
The program was designed to enable delegates:
  • Asset/Liability Management Building Blocks
  • Gap Analysis.
  • Simulation
  • Duration and Convexity
  • Value at Risk
  • Implementing Asset/Liability Management
Course two: Asset/Liability Management Strategies/ Liquidity Management & Contingency Funding Plan (5 days)
Liquidity Management
  • Funding Liquidity
  • Trading Liquidity
  • Contingency Funding Plan
Capital Adequacy Planning
  • Credit Risk Capital
  • Market Risk Capital
  • Economic Capital/RAROC
Asset Securitization
  • Process
  • Products
  • Implementation
Throughout the program, several case studies were discussed to highlight the supervisory/examination perspectives on Asset/Liability Management.
Web Based Training and Reference Programs
The Federal Reserve Board Training Programs have become the basis for the development of KESDEE's Web Based Training and Reference Products. The program material, exercises, and case studies form the foundation for various online training courses offered by KESDEE. These programs were presented to the supervisory staff of the Federal Reserve Board and all Federal Reserve Banks. Beginning in 1995, they have been offered 25 times at both the Federal Reserve Board in Washington D.C. as well as in several Federal Reserve Banks (such as New York, Atlanta, and Chicago). These programs have received exceptional reviews.
Testimonials
" Sam was extremely knowledgeable on all topics covered; he was able to communicate complex ideas in easy-to-understand terms" - Senior Officer, Federal Reserve Bank.