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Program II Curriculum

Advanced Interest Rate Risk (IRR) Analytics* ▲

IRR management objectives
Earnings at Risk vs. Economic Value at Risk
GAP: How to use it & limitations
Role of simulations & limitations
Shocks vs. Ranges: What they tell you
Forecast vs. rate risk measurement
Impact of embedded and explicit options
Treatment of non-maturity deposits
Hedging strategies
Construction of ALCO & policy guidelines
Comparison of available software & models

Strategic Liquidity & Capital Management*

Regulatory issues
Use of Trust Preferred Stock
Agency securities: callable vs. non-callable
Internal funds transfer pricing

Advanced Portfolio Management

Performance measurement
Stress test methodology
Scenario analysis
Holding period analysis
Portfolio strategies
Benchmarking with LIBOR

Advanced Investment Strategies* ▲

Role of portfolio management in policy & regulatory issues
Advanced Investment vehicles:
- Collateralized loan obligations (CLOs)
- Securitized assets (MBSs, CMOs, ABSs)
- Whole loan mortgages
- Major agency ARM programs
Effective discount margins with floating rate instruments
Total return management, strengths and weaknesses
Why price off LIBOR?
Comparison of index performance
Review of participants' investment portfolios

Case Studies

Mergers & acquisitions analysis
Funding the bank
Advanced interest rate risk analysis stress testing
Constructing a bond portfolio

Funding the Balance Sheet

Identifying liquidity needs and sources
What is a core deposit?
Pricing, elasticity, and the cost of deposits
Wholesale funding
A critique of FHLB advances

BANKDYNAMICS ™ Simulation

All you ever wanted to know about CMOs

Investing in Municipal Bonds

* Core Courses: These courses have sessions that build from the basics to more complex topics.

▲ Participants will use advanced tools to evaluate their institution's investment portfolios and funding alternatives.