Stage 2
Module Four: Bank liquidity risk management
Module four is perhaps the most arcane and technical, and yet easily up there with the most important, of all the BTRM modules. It covers all aspects of liquidity risk management and how this vital function should be carried out in order to ensure continuous through-the-cycle survivability. Related topics such as yield curve construction and stress testing, an essential part of the Basel III regulatory regime, are covered in depth.
14. Liquidity risk management Introduction. Post-crash swap discounting and pricing principles. Using RFRs / IBORs in ALM practice.
15. Liquidity risk management II: Risk metrics and limits. The principles of Derivatives XVAs (CVA, FVA, MVA).
16. Liquidity risk management III: Liabilities strategy. HQLA portfolio management and optimisation.
16B. Modelling non-maturing deposits (NMDs) and Term Deposits for IRRBB and liquidity risk.
17. Internal funds transfer pricing (“FTP”) and funding policies.
18. Introduction to yield curve interpolation and interpretation. Constructing the Yield Curve.
18B. Fit for purpose: a back to basics way of calculating the Term Liquidity Premium.
19. Liquidity reporting, stress testing and ILAAP, intra-day liquidity risk. Managing liquidity in stress: the Credit Suisse experience, and lessons learned.
19B. Asset encumbrance policy.
20. Collateral management: Bilateral Margin Rules and Central Clearing. Impact of Central Clearing Counterparties on ALM.
Module 4 On-line test (multiple choice).
Module Five: Bank capital management
This module covers capital management, capital planning and capital strategy. The role of the CFO and Treasurer in this regard is examined in detail. We also present guidelines for the policy template process, where the student will learn about the latest developments in business best-practice and how these are brought to a particular committee such as ALCO.
21X. Managing and Leading Through a Financial Risk Crisis.
21. The SREP on-site process. Capital management I: capital structure.
22. Capital management II: capital strategy, capital planning and ICAAP process. Regulatory Reporting.
22B. Reverse Stress Testing.
22C. Bank Treasury and the Third Line (Internal Audit).
22X. Operational Risk and ALM.
22Y. Bank regulation: the Supervisor’s View.
23. Principles of Policy Documentation. Principles of Business Writing for ALM professionals.
23X. Project Lecture: Treasury MI analytics with Python & AI.
23B. CONCLUSIONS: Conclusions, bank ALM, ERM, and “Risk Culture”.
Module 5 On-line test (multiple choice).
Examination
Following three weeks allocated for revision, in Week 26 students will sit a formal 3-hour closed book written examination. The exam is held on the same day worldwide, in our London exam centre for UK-based students. All non-UK based students sit the exam at their own desktop, using the BTRM online examination and digital invigilator system. The exam is essay-based, and not a multiple-choice test. The pass mark is 60%, with those achieving 80% being granted a pass with Distinction. The highest-performing student in the Cohort is awarded the Wiley Prize.
Diploma Module
The Diploma is an optional stage of the BTRM following award of the Certificate. It consists of an 8,000-word student dissertation, the successful submission of which confers the designation Dip. BTRM. Students first submit their dissertation proposal and once approved the project will involve 300 hours of self-directed learning.
Teaching hours: 170 (55 lectures)
Total learning hours: 300
(including 130 hours self-directed learning)
Equivalent to one full semester module at MSc level
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