ALM Optimization, IRRBB, FTP and NMD Modelling Masterclass

This IRRBB, ALM & Balance Sheet Optimization masterclass is an advanced professional training designed to build deep expertise in Asset‑Liability Management (ALM), Interest Rate Risk in the Banking Book (IRRBB), and strategic balance sheet optimization within financial institutions. In today’s highly regulated and competitive banking environment, effective ALM and IRRBB frameworks are essential for managing interest‑rate and liquidity risks, optimizing capital and funding, and driving profitable balance sheet decisions. This course integrates measurement tools, regulatory expectations, hedging strategies, behavioural modelling, stress testing techniques, and optimization principles to give participants practical skills that can be applied immediately within treasury, risk, finance and ALM functions. Through case studies, practical exercises and expert insights, learners will understand how to evaluate key risks, shape balance sheet structures and improve performance in line with institutional risk appetite and supervisory standards.

1. There are no strict formal prerequisites for this masterclass. 
2.  A basic understanding of banking, finance, or financial risk management is recommended. 
3.  Prior exposure to ALM, treasury, or risk management concepts will be beneficial. 
4.  Suitable for professionals working in banking, financial institutions, or related functions. 
5.  A willingness to learn advanced concepts in IRRBB, ALM, and balance sheet optimization is essential. 

• Liquidity managers and IRRBB managers.
• Finance professionals.
• Bank treasurers and treasury professionals.
• ALM professionals.
• Advisors at consultancy firms.
• Bank supervisors.

On successful completion of the course and assessment, you will receive a Course Completion Certificate from GraspSkill.

Key Highlights – IRRBB, ALM and Balance Sheet Optimization Masterclass

1.  Gain advanced, practical expertise in Asset-Liability Management (ALM) and Interest Rate Risk in the Banking Book (IRRBB) 
2.  Learn to measure and manage interest rate and liquidity risks effectively 
3.  Understand Basel regulatory expectations and supervisory requirements 
4.  Apply balance sheet optimization techniques to improve profitability and capital efficiency 
5.  Master key tools such as gap analysis, Economic Value of Equity (EVE), Earnings-at-Risk (EaR), stress testing, and hedging strategies
6.  Develop the ability to support strategic decision-making and risk governance frameworks
7.  Enhance skills to build resilient balance sheet structures and long-term financial stability

Career and Professional Benefits

1.  Prepare for roles such as: 
2.  ALM Analyst 
3.  IRRBB Risk Specialist 
4.  Balance Sheet Manager 
5.  Treasury / Capital Risk Manager 
6.  High demand in banking, treasury, and risk management functions
7.  Strengthen career mobility and industry relevance

Salary and Market Potential

1.  Typical salary range (U.S.): $110,000 – $130,000+ annually
2.  Higher compensation for senior and specialized roles
3.  Strong earning potential with combined ALM, IRRBB, and risk expertise

Overall Value

1.  Validate your expertise in complex balance sheet and risk management practices
2.  Enhance your ability to align risk with strategy and regulatory expectations
3.  Position yourself for higher-impact roles, better compensation, and career growth

A financial engineer with over 20 years of practical experience in international financial institutions. Her expertise is strongly focused on Interest Rate Risk in the Banking Book (IRRBB), Asset Liability Management and Balance Sheet Management, with most of her career spent enhancing ALM profitability and efficiency. She holds a PhD in Finance and has published research that has received strong recognition from both academics and industry practitioners.

By the end of this course, participants will be able to:

• Explain the strategic role of Asset‑Liability Management (ALM) and its importance in balance sheet risk and profitability frameworks.
• Describe the regulatory context for Interest Rate Risk in the Banking Book (IRRBB) and key measurement techniques for EVE and NII sensitivities.
• Apply ALM measurement tools such as repricing gap analysis, duration, convexity, earnings at risk (EaR) and economic value of equity (EVE) to assess balance sheet risk.
• Design and interpret stress‑testing scenarios for IRRBB and balance sheet risks using internal modelling approaches.
• Assess and implement hedging strategies using derivatives (e.g., swaps, caps, floors) to manage interest rate exposures.
• Incorporate behavioural assumptions and advanced modelling of non‑maturing deposits and embedded options into IRRBB and ALM frameworks.
• Develop optimization approaches that balance risk, funding costs, capital requirements, and profitability across assets and liabilities.
• Integrate Funds Transfer Pricing (FTP) and governance practices into balance sheet and ALM decision‑making.
• Interpret ALM dashboards, risk reports and governance frameworks to support strategic steering and supervisory engagements.