ALM Optimization, IRRBB, FTP and NMD Modelling Certification Training

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.

Module 1: Foundations & Optimization of Asset–Liability Management

1.1 Introduction to ALM (Asset-Liability Management):

• What ALM is and why it matters
• Treasury vs ALM vs Risk Management
• Strategic objectives: profitability, stability, liquidity, solvency
• Banking book vs trading book distinctions



1.2 Key ALM Risks & Metrics

• Interest Rate Risk
• Liquidity Risk
• Funding Risk
• Capital Optimization
• Behavioral risks



1.3 ALM Measurement Tools

• Gap analysis and repricing risk
• EaR (Earnings at Risk)
• EVE (Economic Value of Equity)
• Duration, Convexity
• Dynamic balance sheet modeling



1.4 ALM Optimization Techniques

• Optimal balance sheet structure
• Capital constraints & RWA implications
• Optimization of deposit mix
• Asset mix strategy (fixed vs floating vs optionality)
• Dynamic hedging & macro-hedging strategies



1.5 Hedging Approaches

• Derivatives in ALM
• Interest rate swaps, IRS ladders, caps/floors
• Micro- vs macro-hedging
• Accounting considerations (IFRS 9 / fair value / hedge accounting)



Activities:

• Case study: Optimizing a bank’s balance sheet under various interest rate scenarios
• Interpretation of ALM dashboard



Module 2: IRRBB (Interest Rate Risk in the Banking Book)

2.1 Understanding IRRBB

• Regulatory expectations (Basel guidelines)
• Types of IRRBB: gap risk, basis risk, option risk
• Pillar 2 expectations



2.2 Key IRRBB Measures

• EVE sensitivity
• NII sensitivity
• Supervisory Outlier Tests
• Behavioral assumptions and model risk
• Impact of prepayments & embedded options



2.3 Stress Testing & Scenarios

• Six standard interest rate shock scenarios
• Internal scenario development
• Rate ramp vs instantaneous shock
• UFR / yield curve modeling



2.4 IRRBB Governance

• Risk appetite
• Limits and thresholds
• Reporting and dashboards
• ICAAP & ILAAP linkages



2.5 Advanced IRRBB Modelling

• Behavioral optionality (loan prepayment, deposit early withdrawal)
• Interest rate models (Ho-Lee, Hull-White basics) for scenario generation
• Treatment of pipeline risk
• Convexity adjustments



Activities:

• IRRBB stress simulation exercise
• Build NII/EVE sensitivity tables

• Understanding of banking treasury/ALM aspects.
• Familiarity with Basel III requirements.
• Familiarity with the concept of Interest rate risk and liquidity risk in banks.
• Familiarity with the FTP process.

• 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 Merit Global.

Earning the IRRBB, ALM & Balance Sheet Optimization Masterclass certification gives finance and risk professionals deep, practical expertise in Asset-Liability Management (ALM) and Interest Rate Risk in the Banking Book (IRRBB) - two of the most critical areas in modern banking risk management. The course teaches how to measure and manage interest rate and liquidity risks, understand regulatory expectations (such as Basel guidelines), and apply balance sheet optimization techniques that enhance profitability and capital efficiency. It also covers tools used by banks - such as gap analysis, economic value and earnings-at-risk measures, stress testing and hedging strategies - enabling you to contribute confidently to strategic decision-making and risk governance frameworks that safeguard long-term institutional resilience.

From a career and compensation perspective in the U.S. financial market, expertise in ALM and IRRBB can significantly improve your professional value and earning potential. Roles that utilise these skills - such as ALM Analyst, IRRBB Risk Specialist, Balance Sheet Manager or Treasury/Capital Risk Manager - are increasingly in demand as banks and regulators place greater emphasis on robust risk and capital frameworks. For example, an Associate Interest Rate Risk (ALM/IRRBB) position in New York typically ranges from $110,000 – $130,000 per year, reflecting the premium for these capabilities in a major financial hub.

As professionals gain experience and take on leadership or specialist roles, total compensation can rise substantially, especially when combining IRRBB/ALM expertise with credit, stress testing or enterprise risk functions. This certification helps you stand out by formally validating your ability to manage complex balance sheet risks, align risk with strategic objectives and navigate regulatory expectations - boosting both career mobility and negotiating power in competitive banking and risk management markets.

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.