Course details

Dates are currently being finalised. Get in touch to find out more
Download course brochure

VAT on Virtual and Online Programmes

VAT is applicable on virtual programmes to delegates attending from the UK*. If participating from the EU, a valid VAT number is required to ensure VAT will not be charged under the reverse charge mechanism. VAT is not applicable to attendees from all other countries.
*For virtual courses ran through our Asia office, VAT may be applicable to HK and Singapore residents only. Find out more by contacting


Claiming Back Your VAT

All attendees of a London based course incur VAT as a part of the cost of attendance.

Euromoney Learning have partnered with VAT IT to allow you the unique opportunity to recoup the VAT incurred.

Using VAT IT's extensive experience and simple sign-up and refund process, every invoice can be turned into cash for your business.

Claim the VAT that's rightfully yours in four simple steps:

1. Register your interest

2. Sign a few simple documents

3. VAT IT processes your claim

4. Receive your refund

Why choose VAT IT 

VAT IT have spent two decades identifying, researching and perfecting the foreign VAT Reclaim process and built the best back end technology in the industry. By partnering with Euromoney Learning, we can provide you with a fast and effective way to reclaim your VAT which helps reduce the cost of your training.

VAT IT will charge a percentage of the VAT refund if/when it is successful. 

Can I claim back the VAT myself?

You can claim back VAT directly from the UK Tax Authority (HMRC) by completing the following form. 
For European clients, please refer to form VAT 65
All other clients, please refer to form VAT 65A.


You may also be able to claim back your VAT against courses taking place outside of the UK, and we would recommend contacting VAT IT, our specialist partner, to discuss how to do this.

Asset & Liability Management

Be better equipped in risk measurement & management auditing with our 3-day course
  • Post the global financial crisis, optimal Asset and Liability Management within a bank is more challenging than ever. The regulation that followed the crisis, in particular Basel III, has meant that optimisation of assets and liabilities is vital in mitigating the ‘hit’ on Return on Equity that the regulation represents.

    The Asset & Liability Management programme will allow the participant to explore what, within the industry, is considered best practice of an ALM function and moreover via real life case studies and excel based simulations explain how the function looks to optimise balance sheet performance via the more selective deployment of balance sheet resources. In addition it will explore the fluid regulatory landscape in which ALM is functioning and outline what the industry considers as best practice in terms of dealing with the challenges that landscape presents.

    By attending the day workshop, delegates will be better equipped to work in or with the ALM function and support the optimisation of the balance sheet they are tasked to achieve.

    Learning outcomes:
    • Explain the impact of the regulation on bank’s balance sheet in particular the resources of capital and liquidity and appreciate how the industry is looking to mitigate this impact
    • Understand how the application of Internal Methods have generated capital benefits for banks, how ‘Basel IV’ is limiting the extent of these benefits
    • Appreciate the impact of IFRS9 impairment charges on balance sheets and how banks are looking to potentially mitigate
    • Assess Interest Rate Risk in the Banking Book in line with BIS 368 Standards and have greater awareness of best practice for managing it
    • Better mitigate impact of Liquidity Coverage Ratio and Net Stable Funding Ratio
    • Apply best practice to their own Individual Adequacy Assessment Processes for Capital and Liquidity and better harmonise these
    • Identify ways in which the wider business can support the ALM function in dealing with these challenges via, for example, communication and alignment of business incentivisation
    • Derive and apply maturity Funds Transfer Pricing [FTP] curves, adjust for regulatory impact on liquidity and capital and have awareness of the ongoing evolution of FTP methodologies in the industry
    • Better optimise non-wholesale liquidity portfolios


    Note - A good level of spoken and written English is required to attend this course. Delegates should be of an intermediate standard in English at a minimum. Please refer to the Common European Framework of Reference for Languages - as a guide the level required is B2.  


  • Day 1

    Linking Asset and Liability Optimisation to Return on Equity

    • Responsibilities and best practice of Asset and Liability Committee [ALCO]
    • Impact of Basel III on Capital
      - The risk constraint ratio
      - The leverage ratio
    • Recap on the Standardised Methodology for Credit Risk
      - Credit Conversion Factors
      - Adjusting for Collateral
    • Gearing - Linking asset and liability pricing to returns on capital
    • So what does this mean for ALM and ultimately strategy?

    Activity: Analyse the impact of Basel III Capital Regime on the RoE generated from a simulated balance sheet, consider the merits of asset lead versus liability lead strategies to mitigate these impacts and discuss best practice of how banks are adapting their strategies to achieve this/what success is dependent upon.

    Optimising Assets - Internal Rating Based (IRB) approach for Credit Risk
    • Incentives for adopting IRB – more complexity less capital
    • Foundation IRB (FIRB) compared to Advanced IRB (AIRB)
    • Constructing the IRB equation for wholesale
    • Constructing the IRB equation for retail
    • Adjusting IRB for calculation of Economic Capital

    Activity: Construct the FIRB model and use it to calculate capital requirements for a portfolio and compare this to that required under the standardised methodology

    Linking Accounting and Prudential Regulation – Overview of IFRS9
    • Overview of IFRS 9 – what’s new?
    • Linking IFRS 9 to Asset Performance and Capital
    • The drivers of rising impairment under IFRS 9
    • Further considerations

    Activity: Model the impact of IFRS9 impairment on a balance sheet which uses Standardised Approach and compare it when applied on a contractual and behavioural basis

    Asset and Liability Gap Analysis
    • Challenges of Maturity Transformation
    • Selecting appropriate time buckets
    • Distribution of maturing and non-maturing assets and liabilities
    • Introduction to behavioural modelling
    • Adjusting for prepayment and redemption
    Activity: Construct a gap analysis post behavioural analysis of non-maturing liabilities and contingent facilities

    Day 2

    Interest Rate and Liquidity Risk
    Non-Traded Market Risk - Overview of IRRBB
    • What is IRRBB and what are the sources of it
    • Comparing IRRBB to CSRBB
    • Measuring IRRBB
      - Economic Value of Equity [EVE} vs Earnings at Risk [EAR]
      - PV01 and DV01
    • Review of BIS 368 ‘Final’ Standards for IRRBB
      - Treatment of cash flows
      - Time bucketing of cash flows
      - Discounting of cash flows
      - Stressing of cash flows
    • Best practice in Structural Hedging
      - What to hedge
      - When to hedge
      - How much to hedge
    • Governance and review– keeping the structural hedge appropriate

    Activity: Calculate maximum fall in EVE resulting from the application of BIS 368 Stress Tests to a balance sheet

    Measures of Liquidity Risk
    • Distinguishing between Liquidity and Funding Risk
    • Basic framework of the liquidity statement
    • Liquidity Ratio
    • 1 Week and 1 Month Liquidity Ratios
    • Cumulative Liquidity Model
    • Liquidity Risk Factor
    • Concentration Report and Inter-Entity Lending Report
    • Limitations of the traditional measures

    Activity: Discussion – weaknesses in liquidity risk management identified in the Global Financial Crisis and the rationale/motivation of the Basel Committee for the introduction of Sound Principles for Liquidity Risk Management and Supervision and the Basel III Liquidity Regime.

    Basel Liquidity Regime – Pillar I
    • Evolution of Liquidity Regulation
    • Basel III Liquidity Regime
      - Liquidity Coverage Ratio [LCR]
      - Net Stable Funding Ration [NSFR]
      - How they work in harmony
    • So what does this mean for ALM and ultimately strategy and liquidity preferences?

    Activity: Calculate the LCR and NSFR for a balance sheet and consider market best practice for optimising the impact of compliance with these ratios.

    Basel Liquidity Regime - Beyond Pillar I
    • Overview of the Individual Capital Adequacy Assessment Process [ICAAP]
    • Overview of the Individual Liquidity Adequacy Assessment Process [ILAAP]
    • What stress is appropriate – what qualifies as ‘severe but plausible’
    • Harmonising ICAAP and ILAAP
    • Effective Recovery and Resolution Planning [RRP]

    Activity: Consider a case study detailing how several banks are harmonising Individual Adequacy Assessment Processes for Capital and Liquidity [ICAAP+ILAAP=ICLAAP] and discuss the applicability of these to their individual institutions.

    Day 3

    Funds Transfer Pricing [FTP]
    Defining and Deriving the FTP Curve
    • Defining FTP
      - What is it?
      - Why have it?
      - Why is it essential in optimizing portfolios?
    • Evolution of FTP methodologies
    • Deriving the FTP Curve - Market sources and proxies
    • Challenges of deriving the curve in an under developed wholesale environment
    • Use of basis and cross currency swaps
    • Ownership and governance

    Activity: Derive a maturity matched FTP curve and discuss best practice for achieving this in an under developed wholesale market environment.

    Operating FTP
    • ‘Behaviouralising’ Portfolios
      - Methodologies
      - Ownership and governance
    • Including in management reporting – stock/flow rate blending
    • Driving behaviours
      - Aligning business incentivisation
      - Tools/Products to optimise
    • Distributing the cost of unwind

    Activity: Derive a maturity matched FTP curve and discuss best practice for achieving this in an under developed wholesale market environment.

    Pricing with FTP
    • Pricing flow business
    • Pricing ‘cushions’/buffers
    • Reflecting regulation in FTP e.g. impact of LCR
    • Trends and trajectories in FTP methodologies – inclusion of capital in a a FTP mechanism
    Activity: A maturity matched FTP curve adjusted for LCR and Capital charges will be derived and then applied to a balance sheet. Best practice for achieving this, based on how FTP methodologies of several banks are evolving to reflect these adjustments will then be discussed.
    Optimising Deposits Portfolios
    • Best practice in managing non-wholesale portfolios
    • Segmenting the portfolio – identifying what to grow, migrate or exit
    • How banks are adapting products/strategies to support optimisation
    • Tools and communications to achieve optimisation
    • Detune and migration strategies – calculating the ‘relasticity’

    Activity: The impact of several de-tune/migration strategies applied to a mixed deposits portfolio shall be assessed. How a European bank overcame challenges to successfully deliver these strategies shall be discussed.

  • Our Tailored Learning Offering

    Do you have five or more people interested in attending this course? Do you want to tailor it to meet your company’s exact requirements? If you’d like to do either of these, we can bring this course to your company’s office. You could even save up to 50% on the cost of sending delegates to a public course and dramatically increase your ROI.

    If you want to run this course at a location convenient to you or if you want a completely customised learning solution, we can help.

    We produce learning solutions that are completely unique to your business. We’ll guide you through the whole process, from the initial consultancy to evaluating the success of the full learning experience. Our learning specialists ensure you get the maximum return on your training investment.

  • We have a combined experience of over 60 years providing learning solutions to the world’s major organisations and are privileged to have contributed to their success. We view our clients as partners and focus on understanding the needs of each organisation we work with to tailor learning solutions to specific requirements.

    We are proud of our record of customer satisfaction. Here is why you should choose us to help you achieve your goals and accelerate your career:

    • Quality – our clients consistently rate our performance ‘excellent’ or ‘outstanding’. Our average overall score awarded to us by our clients is nine out of ten.
    • Track record – 10/10 of the world’s largest banks have chosen us as there training provider and we have delivered training across the largest banks and have trained over 25,000 professionals.
    • Knowledge – our 100+ strong team of industry specialist trainers are world leading financial leaders and commentators, ensuring our knowledge base is second to none.
    • Reliability – if we promise it, we deliver it. We have delivered over 25,000 events both in person and online, using simultaneous translation to delegates from over 99 countries.
    • Recognition – we are accredited by the British Accreditation Council and the CPD Certification Service. In an independent review by Feefo we scored 4.2/5 on service and 4.7/5 on Coursecheck
This course can be run as an In-house or Tailored Learning programme


  • Gareth Vance


    Gareth’s banking career spans more than two decades.From 2010 to 2014 he was Head of Barclays Corporates £110 billion liquidity portfolio, tasked with the end-end ownership of pricing and structuring of the portfolio and ensuring that margins were achieved whilst delivering funding ambitions and regulatory requirements.In parallel to this role from 2012 to 2013, Gareth was Co-Head of the Liquidity Management group (50 FTE and £1bn pa business), sitting on the Corporate ALCO and Global Treasury board and worked with treasury colleagues on the adaptation of Basel III/CRD IV within the Corporate Bank - with a particular focus on LCR/Buffer optimisation. Previous to this, Gareth had senior roles within risk solutions at Barclays, where he collaborated with corporate and investment banking colleagues in structuring and marketing bespoke hedging solutions to corporate clients. Prior to Barclays Gareth spent 10 years at Citi where he worked as a Short Term Interest Rate Trader. During that time he made markets and took proprietary risk in G10 currencies against a backdrop of often significant economic turmoil including the Tiger Crisis, formation of the EUR and implosion of the ‘dot com’ bubble. Since leaving Barclays in 2014 Gareth has been consulting on Asset and Liability management, in particular has been focused on the ‘so what’ of Basel III- looking at overcoming challenges in implementing it, it’s impact on Net Interest Margin and ultimately bank strategy.His ciients to date include Barclays, HSBC, Deutsche Bank, RBC, Credit Suisse, ING, Saudi Hollandi Bank, the Bank of England and Central Bank of Ireland, Saudi Arabian British Bank, Saudi Arabian Investment Bank, Santander, Standard Chartered, Standard Bank, Ahli United Bank, EIB, EBRD and many more.Examples of recent engagements include:On behalf of the EBRD working with treasurers of Egyptian, Serbian and Gerogian banks on adopting Basel III Capital and Liquidity RegimeWith the Group Treasurer and regional Heads of Treasury of a Bahrain HQ Gulf regional bank on optimising non wholesale liquidity portfoliosWith the ALM team of a Saudi Arabian Bank on IRRBB including adopting BIS 368 standardsWith the CFO and Treasurer of a Maltese bank on developing a maturity matched FTP mechanismGareth is passionate about developing and getting the best out of people, teams and businesses. His style is energetic and practical, believing that only through applying knowledge can we truly succeed.



The course will take place at a Central London hotel.

The map attached details some of our most frequently used venues

If you need help booking accommodation for your visit, please contact and one of our partners will help you get the best rate possible.