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363-1081-00L 3 Credits MSC D-MATH , D-MTEC
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Asset Liability Management and Treasury Risks

Lecturers & Examiners: Dr. Philippe Mangold, Prof. Michael Eichhorn
VVZ CR n/a

Last Updated: 2026-06-01 11:31:18

Abstract

Asset Liability Management (ALM) is key to the financial success of any corporation. The goal is to develop a comprehensive understanding of the nature of corporate balance sheet and off-balance sheet positions and related profits and losses, including identification and mitigation of undue risks taken. This course is geared towards preparing students to apply these concepts in practical settings.

Objective

The main learning objectives of this course are: - develop a comprehensive understanding of the nature of corporate balance sheet and off-balance sheet positions and their respective contribution to profits and losses - measure and assess exposures to risk factors such as interest and FX rates, equity and commodity prices, as well as liquidity events - trading and hedging to mitigate undue risks incurred

Content

The course is organized around a series of case studies. We will first discuss and develop an understanding of the fundamentals on different aspects of the management and risk management of the balance sheet. Using real life case studies each concept will then be directly applied and tested. In-class discussions, presentations and one written assignment are used to facilitate active and interactive learning in a stimulating environment. During the case studies students will frequently work in small groups. Therefore, the number of participants is limited to 40. The course focuses on the application of finance concepts to the financial management of corporations and is geared towards preparing students to apply these concepts in practical settings. Executives of all sectors are expected to have a sound understanding of the content covered. As such, the course is not exclusively targeted at students who are considering a career in the financial services sector. It also recommended for students who want to work in the finance, treasury or risk area of corporates. It is also suitable for students who want to work for a consultancy firm.

Resources

Literature

No single textbook covers the course, below we list some useful references. Further materials will be made available to students prior to the lectures Choudhry, M. 2012. The Principles of Banking. Wiley Finance. Marrison, C. 2002. The Fundamentals of Risk Measurement. McGraw-Hill. Bohn, A. & Elkenbracht-Huizing, M. 2017. The Handbook of ALM in Banking (2nd edition).

General Information

Language
English
Levels
MSC
Frequency
Yearly recurring

Examination

Type
graded semester performance

Course Components

Type Title Time & Place Hours
lecture Asset Liability Management and Treasury Risks
Block course
  • 19.09 Date 09:15-17:00 (LFW B 3)
  • 19.09 Date 09:15-17:00 (ML H 43)
  • 17.10 Date 09:15-17:00 (LFW B 3)
  • 17.10 Date 09:15-17:00 (ML H 43)
  • 14.11 Date 09:15-17:00 (LFW B 3)
  • 14.11 Date 09:15-17:00 (ML H 43)
  • 12.12 Date 09:15-17:00 (LFW B 3)
  • 12.12 Date 09:15-17:00 (ML H 43)
28 h semesterly

Offered In