ASSETS AND LIABILITIES

MANAGEMENT
SESSION 1

TUJUAN MATA KULIAH

Memaparkan strategi yang dilakukan bank untuk
mengelola porfolio investasinya (Aset) dan
sumber pendanaan (Kewajiban)
Menjelaskan teknik dan metode pengelolaan
risiko yang dapat berpengaruh terhadap
pendapatan dan posisi modal bank
Menjelaskan pengelolaan modal bank

TENTANG MATA KULIAH

Grading Scheme
Class Participations
10%
Quiz, Group Case Presentation 30%
Mid Term Exam 30%
Final Exam 30%
References
Recommended:
Uyemura, Dennis G., Van Deventer, Donald R., Financial Risk Management in Banking
The Theory & Application of Asset & Liability Management, McGraw Hill, 1993. (UVD)

Supporting :
Rose, Peter S., Hudgins, Sylvia. Bank Management and Financial Services, 7th Edition.
McGraw Hill International, New York, 2009. (Rose)
Choudry, Moorad, Bank Asset and Liability Management Strategy, Trading, Analysis,
John Wiley & Sons (Asia) Pte Ltd, Singapore, 2007
Several articles from banking and finance journals

SISTEM KEUANGAN
Sektor Moneter

Pasar Modal
Sistem
Keuangan

Pasar Uang
Pasar Keuangan
Pasar Derivatif
Sektor
Keuangan

Bank
Lembaga
Keuangan

Non Bank

DIRECT FINANCING
Slow accumulation
Constraints:
Double coincidence problem
Monitoring problem
High risk

Markets or institutions as intermediaries

INDIRECT FINANCING
Covering
Risk

Surplus Unit

Small, short

Monitoring

BANK

Transforming

Deficit Unit

big, long

BANK AS AN INTERMEDIARY
INSTITUTION
Banks Roles:
Transformation function
Cover the risks
Monitoring function

Bank deals with asymmetric information, adverse selection

and moral hazard
Bank takes deposits and uses the funds to make loan
banks tend to borrow short and lend long (in terms of
maturity).
Earnings: Interest margin and Fees

THE GOAL OF ALM

Goal: To maximize the risk-adjusted returns to
shareholders over the long run
Risk-adjusted return
Shareholders
Long run

Managing the banks risk and supporting business

growth
Understanding the risk/return tradeoffs
Many types of risk (risk is multidimensional)
Returns should always be assed on a fully risk-adjusted basis

SCOPE OF ALM
1. Liquidity management
2. Asset management

Managing credit risk

Managing interest-rate risk

3. Liability management
4. Managing capital adequacy
Its about Trade-Of

CHALLENGES IN ALM

Transforming fund
Earnings vs. Risks
Many dimensions
Very dynamic
Banking is highly regulated industry