Course Syllabus

Course Syllabus


Pre-course module: Banking primer

The BTRM programme begins with the single lecture banking primer, covering all the core principles of bank balance sheet risk management. The primer has been designed to ensure all students start the course with the necessary entry-level understanding of bank ALM and the role of the Treasury function.

1. Primer on bank business model, financial statements and regulation. Primer on Value-at-Risk. – Lecturer: Moorad Choudhry

Module One: Bank balance sheet risk management

We introduce the key tenets of bank ALM and proceed to delve in depth into the tools, techniques and principles available that students must be familiar with if they are to manage ALM strategy for their bank. We assess and analyse key risk and performance metrics including NII/NIM, and also present best-practice principles of interest-rate and FX hedging.

2. Asset-Liability Management I: strategic ALM and balance sheet management – Lecturer: Moorad Choudhry
3. Asset-Liability Management II: banking products, interest rate benchmarks, FX hedging and NII/NIM management – Lecturer: Moorad Choudhry
4. Basel III capital and liquidity rules – Lecturers: Ed Bace, Chris Westcott
5. ALM trading and hedging principles I: Money markets. ALM Simulation Game: introduction – Lecturer: Peter Eisenhardt
6. ALM trading and hedging II: Banking Book interest-rate risk management. Credit spread risk in the Banking Book – Lecturers: Ed Bace, Chris Westcott, Colin Johnson

Online multiple-choice test to obtain Award in this module.

Module Two: Bank ALM operating model and risk management governance

An essential ingredient in sound ALM structure is the effectiveness and efficiency of the Treasury operating model. This module presents business best-practice recommendations for the target operating model and the management and operation of the bank’s asset-liability committee (ALCO).

7. Treasury Target Operating Model and reporting line – Lecturer: Polina Bardaeva
8. Asset-Liability Management III: The ALCO ToR / charter; ALCO sub-committee structure. ALM Simulation game: discussion – Lecturers: Jamie Paris, Peter Eisenhardt
9. ALCO and credit risk management; loan loss provision policy. Integrating ALM, Liquidity and Credit into ERM stress testing – Lecturers: Nicholas Bischoff, Massimo Pedroni

Online multiple-choice test to obtain Award in this module.

Module Three: Strategic ALM and financial markets

Module Three reviews in depth the operation of the bank within the wider capital and financial markets. We review market instruments, the use and application of securitisation for balance sheet management and wider stakeholder concerns including how a bank should undertake its recovery and resolution planning. We also run through the process of obtaining a formal credit rating.

10. Capital markets for bank issuers (AT1, T2, Secured, Unsecured). Post-crash swap discounting and pricing principles – Lecturers: Peter Eisenhardt, David Moskovic

Christmas and New Year Break

11. Securitisation: mechanics for balance sheet management – Lecturers: Suleman Baig, Chris Westcott
12. Recovery and Resolution Planning – Lecturer: Bruce Walker
13. Investor relations and the credit rating process – Lecturer: Ed Bace

Online multiple-choice test to obtain Award in this module.

Stage 1 online tests feedback session – BTRM Faculty


Module Four: Bank liquidity risk management

Module four is perhaps the most arcane and technical, and yet easily up there with the most important, of all the BTRM modules. It covers all aspects of liquidity risk management and how this vital function should be carried out in order to ensure continuous through-the-cycle survivability. Related topics such as yield curve construction and stress testing, an essential part of the Basel III regulatory regime, are covered in depth.

14. Liquidity risk management I – Lecturer: Jamie Paris
15. Liquidity risk management II: Risk metrics and limits; Collateral management and XVAs pt.1 (CVA, FVA) – Lecturers: Chris Westcott, Stephen Laughton
16. Liquidity risk management III: optimum liabilities strategy and managing the liquidity (HQLA) buffer; XVAs pt.2 – Lecturers: Jamie Paris, Stephen Laughton
17. Constructing the bank internal funding curve – Lecturers: Polina Bardaeva, Moorad Choudhry
18. Internal funds transfer pricing (“FTP”) and funding policies. FTP in frontier markets – Lecturers: Engelbert Plassmann, Massimo Pedroni
19. Liquidity reporting, stress testing and ILAAP. Intra-day liquidity risk. Asset encumbrance policy – Lecturers: Chris Westcott, Enrique Benito
20. Collateral management: Bilateral Margin Rules and Central Clearing for OTC Derivatives. Impact of CCPs on ALM – Lecturer: Kevin Liddy

Online multiple-choice test to obtain Award in this module.

Module Five: Bank capital management

This module covers capital management, capital planning and capital strategy. The role of the CFO and Treasurer in this regard is examined in detail. We also present guidelines for the policy template process, where the student will learn about the latest developments in business best-practice and how these are brought to a particular committee such as ALCO.

21. Capital management I: capital structure and planning – Lecturer: Ed Bace
22. Capital management II: capital strategy – Lecturers: Ed Bace, Chris Westcott
23. Regulatory reporting for liquidity and capital – Lecturer: Chris Westcott

Easter break

Online multiple-choice test to obtain Award in this module.

Module Six: Accounting and Operational Risk

The final module addresses subjects of equal significance to all banks, irrespective of size, business model or national jurisdiction. The general topic of Accounting and ALM is presented in depth, with coverage of Hedge Accounting, Trading Book capital treatment, Regulatory Reporting and IFRS9. We also discuss Operational Risk and principles required for effective policy documentation.

24. Operational risk management for Finance, Treasury and Risk teams – Lecturer: Stefano Alberigo
25. Trading Book Capital and Regulation; ALM, Derivatives and Hedge Accounting I – Lecturers: Juan Ramirez, Rita Gnutti
26. ALM and Hedge Accounting II; IFRS9 – Lecturer: Juan Ramirez
27. Principles of policy documentation: liquidity and capital. Compliance principles. – Lecturers: Chris Westcott, Patricia Robertson, Moorad Choudhry

Online multiple-choice test to obtain Award in this module.

Stage 2 online tests feedback session – BTRM Faculty

Exam revision and preparation session – BTRM Faculty


Following four weeks allocated for revision, in Week 30 students will sit a formal 3-hour closed book written examination. The exam is held in London for UK students and in an appropriate local centre for overseas students. The pass mark is 60%, with those achieving 80% being granted a pass with Distinction. The Wiley Prize is awarded to the highest-performing student in the Cohort.

Diploma Module

The Diploma is an optional stage of the BTRM following award of the Certificate. It consists of an 8,000-word student dissertation, the successful submission of which confers the designation Dip. BTRM. Students first submit their dissertation proposal and once approved the project will involve 300 hours of self-directed learning.

Teaching hours: 81
(27 weekly lectures x 3 hours)
Total learning hours: 301
(including 220 hours self-directed learning)
Equivalent to 30 credits