Building an ALM & Balance Sheet Optimization Model

Master ALM & Balance Sheet Optimization with our course! Learn to build models using stochastic dynamic programming. From data layers to reporting, we cover it all.

Introduction
A course by the authors of "ALM Modeling and Balance Sheet Optimization - A Mathematical Approach To Banking", a book in The Moorad Choudhry Global Banking Series.

In this training, inspired by the book "ALM Modeling and Balance Sheet Optimization -- A Mathematical Approach To Banking" by Diogo Gobira and Lucas Processi, you'll learn to build a balance sheet optimization model using stochastic dynamic programming. This comprehensive course covers everything from data layers to decision variables, business and regulatory constraints, objective functions, modeling strategies, solving techniques, debugging, and reporting. Unique in the market, this online training provides cutting-edge tools to optimize your bank's performance, offering invaluable insights and skills for effective implementation.

Course Objectives
Strategic Asset-Liability Management (ALM) can improve banks performance, but its implementation is far from trivial. This advanced program will teach you how to create a balance optimization model using dynamic programming and showcase its power with various concrete examples in liquidity management and capital optimization taks, financial statement and funding mix projections, funding and hedging instrument-level prescriptions, and more.


Information Session

In this short video the instructor Lucas Processi will show you the main topics of this course and why it's so important to master balancesheet optimization.


Course Curriculum


  Welcome Video
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  01 - Introduction
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  02 - Model Architecture
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  03 - Mathematical Programming
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  04 - Contract Modeling
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  05 - ETLs
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  06 - Model Building :: Foundations
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  07 - Model Building :: Business Rules
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  08 - Reporting and Troubleshooting
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  09 - Balance Sheet Optimization
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"The instructors at Financial Risk Academy are experts, highly academically trained, and bring a wealth of market experience in finance & quantitative risk models"

Luis A. Esteves, Chief Economist, Northeast Bank

"Excellent videos. Great teaching."

Pedro Henrique de Mello Lula Mota, Portfolio Manager, Verios

Congratulations Diogo Gobira, as always, your courses are sensational and well-structured.
Denis Pereira, Head of Risk, Modelling and Research, FGC

Frequently Asked Questions


Are the classes recorded or live?
The classes are recorded, but live sessions are offered at significant milestones in the course, tailored to each cohort.
How many hours does it have?
Approximately 40 hours of recorded lessons, organized into short and medium-duration videos
Is there a conclusion time?
Students have one year of access to the platform to complete the training.
Is previous knowledge required?
Basic knowledge in finance and an interest in learning programming. Advanced programming knowledge is not required to follow the lessons and use case studies.
Will I have free access to the source code?
All codes used will be provided to students for personal and institutional use. However, distribution to third parties on the internet is not permitted.
How can I get my questions answered?
Students can ask questions and share with their cohort through the forums in each lesson. For more specific queries, teachers can also be accessed via direct message.

Your Instructor


Diogo Gobira & Lucas Processi
Diogo Gobira & Lucas Processi

Diogo Gobira:

Market Risk Manager at BNDES (Brazilian Development Bank). Holds a Master's degree in Applied Mathematics for Finance from IMPA (National Institute of Pure and Applied Mathematics) and a degree in Computer Engineering from UFES (Federal University of Espírito Santo). Specialized in scientific computing, mathematical modeling, and pricing of exotic derivatives.

Lucas Processi:

Engineer in the Market Risk Department at BNDES, holds a degree in Production Engineering from the Federal Fluminense University (UFF), and a master's degree in Economics and Finance from the Getúlio Vargas Foundation (FGV). Specialized in market risk management and pricing of financial instruments, with extensive experience in automating routines, organizing databases, and generating financial reports using programming languages such as R, Python, Julia, C++, VBA, among others.