Market risk governance and the capstone ALCO

Module 05 / 5 · 70 min

Set and monitor treasury limits, report as an independent middle office, and write and defend Bank A's ALCO paper.

In this module you will learn to

Design a treasury limits framework that links to board risk appetite
Prepare middle office reports and escalate breaches
Recognize model risk in ALM and VaR assumptions
Structure an ALCO paper with clear decisions
Recommend pricing, investment and funding actions for Bank A

Built on

Erudite Africa course specification: Topic 1.g Treasury and Forex Management, Level 2 Intermediate (October 2026)
Erudite Africa: Training Module, Ethiopian Context, programme overview and regulatory register (October 2026)
National Bank of Ethiopia Proclamation No. 1359/2025 and NBE Monetary Policy Committee release No. 7 (13 July 2026)
NBE directives as listed in the lessons: FXD/01/2024, FXD/04/2026, FXD/05/2026, SBB/92/2024, SBB/95/2025, SBB/96/2025, NBE/INT/13/2026
NBE Risk Management Guidelines (May 2010)

Examples and companies are fictional. Bank practices are shown as typical Ethiopian practice, not as any one bank's policy. Always apply your own institution's approved policy and the current NBE directives.