FTP and All-In Loan Pricing
Build a bank's all-in transfer price from the ground up
Most pricing models hide their assumptions. This course opens the box: you'll build the funding curve, add the liquidity term structure and buffer cost, layer in expected loss and the capital charges for credit risk and IRRBB — then use the full stack to manage the banking book and price incrementally on a live balance sheet.
Intermediate · 9 phases · 56 lessons · 18 labs · 12 deep dives · 10h 43m · Instructors: André Camatta & Diogo Gobira
What You'll Learn?
Build the Risk-Free Reference
Bootstrap the base curve from market quotes, choose the benchmark, and read a deal's base leg — including thin and soft-currency markets.
Price Term Liquidity
Turn the liquidity gap and the prospective funding mix into a term liquidity premium that reflects real rollover risk.
Credit the Deposit Franchise
Behavioralize non-maturity deposits, calibrate beta and runoff on real history, and pay the franchise exactly what it is worth.
Cost the Liquidity Buffer
Size the contingent buffer against the LCR floor and charge it tiered by funding source, instead of one flat rate for everyone.
Price Embedded Optionality
Prepayment, drawdown, rate locks, caps and floors — priced as the options they are, not absorbed silently by Treasury.
Assemble the Complete Price
Stack credit expected loss, operating cost, taxes and capital for credit and IRRBB into one governed, defensible transfer rate.
See the Course Before You Enrol
André Camatta introduces the problem FTP exists to solve, the seven layers that build the all-in break-even price, and how to pick your depth — core lessons, labs, or deep dives.
The Most Hands-On FTP Training on the Market!
Pre-Sale — US$ 499On-Demand Videos
56 core lessons across nine phases, structured to be watched in order or revisited on demand.
18 Interactive Labs
Every price you learn is computed and drawn — curves, gaps, spread fans, waterfalls and decision packs.
The FTP Calculator
Profile in, decomposed price out — the same companion code from the course, running in your browser.
12 Deep Dives
Optional advanced tracks — model calibration, xVA, collateral, encumbrance and the managed transfer rate.
One Balance Sheet Throughout
Every rate in the course is priced on Avelmont, a single 40bn bank you get to know from the maturity ladder up.
Lifetime Access
Revisit lessons, labs and the calculator anytime — including future updates to the material.
Who Should Attend
This is a build-it-yourself course. It's written for the people who own the mechanics of the internal price — the curve, the components, the engine, the deal-level output.
ALM and Treasury
You own the FTP framework and have to defend every basis point of it to the business.
Liquidity and IRRBB
You build term liquidity premiums, buffer allocation and behavioural assumptions, and have to turn them into a price.
FTP desks
You run the engine day to day: rate assignment, curve maintenance, exceptions, reconciliation.
Pricing and product
You need to know what sits inside the internal rate you're quoted, and where the negotiating room actually is.
Credit and capital
You want expected loss and capital charges landing in the loan spread, not in a separate report.
Validation and audit
You review FTP methodology, its assumptions and the incentives it creates.
System implementers
You configure FTP modules and need the economics behind the parameter screens.
Supervisors
You assess how banks build, govern and apply internal transfer prices.
Meet our instructors
André Camatta
Develops and implements Funds Transfer Pricing models in banking
André Camatta develops and implements the Funds Transfer Pricing models at BNDES — funding curves and funding spreads, term liquidity premium, behavioural modeling, buffer cost allocation, and funding mix projection and optimization — and prices and estimates risk across the bank's product range. He holds specializations in Actuarial Science and in Data Science & Analytics, works extensively in Python and Julia, and applies machine learning across his modeling work. He came to the quantitative desk after equity research and portfolio management, and more than a decade in database and systems engineering. He writes and maintains Pílulas de Quant, a blog on advanced problems in quantitative finance.
Diogo Gobira
Designs and implements ALM and FTP frameworks for banks
Diogo Gobira designs and implements ALM and Funds Transfer Pricing frameworks for banks — transfer pricing architecture and governance, IRRBB measurement and hedging, portfolio optimization, and the integration of funding, liquidity and capital costs into balance sheet decisions. He holds an MSc in Mathematical Finance from IMPA and served as Market Risk and Quantitative Modelling Manager at BNDES. He co-founded Financial Risk Academy, which delivers advanced training and consulting in ALM and balance sheet optimization, and teaches Strategic ALM in the BTRM Certification.
Certificate
Boost Your Career with Our Exclusive Certificate
Showcase your command of Funds Transfer Pricing with a certificate that evidences hands-on work across the full transfer-price stack — funding curve, liquidity premium, deposit franchise, buffer cost, optionality and capital.
Pre-Sale — US$ 499
Course Objectives
Every loan a bank makes and every deposit it takes is priced against an internal transfer rate. Get that rate wrong and the bank rewards luck instead of skill — the business books margin that belongs to Treasury, and Treasury carries risk nobody paid for. This program builds a bank's internal transfer price one component at a time, on a single balance sheet used throughout: risk-free reference and funding curve, term liquidity premium, deposit franchise credit, contingent buffer cost and embedded optionality, credit, operating cost, taxes, and capital for credit risk and IRRBB. Participants then manage the banking book, run the pricing engine, price incrementally on a live balance sheet, and set the governance that keeps the rate defensible.
Course Curriculum
What People Are Saying
Trusted by banking and risk professionals from leading institutions worldwide.
I can't speak highly enough of my experience in taking Diogo and Lucas' course on ALM modelling balance sheet optimization. The course has certainly exceeded my expectations, providing me with not only a stronger understanding of the balance sheet and optimization process but a strong foundation in coding using Julia.
Shane Dolan
Senior Manager, Group Treasury - Commonwealth BankDiogo Gobira and Lucas Processi have put together a wonderful course presenting a fresh take on ALM and optimization of the balance sheet. I honestly believe the material presented in this course will eventually lead to new software in this space. By taking this course, you'll have a leg up on the rest of the job market.
Brent Ritterbeck
ALM ExpertNo doubt in saying that it is one of the best courses in ALM and Balance Sheet Optimization. The course curriculum is very structured and highly practical oriented. Given Diogo's and Lucas's rich industry experience, they provided us with real-world examples. I recommend it to everyone working in ALM, Liquidity Risk, IRRBB and Risk Analytics.
Kumar Ravi
Director - Risk Analytics at Solytics PartnersLet's be honest.. most internal bank trainings are designed to tick compliance boxes, not to build real capability. This course is different. It's hands-on, intellectually demanding, and fully aligned with the actual challenges ALM teams face. This course transformed how I approach ALM.
Mamdouh Alomari
ALM Manager - Saudi BankThe work of Gobira and Processi in the field is truly unique, as they provide an integrated and practical framework for addressing these challenges. Beyond theoretical discussions, they provide quantitative applications that can be considered state-of-the-art in both academic and market contexts. I am fascinated.
Guilherme Lamounier
Treasury ExpertOver the past 12 weeks, I had the opportunity to complete the certification "Building an ALM & Balance Sheet Optimization Model" with Financial Risk Academy — a program that goes far beyond theory, bringing real-world ALM challenges into a fully executable optimization framework. Special thanks to Lucas Processi and Diogo Gobira for designing one of the most practical and forward-looking programs in ALM and balance sheet modeling.
Juan Martin Erazo Morales
What our students are saying
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 BankExcellent videos. Great teaching.
Pedro Henrique de Mello Lula Mota
Portfolio Manager, VeriosCongratulations Diogo Gobira, as always, your courses are sensational and well-structured.
Denis Pereira
Head of Risk, Modelling and Research, FGCVery good introductory course to R!
Vitor Magalhaes Silva
Chief Advisor Market Risk, National Bank of CanadaA practical course, no beating around the bush, no hiding any information. I'm a student in the ALM course, and despite the inherent difficulty in this subject, I'm managing to keep up with the course. Highly recommend!! These guys are good.
Adilson Moraes da Costa
Owner, Logica Actuarial ConsultingA very good course. I plan to watch the classes with the codes again and try to execute in the same order. Julia programming. Definitely, the practice is the highlight.
Carlos Bandeira
Executive Manager of Market and Liquidity Risks, BanrisulAny questions?
Check out the FAQs
Still have unanswered questions and need to get in touch?
Still have questions?
Whatsapp usThe pre-sale gives you the full course at a 50% discount off the regular price of US$ 999 — US$ 499 in total. The discount code FTP-50 is applied automatically when you click through to checkout, so there is nothing to type. You secure your seat now and get access as soon as the course opens, plus every update we ship afterwards. This is a limited-time launch offer and will not be available once the course is fully released.
The classes are recorded, but live sessions are offered at significant milestones in the course, tailored to each cohort.
10 hours and 43 minutes of recorded content across 87 lessons — 56 core lessons, 18 interactive labs and 12 deep dives, organized into nine phases. Videos are short and focused, most between 5 and 13 minutes.
A lab computes and draws what the lesson just explained — the curve, the gap, the spread fan, the price waterfall — on the course balance sheet, so you see the numbers move. A deep dive is an optional advanced track for anyone who wants the calibration or the theory behind a choice: where the deposit parameters come from, how the wholesale spread model is fitted, collateral and xVA, and so on. You can complete the course without the deep dives.
The course is pitched at an intermediate level. You should be comfortable with basic banking and treasury concepts — a balance sheet, a yield curve, what a deposit and a loan are. Programming is not required: the labs and the FTP Calculator run in your browser, with nothing to install.
Yes. The same companion code that powers the labs and the FTP Calculator is provided to students for personal and institutional use. Distribution to third parties on the internet is not permitted.
No. Students have access to the course with no time limit. We understand that each person has their own pace and goals, so you can complete the material whenever it suits you best.
Students can ask questions and share with their cohort through the forums in each lesson. For more specific queries, the instructors can also be reached via direct message.
After completing your payment, you'll receive login credentials via email. All courses are hosted on our learning platform (Teachable), accessible from any browser — no software installation required. Please contact us if you have any trouble logging in to Teachable.
We accept all major credit and debit cards (Visa, Mastercard, Amex), as well as Apple Pay, Google Pay, and Link — all processed securely through Stripe. If you prefer to pay via international wire transfer, PayPal, or another method, contact us directly and we'll arrange it manually.
We are currently working on installment plans through Stripe. In the meantime, if you need a flexible payment arrangement, reach out to us via WhatsApp or email and we'll find a solution.
Yes. Upon completing all phases, you will receive a digital certificate of completion issued by the Financial Risk Academy.
Yes, we offer special pricing for corporate teams, academic institutions, and group enrollments. Contact us via WhatsApp or email to discuss a tailored arrangement for your organization.
Our Courses
Advanced training, proprietary tools, and strategic partnerships across financial risk management disciplines — from basic risk management to advanced balance sheet optimization.
FTP and All-In Loan Pricing
Build a bank's all-in transfer price from the ground up. Most pricing models hide their assumptions — this course opens the box: the funding curve, the liquidity term structure and buffer cost, expected loss, and the capital charges for credit risk and IRRBB. Then use the full stack to manage the banking book and price incrementally on a live balance sheet.
Instructors: André Camatta & Diogo Gobira
ALM & Balance Sheet Optimization
Master the full cycle of strategic Asset-Liability Management. Learn to build a balance sheet optimization model using stochastic dynamic programming — covering contract modeling, ETLs, risk constraints, liquidity management, and capital optimization. Written by the authors of the Moorad Choudhry Global Banking Series.
Instructors: Diogo Gobira & Lucas Processi
Introduction
Credit Risk Modeling — Introduction
A comprehensive introduction to the key concepts, modeling techniques, and management challenges in credit risk — at both the transaction and portfolio levels. Topics include PD/LGD/EAD modeling, CECL, credit stress testing, loan rating systems, and portfolio-level risk analytics.
Instructors: New Frontier Analytics
Advanced
Credit Risk Modeling — Advanced
This course will provide a rigorous and practical framework for understanding, modeling, and managing credit risk across the full spectrum — from individual transaction assessment to portfolio-wide risk analytics. Developed in partnership with New Frontier Analytics, a leading model development and validation firm based in the United States.
Instructors: New Frontier Analytics
Introduction to Interest Rate Risk in the Banking Book
Part of the ALM Bootcamp — 72 lessons across 12 modules, anchored in BCBS d368 and the 2024 recalibration. A practical foundation in IRRBB measurement, supervisory standards, and the metrics regulators actually look at.
Instructors: Diogo Gobira & Lucas Processi
Worldwide community
Our students come from all over the world, representing all five continents, diverse cultures, and unique backgrounds. This global community brings a rich exchange of perspectives, making the learning experience even more dynamic and enriching. No matter where you're from, you'll be part of an international network of professionals, all united by a passion for mastering ALM and financial optimization
