_Solutions for calculating the total bank interest position
_The toolkit for measuring risk in the banking book
_Total return as a stepping stone from VaR to Money at Risk

_Story

Over the course of three days teams of participants manage the interest gap contribution and RoR in the asset liability management of their bank, taking into account the prevailing framework and the influences of risk and return.

_Learning for the real world

Solutions for the critical factors in the calculation of the total bank interest position

• MTM method
• Transfer prices for interest risk and the setup of model books
• Separating interest risk and liquidity risk

The toolkit for measuring risk in the banking book

• Accrual versus MTM risk
• Legal requirements for risk measurement (Basel II, CAD)
• VaR measurement for the banking book
• Setting up stress scenarios and risk measurement

Total return as a stepping stone from VaR to Money at Risk

• Dynamic assessment over one year
• Analysing the possibilities based on the current structure of your interest and liquidity positions and the ALM’s interest opinion
• Using classical products as well as derivatives to optimise RoR
• Simulating future results and risks

How to align P&L and cash management under IAS

• IFRS
• Fair value option in its practical application
• Basel II and ICAAP consequences for the banking book

Liquidity management and liquidity risk measurement and current Basel II issues

• Determining liquidity costs
• Incorporating products with undefined capital commitment into the capital commitment balance sheet
• New approaches in the systematic measurement of results and risks in the liquidity book

_Target Group

• Asset liability managers
• Members of ALM committees
• Treasurers
• Risk controllers