Content

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

• The core concept: transfer prices for interest and liquidity
  Fund transfer pricing method and transfer pricing systems to illustrate the net interest yield
  Separating interest risk and liquidity risk
  Setting up and managing a consistent liquidity gap including all products, determining liquidity costs
  New approaches to the systematic P&L and risk measurement in the liquidity book

• Risk measurement in ALM
  Accrual versus MTM risk and the total return concept
  Legal requirements for risk measurement (Basel II, CAD)
  VaR measurement for the banking book and setting up stress scenarios

• Managing interest and liquidity positions
  Dynamic assessment
  Analysing the possibilities based on the current yield curve structure and interest view
  Using classical products as well as derivatives to optimise RoR
  Simulating future results and risks

• ALM framework
  IFRS: principles and consequences
  Macro hedging under EU carve-out
  ICAAP consequences for the banking book
  Determining liquidity costs

Cyber*Preparation

• Financial mathematics
• Types of risk and modern risk management methods
• Capital market instruments
• Mark-to-market method
• ALM framework
• Legal framework

Target group

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