Content

Interest risk management alone is no longer enough: liquidity management has become a top priority. In order not to fall behind the competition, credit risk needs to be integrated into asset liability management. Additional returns are expected from strategic asset allocation; using diversification effects is a challenge for the entire banking organisation.

• State-of-the-art in interest and liquidity management in ALM
  MTM valuation in the interest and liquidity books
  VaR as a ratio in interest and liquidity risk measurement
  Stress tests for interest and liquidity risk
  State-of-the-art in liquidity management

• Pooling and management of credit risks in ALM
  Transfer pricing models: pros and cons, feasibility, consequences for the organisation of tasks and responsibilities within the bank
  Products at portfolio level: CDS, securitisation, iTraxx
  Mark-to-market for the credit portfolio
  Credit risk measurement using CVaR
  Credit portfolio management in ALM

• Strategic asset allocation
  Definition and selection of asset classes
  Portfolio optimisation
  Transparent risk/return measurement of strategic asset allocation
  Providing for legal and internal conditions (Basel II, risk-bearing capacity, risk organisation) when implementing individual asset allocation

Cyber*Preparation

• Total bank management: concept, ratios, separation of customer and risk business
• Interest risk management in the banking book
• ALM Committee: composition and responsibilities
• Interest rate swaps: usage and applications
• Solvency guidelines and determining equity
• Risk measurement basics: duration and PVBP, VaR concept
• Credit risk management basics: credit risk measurement and instruments (ABS and credit derivatives)

Target group

• Asset liability managers at board and departmental level
• Treasurers and ALM committee members
• Risk managers and risk controllers