Managing interest and liquidity risk
Total return as a stepping stone from VaR to money at risk

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.

Learning for the real world

• Mark-to-market (MTM) method and transfer pricing systems to illustrate the net interest yield
• Separating interest risk and liquidity risk
• 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
• 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
• IFRS: principles and consequences
• Macro hedging under EU carve-out
• ICAAP consequences for the banking book
• Determining liquidity costs
• 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

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