From the interest gap contribution to the MTM result
Integrating credit portfolio management into ALM

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.

Learning for the real world

• Interest and liquidity management converge with the trading book view
• 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
• Consequences of IFRS/IAS and possible solutions
• Credit risk as a new asset class 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
• ALM as the central asset allocation function of the bank
• 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
• Modern approaches to portfolio optimisation beyond Markovitz

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