Interest risk management alone is not enough anymore: 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. Additonal returns are expected from strategic asset allocation; making use of diversification effects is a challenge for the entire banking organisation.

_Learning for the real world

In which direction will interest and liquidity management develop?

• Interest and liquidity management converge with the trading book
• Cash flow result measurement in the interest and liquidity book
• Mark-to-market philosophy in the interest and liquidity book
• Stress tests for interest and liquidity risk
• Consequences of IFRS/IAS and possible solutions

How to integrate credit risk into ALM?

• Credit risk as a new asset class in ALM
• Transfer pricing models: pros and cons, feasibility, consequences for the organisation of tasks and responsibilities in the bank
• Products at portfolio level: CDS, securitisation, iTraxx
• Mark-to-market / mark-to-model for the credit portfolio
• Credit risk measurement using CVaR
• Should the credit portfolio management be integrated into ALM?

The case for strategic asset allocation

• ALM as the central asset allocation function of the bank
• Definition of asset classes
• Driver portfolio optimisation: reducing risk versus increasing returns
• Transparent risk return measurement of strategic asset allocation
• Setting up an optimal asset allocation
• Providing for general conditions (Basel II, risk-bearing capacity, risk organisation) when implementing a practical asset allocation
• ALM as part of the ICAAP process

_Target Group

• Asset and liability managers in the board and at department level
• ALM committee members
• Treasurers
• Risk managers
  
• Risk controllers