The financial crisis laid bare flaws in quantifying and managing risks in the banking system which led to new challenges. Asset liability management (ALM) in particular has become a most vital part in every bank.

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Central banks and supervisory authorities are calling for sustainability risks to be taken into
account in banks‘ risk management and in monitoring financial market stability. This means
that banks are required to systematically take ESG (Environment / Social / Governance) risks
into account when aligning their business models in their organizational structures, as well
as continuously recording and managing ESG risks and their effects on capital / earnings and
liquidity.
The new EBA action plan (EBA „Discussion Paper on Management and Supervision of ESG
Risks for Credit Institutions“ January 2021) and the corresponding ECB guidelines („Guide
on climate related and environmental risks“ November 2020) are clear signs that the current
focus of supervision is on managing ESG risks.

We are looking forward to receiving your feedback! Please send your questions and suggestions to Patrick Haas
haas[at]financetrainer.com.

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We now have a special issue for you:

  • This booklet with 8 of the most important interest risk strategies
  • A link to the i28 Interest Risk Simulation in order to apply ALM interest risk strategies in practice
  • An “i28 Proof of Achievement” at the end of the i28 Tutorial to prove your strategy knowledge

We are looking forward to receiving your feedback! Please send your questions and suggestions to Patrick Haas
haas[at]financetrainer.com.

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In CRR II, the Commission is making the specification of the requirements for the NSFR. After the proposal was approved by the Council on June 7th, 2019 (EU 2019/876) and the new provisions become mandatory two years after its adoption, the standard will be mandatory for banks to report and comply with from July 2021. It should be noted that this is an EU regula-
tion and therefore, this period applies directly in all member states.

In this article, we would like to deal with the amount of additional costs in the calculation led by the NSFR and present appropriate approaches.

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haas[at]financetrainer.com.

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On 19 July 2018, the EBA adopted its final guidelines on minimum interest rate risk management standards in the banking book („Guidelines for the Management of Interest Rate Risk arising from non-trading book positions“ EBA/GL/2018/2). In this article we want to focus on the impact of interest options and the methods for taking into account implicit and explicit options in the risk measurement. Doing so, it is possible to clarify – with respect of prudential supervision – the amount by which interest rate option increase or reduce the risk in the banking book and, if so, redefine the bank‘s interest rate risk strategy.

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On 19 July 2018, the EBA adopted its final guidelines on minimum standards for interest rate risk management published in the banking book („Guidelines for the Management of Interest Rate Risk arising from non-trading book positions“ EBA/GL/2018/2).

In this article, we will try to give an overview of the requirements that the IRRBB implementation 2019 entails.

We are looking forward to receiving your feedback! Please send your questions and suggestions to Patrick Haas haas[at]financetrainer.com.

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Interest rate risk management in Asset Liability Management / ALM – is it worth the effort? Does the interest rate risk have a significant effect on the bank‘s earnings? The supervisor says YES – intensifies the regulations and warns against rising interest rates. We also say YES – because every risk has also a potential to improve profits. In this article, we try to quantify the earnings potential of a (conservative) interest rate risk management and we describe the prerequisites and resources for raising the potentials.

We are looking forward to receiving your feedback! Please send your questions and suggestions to Patrick Haas at haas[at]financetrainer.com.

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