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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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.

We are looking forward to receiving your feedback! Please send your questions and suggestions to Patrick Haas
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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.

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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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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The ECB has published its ICAAP consultation guide and urges for implementation: the guide will be finalized in the second half of 2018 and enforced in 2019 already as the basis of the banks’ SREP assessment. Thus, the banks must implement it in 2018.

This also means the consideration of future legal projects within the ICAAP planning and in the stress case analysis. Conclusion: Control in the 99% confidence interval is long history and the Basel 3 maxim „Control under stress“ is replaced by „Control under stress – today and in the future“.

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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