• The consequences of Basel 4 for the ALM pillar 2 risks
  • Asset encumbrance and the consequences for liquidity management
  • Final LCR provisions and cost effective HLA management

Interest Risk Management alone is no longer key: Liquidity Management and Total Bank Management need to be integrated into the ALM. Even after the launch of Basel 3, regulation is constantly changing and creating more and more precise limitations to ALM Management. Through a PC simulation you can experience the consequences and get a feeling for the future room for action.

Interest- and Liquidity Management – updated

  • Total return Management for Interest- and Liquidity risk; Separating interest rate-, liquidity- and credit spread risks in the banking book
  • Model Books for transfer prices as the centerpiece of the Total Bank Management; Management input from mapping undefined maturity positions and interest-free assets/ liabilities; Model Books for customer products with no contractual interest and / or capital commitment (maturity, currency, soft options)
  • Final implementation of the LCR in the EU (10/14); consequences for the product design and structure of the bond portfolio – simulation; ILAAP questions and answers
  • Asset Encumbrance and different Asset Encumbrance Ratios. Impact of unsecured funding and of overal-collateralisation. Impact of common capital market instruments on Asset-Encumbrance – simulation.

New EBA Guidelines and the Basel 4 proposal for the banking book

  • ALM implications of new EBA Policy (05.2015); expected restrictions on the management of the interest rate risk in the banking book
  • Basel 4 / Market Risk: proposals for the re-calibration of the standard approaches for market risk and impact on the risk measurement of ALM in the pillar 2; Proposal for the measurement of the credit spread risk
  • Basel 4 / Replacement Risk: Proposal for the re-calibration of the standardized approach to capital adequacy of replacement (SACCR), Impact on Risk Weighted Assets and the CVA calculation

SREP Requirements and EBA Risk Dash Board

  • Risk policy and -strategy as framework of Total Bank Management; Medium-term planning of risk and return to ensure adequate capital; Re-allocation tasks in the ICAAP process
  • Capital measures for reallocating and reducing RWA
  • Organization and tasks of ALM in Total Bank Management

PC simulation for advanced ALM management: application of ALM instruments to manage risk and return; limitations under net present value and IFRS evaluation criteria; Optimizing the risk / return ratio in the ICCAP process.