- Simulating the final definition of High Liquid Assets and LCR
- transfer pricing considerations resulting from Liquidity Buffers and from Funds for Deposit Gurarantee and Resolution
- considerations to fight additional regulatory cost with additional income
Over the course of three days teams of participants are responsible for the asset liability management. They manage the interest gap contribution and RoR of their bank, taking into account the prevailing framework and the influences of risk and return.
- The ALM core concept
Transfer pricing to illustrate the net interest income; fund transfer pricing method; separating interest risk and liquidity risk; organisational setup of ALM, interest and liquidity risk management; determining the optimal ALM result
- Measuring and benchmarking liquidity risk
Setting up the maturity profile of all products of the balance sheet and the contingency funding plan; setting liquidity buffers; the meaning of stress scenarios and minimum liquidity (survival period); determining the maximum GAPs within structural liquidity; choosing the liquidity curve for pricing liquidity costs, covered bonds/ECB eligibility and consequences for liquidity costs; measuring the liquidity cost risk and the ILAAP process; adjusting the liquidity risk mangement to the new LCR-guidelines.
- Measuring and benchmarking interest risk
Mapping of the interest risk positions and validation thereof; setting up interest gaps and the interpretation of the interest risk (from new and existing business); accrual versus MTM and making use of the total return concept; measuring interest risk in the banking book: economically and regulatory, by going concern and by liquidation approach; determining stress scenarios and consequences for the risk-bearing capacity
- PC simulation of liquidity and interest risk management in the banking book
Dynamic result and risk management; managing liquidity and interest risk; analysing courses of action within low interest circumstances; using derivatives to optimise the risk return; analysing courses of action in liquidity risk management; using instruments in different market situations