Over three days of seminars, the building blocks for state-of-the-art ALM interest rate risk management will be presented, discussed and implemented using simulations in the field of tension between risk and return.

  • Interest transfer prices – the heart of bank management

Interest transfer prices to explain the net interest income; Methods for determining interest transfer prices; Delimitation of the interest risk result from the overall bank result; the organizational structure of the ALM and the management of the interest rate risk in the accrual and present value view

  •  Interest rate risk management – products and possible uses

Conventions, pricing, valuation and possible uses in ALM interest rate risk management of plain vanilla swaps, forwards start swaps, EONIA / OIS swaps and basis swaps

  •  Components of the customer calculation and influence on the ALM result

Methodological approaches and their consequences for the determination and interpretation of the customer calculation and ALM result for liquidity costs / standard risk costs / equity costs / unit costs

  •  Determination and measurement of the interest rate risk

The mapping of the interest rate risk positions and the validation of the mapping; the determination of the fixed interest rate balance sheet; Interest rate curve, interest rate expectations and management impulses for optimizing the interest gap contribution; Interest accrual versus present value and the use of the total return concept; Basic risk and the consequences for customer business; Implicit interest options, pricing, influence on customer results and influence on the risk management; Risk measurement and the control of the interest rate risk; Interest rate risk measurement in the banking book: economic and regulatory; according to going concern and liquidation approach; the determination of stress scenarios and consequences for the risk-bearing capacity; Pricing of customer flows and risk presentation

  • Interest Rate Risk in the Banking Book (IRRBB EBA Guidelines)

Legal requirements regarding interest rate risk measurement in Pillar 2 (ICAAP); Levels of interest rate risk measurement taking proportionality into account; Legal requirements for determining the fixed interest rate for other assets / liabilities and consequences for the management, specifications for the determination of the stress scenarios, consideration of implicit and explicit interest rate options in the risk measurement and management, influence of the interest rate risk on the capital adequacy (SREP surcharges)

  •  IFRS 9 – Hedge Accounting and Value Adjustments

IFRS requirements for hedge accounting, fair value and cash flow hedges, micro / portfolio and macro hedge accounting, IFRS hedge accounting consequences; Expected loss as the basis for determining the value adjustments under IFRS9