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


  • Liquidity transfer prices – the heart of bank management

Principles and consequences of the EBA guidelines “Liquidity Cost Benefit Allocation”, liquidity transfer prices to explain the net interest income; Methods for determining liquidity transfer prices; Differentiation of the liquidity risk result from the overall bank result; the organizational structure of the ALM and the control of the liquidity risk in the accrual and present value view

  • Liquidity Risk Management – Products and Applications

Conventions, pricing, valuation and possible uses in ALM liquidity risk management of repos, cross currency swaps and covered Bond issues

  • Determination and measurement of the liquidity risk

The mapping of the liquidity risk positions and the validation of the mapping; the capital commitment balance sheet and the interpretation of the liquidity risk contribution (from new business and historical); Accrual versus present value and the use of the total return concept; Creation of the capital commitment balance sheet and the contingency funding plan; the determination of liquidity buffers; the importance of stress scenarios and time to wall / survival period, risk measurement and the management of liquidity risk; economic and regulatory (ILAAP); going concern and liquidation approach; the determination of stress scenarios and the consequences for the risk-bearing capacity

  • LCR and NSFR

Legal requirements regarding liquidity ratios in Pillar 1; LCR influencing variables and steering options, the effect of repos in LCR management, the determination and consequences of liquidity buffer costs in the customer calculation and in the ALM result, NSFR influencing variables and steering options, consequences of NSFR for liquidity manageemnt, determination and offsetting of NSFR costs and consequences for product calculation .

  • Steering consequences of MREL / TLAC and asset encumbrance

MREL and TLAC requirements, MREL / TLAC consequences for the institutions’ own funds requirements, eligible instruments, current status with regard to the limitation of asset encumbrance, asset encumbrance steering concept