IRRBB & ALM Balance Sheet Optimization Masterclass
Contemporary challenges in the Asset Liability management in banks
The role of the active management of the banking book in the banking industry is constantly growing. This is dictated by a heavily regulated landscape and increased competition for resources such as liquidity and capital. Given the market pressure, the relentless pursuit for the most efficient and productive use of a bank's resources subject to consolidated risk and return appetite remains of utmost importance for banks of all sizes. Consequently, strategic ALM can significantly improve financial performance by delivering a better balance between returns and risks across the on and off-balance sheet items.
- Understand the ALM role in a financial institution
- Gain knowledge of the IRRBB measurement techniques
- Gain knowledge on the IRRBB profitability enhancement strategies
- Overcoming the practical challenges related to the BCBS 368 requirement
- Gain knowledge on the pricing of liquidity
- Overview of the best practice in the Funds Transfer Pricing process
- Overview of the balance sheet optimization techniques
Details:
ALM Introduction and Overview
1. The evolving role of ALM in financial institutions
2. ALM role as a bank within the bank
3. ALM as a business unit
4. Maturity transformation as the main source of earnings
5. ALM - Zero-sum game
6. Creation and categorization of assets and liabilities in the banking book
7. Why is it important to transfer risks to ALM?
8. Development of ALM in the futureIRRBB measurement, management and strategies
1. Re-ricing Gap analysis as an important tool for the understanding of the IRRBB position of a bank
2. Measuring Net Interest Income (NII) risks with static and dynamic sensitivity analysis
3. Measuring Economic Value of Equity (EVE) and its sensitivity
4. Analysis of the interest rate shocks
5. Analysis of the impact of the automatic options on the EVE metric
6. Re-investment and re-funding risksCase study: calculation of the NII sensitivity and EVE volatility under different interest rate scenarios 1. Analysis of the basis risks
2. Analysis of the Credit Spread Risk in the banking book
3. Discounting with commercial margin and without external and internal view for IRRBB
4. IRRBB stress testing and capital allocationCase study: Case study: assessment of the basis risk through re-fixing gap analysis 1. Interest Rate positioning decisions are taken within ALM
2. Should we be able to increase risks to profit from expected market conditions?
3. Discounting with commercial margin and without external and internal view for IRRBB
4. Interest rate treatment of items without deterministic maturity
5. Structural hedging margin compression
6. Analysis of the IRRBB metrics
7. VaR calculation of interest rate risk in the investment portfolioCase study: Case study: analysis of the IRRBB metrics is the IRRBB well managed?
Case study: Basel Committee on Banking Supervision Standards and European Banking Authority detailed analysis of the requirements for IRRBB1. IRRBB metrics and shock scenarios
2. Treatment of automatic options
3. Treatment of behavioral options (CASA and prepayments)
4. IRRBB governance
5.Challenges with the BCBS 368 implementationIntroduction to the liquidity risk managed within ALM1. Maturity transformation as the main source of liquidity risk
2. Contractual vs behavioral maturity ladder
3. Short-term liquidity risk and liquidity metrics
4. Funding risk and medium long-term liquidity metrics
5. Liquidity buffer and counterbalancing capacity of a bank
6. What is the proper size of the liquidity buffer?Trade-off between hedging and funding strategies1. Impact of IRR and liquidity mismatches on NII
2. Important links for liquidity management and transfer pricing through ALM
3. Understanding the trade-off between profitability and risk - the real challenge of ALM analysisCase study: undertaking different hedging and funding strategies what happens?
1. Is it better to manage the ALM position through natural hedging or derivatives?Case study: Pros and Cons of the use of derivatives practical example
Summary of the main takeaway messages for the IRRBB and liquidity management through ALM
About The Trainer:
- A financial engineer with over 17 years of practical experience gained in international financial institutions such as GE Capital, Deloitte and Standard Chartered Bank and MeDirect Banking Group. Her background is strongly focused on Interest Rate Risk in the Banking Book (IRRBB), Asset Liability Management and Balance Sheet Management and she has spent most of her career enhancing ALM profitability and efficiency for a number of financial institutions. Holds a PhD in Finance from Wroclaw University of Economics. Her research publications have enjoyed strong reviews by academics and industry practitioners.
Request more details
Schedules
Build skills with experts anytime, anywhere. Keep up to date with the latest trends in your industry. Explore all of our courses and pick your suitable ones to enroll and start learning!
Hurry, Sale ends soon!
If you have any Queries about schedules Ask us here
More than 5 Participants ? Request for Corporate Training
