This training is provided by MORS Software partner Bearning.

Liquidity management is an important part of Assets and Liabilities Management (ALM). ALM must ensure a correct Interest rate risk management is an important part of Assets and Liabilities Management (ALM). ALM has to ensure correct mapping of all balance sheet items, including administered products without maturity. ALM also prepares the interest risk gaps, and assigns the correct internal rates (FTP). Administered products modeling has its own particularities, and at the same time it is necessary to be compliant with the applicable regulation (IRRBB).

Content

• Introduction to ALM – ALM responsibilities in a bank, relations to Treasury, market risk and risk controlling
• Identification of interest risk using FTP(IR), profitability calculation from interest gaps
• Managing interest risk in a bank:Methods for mapping the balance sheet items for interest risk management – replication portfolio for administered products and items without defined maturity 
• Interest gaps and measurement of interest risk
• Yield from balance structure, revaluation, dynamic management and related risks
• Regulation of interest risk – IRRBB (Interest rate risk of the banking book)
• Financial markets products for managing of interest risk: money market products (FRA, MM Future, OIS), fixed income products (interest rate swaps, bond futures)
• Examples and case studies from practice, excel-based calculations and explanations, Bearnig ALM model (IR part) on replication portfolio

Length: 1/2 day (17th February 2022
Difficulty: Expert
Price: EUR 290 + VAT