Course dates
A 4-day course covering:
- Using EAR and EVE to measure IRR
- Measuring liquidity cash flow coverage and survival horizons
- Managing interest rate risk
- Managing liquidity risk
- Best practice risk reporting
- Contingency planning
- Meeting requirements for regulatory compliance
The course is designed to combine theory and global best practice.
The course will explore its issues and its challenges for both bankers and regulators. The course will emphasise practical advantages and disadvantages of risk measurement and management tools and techniques. Samples of best practices risk reports will be provided.
Course knowledge will be reinforced through a workshop and a course review. Basic knowledge in risk management, control and statistics is required. Active participation of the class is necessary to benefit from the full value of this programme.
The case studies will give you real life examples of the theories covered in the lectures, giving you a greater understanding of the course topics. The same sample bank is used for most risk measurement, reporting and hedging examples to enhance examples and comparisons.
All delegates will receive comprehensive course documentation for use before and during the programme. This will enable you to return to your organisation with an extensive and valuable source of information for future reference.
Who should attend?
- Group Treasurers
- Accounting and Finance Managers
- Asset Liability Managers
- Liquidity Managers
- Risk Managers and Risk Controllers
- Risk Officers
- Auditors and Bank Regulators
Teaching methodology
- The course is designed to provide a mix of concepts with practical applications
- Course material and organisation begin with fundamentals and proceed to advanced concepts
- Heavy emphasis on data and algorithm limits on quantitative modelling
- Case study exercises based on real-world examples
Day 1
Risk Overview
- What is Risk?
- What is ALM?
- Financial risks in banks
- Interest rate risk overview
- Liquidity risk overview
- Recent global ALM developments
Measuring Interest Rate Risk
- Gap analysis
- Earnings at risk
- Duration and Duration of Equity
- Economic Value of Equity
- VaR part 1
EAR and EVE group exercises
Modelling Interest Rate Risk
- Deterministic vs. Stochastic modelling
- Choosing target variables
- Choosing scenarios
- Yield curve smoothing and term structure models
- Developing assumptions
Difficult Volumes
- Developing assumptions
- Deposits with indeterminate maturities replicating portfolios, OAS and more
- Administered rate loans
- Non-interest income and non-interest expense
Day 2
Measuring IRR Methodology Summary
- Thought experiment to test understanding
- Comparing and contrasting approaches
- Best practice
Measuring Liquidity Risk
- Ratios
- Cash flow forecasts
- Developing assumptions
- Best practice liquidity risk measurement
- New regulatory measures
Scenarios and Stress Levels
- Choosing scenarios
- Choosing stress tests
- VaR
- A framework for scenario assumptions
Effective Risk Modelling
- Data issues for IRR modelling
- Data issues for liquidity risk modelling
- Choosing models
- Using models
- Back testing your earnings forecast and components
- Back testing EVE components
- Model risk
Testing Understanding
Day 3
Effective Risk Governance - Concepts
- Risk appetitive
- Best practice governance
- Risk culture
- Risk strategies
Effective Risk Governance - Practice
- Risk limits
- Making ALCO effective
- Best practice IRR and liquidity policy reporting
- Contents of a best practice rate risk policy
- Contents of best practice liquidity risk policy
- Oversight, internal control and audit
Managing Interest Rate Risk
- Without derivatives
- With derivatives
- Optimising EaR and EVE
Mini Case Studies: Alpha Bank (Russia), Northern Rock (UK), Bear Stearns (US), Indy Mac (US), Bank of East Asia (HK), Wachovia (US)
Managing Liquidity Risk
- Cash flow profiles
- Liquid assets
- Diversification
- Lessons learned from the 2007-2008 crisis
Day 4
Practical Stress Testing
- Interest rate risk
- Liquidity risk
- VaR
Liquidity Contingency Planning
- Plan objectives and administrative requirements
- Key risk indicators
- Invocation and escalation
- Defining scenarios
- Scenario duration
- Defining severity
- Identifying and estimating secondary sources
- Linking to stress testing
- Internal and external communication
- Event management committee
- Roles and responsibilities
- Plan testing
Overview of FTP, Liquidity FTP and RAROC
- FTP basics
- Overview of FTP for interest rate risk
- Overview of FTP for liquidity mismatch risk
- Overview of FTP for liquidity contingency risk
- Introduction to RAROC
Basel III Liquidity Risk Requirements
- Net stable funding ratio
- Cash flow coverage ratio
Testing Understanding
- Review of risk measurement
- Review of risk management
Liquidity War Game Class Exercise
Course summary and close
Istanbul Hotel, Istanbul, Turkey
This programme takes place on a non-residential basis in a central Istanbul Hotel. Non-residential course fees include training facilities, documentation, lunches and refreshments for the duration of the programme. Delegates are responsible for arranging their own accommodation.
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Leonard Matz
Leonard Matz, is an author, and bank trainer specialising in risk management and ALM for financial institutions. Previously, he spent five years as a bank examiner and fifteen years in various bank management positions.
Leonard is the author and co-author of numerous risk management and investment books, including Liquidity Risk Measurement and Management: A Practioner's Guide to Global Best Practice, Liquidity Risk Management, Risk Management for Banks, Interest Rate Risk Management, and Self-Paced Asset/Liability Training. He is a frequent speaker at industry conferences and training programmes around the world and has been a member of the North American Asset / Liability Management Association since 1989.
Interested in holding this course in-house? Please fill out your details and a member of our team will be in touch with more information.
Course dates