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ALM and Structural Risks

COURSE OBJECTIVE

Course to improve investment and financing decision-making in financial institutions as well as to measure and manage the structural risks of the balance sheet, such as interest rate risk, exchange rate risk and liquidity. The COVID-19 crisis will force entities to rethink strategies in the short and medium term, to review contingency plans, to optimize cash positions, to create new deposit models with defined maturities and, if possible, to monitor in real time. deposits, credit lines and collaterals.

Another big challenge for the banks' ALM department is the implementation of the Libor transition and the complex creation of the yield curve to value interest rate derivative positions and asset and liability positions. Therefore, the course addresses the following points:

 

  • Address good practices to mitigate and measure the impact of COVID-19 on ALM.

  • Show the most recent methodologies, strategies and techniques to manage and quantify the structural risks of a bank's Balance Sheet.

  • The recent Basel IV standard approach guidelines for measuring interest rate risk in the banking book (IRRBB) and the requirements for an internal model have been included.

  • Explanation of the impact and implementation of the Libor transition.

  • Tools to create the yield curve with the new reference rates, SOFR in the US and €STER in the EU.

  • Methodologies to measure interest risk are explained, and mitigate it through micro and macro hedges with futures and options.

  • Methodologies to estimate the Economic Value EVE, NII, NIM and EAR are shown. Best practices for implementing both a dynamic repricing GAP and a cap system are explained.

  • The Structural VAR of the exchange rate and variable income in the field of the banking book is explained.

  • Models of prepayment behavior, indefinite maturity deposits and withdrawals of lines of credit are taught under the new post-COVID-19 normality.

  • Liquidity risk management and measurement methodologies are exposed. In addition, Basel III regulatory requirements on liquidity and leverage are included.

  • The optimization of balance sheet positions under post-COVID-19 scenarios is explained in detail.

  • The main FTP and LFTP price transfer systems are explained in detail.

  • The integration of ICAAP and ILAAP is explained.

  • Stress testing models of interest risk and liquidity risk are shown.

 

WHO SHOULD ATTEND?

 

The Course is aimed at ALM professionals, CFOs, Risk managers, Treasurers, analysts, pension fund managers, auditors, controllers, regulators and compliance staff.

 

 

Testimoniales Internacionales

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Price: 7.900 €

Schedules:

  • Europe: Mon-Fri, CEST 16-20 h

 

  • America: Mon-Fri, CDT 18-21 h

  • Asia: Mon-Fri, IST 18-21 h

 

 

 

 

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Level: Advanced

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Duration: 30 h

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Material: 

Presentations PDF

Exercises in R, Python, SAS and Excel

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AGENDA

ALM and Structural Risks

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Modular Agenda 

LIBOR TRANSITION

 

​Module 1: Transition from LIBOR to Reference Replacement Rates

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  • The disappearance of Libor / Ibor

  • Libor manipulation

  • RFRs, or risk-free ratios

  • Existing Libor Indices and Proposed Alternative Indices

    • Europe

      • ESTER (‘Euro short-term rate’)

      • Hybrid Euribor

    • USA

      • SOFR (‘Secured overnight financing rate’)

      • Effective Federal Funding Rate

  • Spread between EONIA and ESTER

  • transition phases

  • financial impacts

  • ISDA protocol

  • Changes in risk factors: yield curve and volatility

  • OTC derivatives pricing

  • CCP Trades

  • Impact on xVAs

    • FVA analysis

  • Impact of financial instruments

  • Impact on interest rate derivatives: caps, floors and swaptions

  • New calibration models

  • Management of possible interest rate, market and counterparty risks

  • Impact on IFRS 9: hedging accounting

  • Volatility in the income statement

  • Impact of COVID-19 on the Libor transition

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