Fundamentals of Asset & Liability Management
Participants recap the fundamentals such as forex, money markets and fixed income, learn the organization of ALM, economic capital & ICAAP as well as the key regulatory developments.
Interest Rate Risk in the Banking Book
Participants master the metrics for earnings and the economic capital impacts. They gain expertise about macro hedges of IRRBB & stress testing using the ALM-PRO Model and discuss recent market failures.
Structural Forex Exposures
Participants study the forex risk in structurally vulnerable currency environments, gain profound knowledge in banking book forex risk scenarios, as well as hedging strategies simulated with the ALM-PRO Model.
Counterparty & Portfolio Credit Risk
Participants broaden and deepen their understanding in expected vs. unexpected losses, correlation metrics and portfolio stress testing. They simulate portfolio stress events on the ALM-PRO platform and discuss the Financial Crisis Post Mortem.
Participants gain a better understanding in ratios, maturity gap, funding matrix, stress testing and deposit prolongation behavior analytics. Further, they review the Basel 3 Liquidity Guidance (LCR & NSFR) and model liquidity stress under various trigger scenarios as well as ILAAP.