Page 8 - MONECO Financial Training Catalogue
P. 8

        DATES: September 8 – 10, 2020 • PRICES: € 1,755 In-class, € 878 Online • LOCATION: Prague, NH Hotel Prague and Online

        What are the principles and mechanisms of Asset Liability Management in banks?
        •  How to model and project        The purpose of this 3-day seminar is to introduce the principles and mechanisms of asset liability
          the balance sheet of the         management in banks. During these three days, we address all the issues relevant to this essential
                                           matter, from balance sheet modelling and projection to managing structural risks. These are illustrated
          bank?                            by a number of business cases and exercises that facilitate the assimilation of the concepts and
                                           techniques presented.
        •  What are the key                On day 1, we sketch the global functioning of the Bank, to position the “raison d’être” of the ALM
          equilibrium and the major        in regards to the business objectives and their interactions. Once the ALM’s role is defi ned, we
          threats?                         devise the resources and the organization required for a successful mission. This includes describing
                                           the ALM ecosystem, with its Steering Committee called the ALCO, the various teams and their
        •  How to classify and handle      responsibilities, from the valuation of fi nancial instruments to the management of balance sheet risks
                                           such as interest rate, liquidity and currency risks. Also, we learn how to transfer these risks to the
          balance sheet risks?             ALM using appropriate mechanisms and funds transfer pricing.
                                           Day 2 focuses on the techniques used for valuing assets and liabilities and measuring balance
        •  Are the regulatory and the      sheet risks. In order to value fi nancial instruments, we learn how to generate their expected future
          economic views coherent?         cash fl ows under various conditions. We discover how aggregating these cash fl ows and assessing
                                           possible future cash shortfalls form the basis for assessing balance sheet risks. We also look at
        •  What is expected from           applicable regulations (LCR, NSFR, IRRBB…) and put them in perspective with the economic reality.
          ALM managers?                    Issues related to options and credit risk (IFRS 9) are also addressed. A number of exercises and
                                           games facilitate assimilating these principles and techniques.
        •  When should management          Day 3 addresses the management issues related to ALM and operational matters. You learn how
                                           to control and mitigate risks, and a number of key questions are addressed: What risks should be
          actions be triggered?            taken? Up to what level? How to hedge risks? How does ALM relate to risk management and to risk
                                           budgeting and risk appetite? What is expected from ALM professionals and how do they interact
        •  What can we learn from          with other functions in the bank? Finally, we look at the current matters ost rates, the resolution fund
          passed crises?                   and new technologies.
                                           We fi nish the seminar with a series of exercises/games aimed at rehearsing all the major elements
        •  What are the current            learned during these three days: The role and the positioning of the ALM, assets valuation principles,
          issues?                          balance sheet risks identifi cation, measurement and management, applicable regulations, and fi nally
                                           current concerns.
        TUESDAY, SEPTEMBER 8               12 –13 15                           Regulatory Modelling
        09 – 09 15                          Lunch                              •  Exposure to Balance Sheet risks
         Welcome and Introduction          13 –16 30                             –   Interest rate and liquidity gaps
        09 –12 15                           Balance Sheet Risks Framework        –   Behavioral Modelling Principles
         The ALM in the Bank                Funds Transfer Pricing             •  Regulatory Calculations done by the ALM
         A Global View of the Bank          •  Commercial and Financial Margins     –   LCR, NSFR, IRRBB
         •  The Role and the Organization of the      –   Policies for setting the margins
          Bank                                –   Articulation with the global interest   12 –13 15
           –   Businesses and business support  margin of the bank             Lunch
                                                                                15   30
           –   Finance and risk             •  Reference Refi nancing          13 –16
         •  The Bank’s Balance Sheet          –   Setting up the right commercial    Balance Sheet Risks Measurement
           –   Static view                    incentives                       Balance Sheet Risks
           –   Dynamic view                   –   The benefi ts of reference refi nancing   •  Measuring the Interest Rate Risk of the
         •  What Functions needs to be                                          Banking Book
          centralized?                      The Regulatory Environment           –   From gaps to interest rate curves
           –   Functions with effects of scale   •  The Regulatory Approach      modelling
           –   Functions with compensation effects     –   Basel 1, 2 and 3      –   Sensitivity and duration, embedded
                                            •  The New EU Banking Package        options, prepayments
         The ALM                              –   CRD V/CRR II/BRRD II         •  Measuring Spread and Funding Risks
         •  Nature and Role                 Case Study: Dexia                    –   Articulating liquidity, spread and funding
         •  Responsibilities and Components                                      risks
         •  The ALCO                       WEDNESDAY, SEPTEMBER 9                –   Accounting considerations
                                           09 – 09 15                          •  Assessing Liquidity
         Risks Identifi cation and Cartography   Recap                            –   Liquidity gap and ratios, LCR and NSFR
         •  From Nuclear Events to Financial Risks  09 –12 15                    –   Liquidity reserves management
           –   The RICAP process            Assets Valuation                   •  Case study: Credit National
         •  Risk Cartography                Valuation Principles
           –   What business models generate what    •  Economic View           Other Risks and how they relate to the
            risks?                          •  Regulatory View                ALM
         •  Interest Rate, FX, Equity and Liquidity    •  Accounting View      •  ALM and Credit Risk
          Risks                             •  Financial Instruments Categorization     –   IFRS 9
                                            •  Generating Cash Flows           •  ALM and the Non-Financial Risks
                                              –   Cash fl ows projection for various loan      –   Operational, business and residual risks
                                              types                            •  Aggregating Risks
                                              –   Embedded and other options   End of Day: Review and Games

               8                           Now also available as an online seminar
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