ALM with Basel III

 

Course dates for 2013:

11th-12th June & 8th-9th October

 

Aims

During Day 1 the focus will be on understanding the principle issues of Asset Liability and Liquidity Management as it applies to the structure and effectiveness of the balance sheet within Financial Institutions. Recent Regulatory changes and the impact of Basel III are considered, as well as considering the lessons to be learnt from Northern Rock.

Day 2 aims to provide an overview of the impact on the Trading Book from an ALM perspective resulting from Basel III. This will be accompanied by a look at the CVA requirement resulting from the need to address Counterparty Credit Exposure in a more robust way

 

Objectives

By the end of the programme the participant will be able to:-

• Outline the main features of good balance sheet management

• Participants will be able to describe the ways in which both risks within the balance sheet can be managed and value can be created for stakeholders

• Describe the role of Treasury within the ALM process and interest rate risk management

• Outline the objectives of the ALCO

• Describe how recent regulatory changes impact on the balance sheet

• Describe the importance of Liquidity management

 

Day 1

 

Session 1     Asset and Liability Management

-      The Role of an ALM Committee

-      The goals and objectives of ALM

-      Current Trends in Balance Sheet Management

-      How an institution manages the overall process

 

Session 2     Banking Services and the Balance Sheet

-      The balance sheet structure and Interest Rate Risk management

-      IRR manifestation and IRR management

-      Profit allocation and transfer pricing

-      What affects Net Interest Income

-      Profit centre management

• Bank specific factors

• Gap management

• Income simulation

 

Session 3     Value Creation and the Balance Sheet

-      Earnings volatility analysis

-      Sensitivity of Shareholder Value

-      Approach to Earnings at Risk

-      Earnings simulations

-      Economic Value of Equity

-      RAROC

 

Session 4     Liquidity in ALM

-      Business priorities

-      Liquidity Management

-      Analyzing Asset quality

-      Northern Rock lessons - so what happened?

-      The goals of ALCO management

-      Key actions and implementations

 

Day 2

 

Session 1     Summary of Basel III and impact on Trading Book

                                - Stressed VAR

- Long Term Incremental Risk Charge 

- Wrong Way Risk and EEPE 

- Credit Value Adjustment 

- Collateralisation and Margining 

- Comprehensive Risk Measure 

- Liquidity Coverage Ratio 

- Net Stable Funding Requirement 

- Quality and Quantity of Capital

Session 2     Basel III and Counterparty Credit Risk

                                - Credit Valuation Adjustment concept

- Measures of Counterparty Credit Exposure

- Calculating CVA in a Swap portfolio

- Bilateral CVA

- Centralising CVA management

- Course Summary and Close

 

Once you have completed the course, you will recieve a certificate showing your completion of the course.