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Market, Liquidity & ALM Risk Management MasterclassLearn the best practice methods for measuring and managing liquidity risk & ALM in today’s turbulent market environment

Course Highlights:• Understand and apply the underlying principles of Market

Risk

• Describe the elements of Commodities Market Risk Management approaches

• Understand and apply the underlying principle of Asset Liability Management

• Understand the place of Interest Rate Risk and Liquidity Risk within Market Risk, Liquidity Risk and Asset Liability Management

• Gain an understanding of Market Risk Stress Testing and its renewed importance after the recent crisis

http://bizenius.com/trainings/banking-finance/market-liquidity-and-alm-risk-management-masterclass    T: +91 990 220 0556    E: connect@bizenius.com

Market, Liquidity and Asset Liability Management may seem like an odd combination; however, in some of their original underlying areas and through the outcome of the recent financial crisis, they have become much more closely aligned. Both Market Risk and Asset Liability Management have interest rate risk as one of their underlying elements, and Asset Liability Management provides a mechanism to align these areas.

Market liquidity is critical to effective market functioning. Liquidity in financial markets facilitates the efficient allocation of economic resources through the productive allocation of capital and risk, the accurate generation and dissemination of issuer-specific information, and the effectiveness of monetary policy and financial stability. The current market evidence points to a measurable reduction in financial market liquidity.

Key Learning Objectives:

V Gain an appreciation for the role of Market Risk, Liquidity Risk and Asset Liability Management in a post-crisis financial services industry

V Describe the elements of Market Risk Governance and the benefits of such an approach

V Gain an understanding of Market Risk Measurement and Management

V Gain an understanding of Market Risk in the Trading Book with a focus on the Business-Specific Context of the equity, fixed income, forex and commodity markets.

V Apply these elements in a Balance Sheet Management approach to risk management and appreciate the benefits of such an approach

V Describe the elements of FTP Governance and Management and describe the benefits of such an approach

V Describe the elements of FTP Methods and understand its historical development

V The effects of liquidity risk on securities pricing and funding V The impact on derivative pricing and hedging V The challenges of building a successful framework for liquidity risk

management V The regulatory requirements for liquidity including Basel stress

tests V Effective liquidity stress testing and contingency planning V The techniques for modelling liquidity risk within a treasury

framework V The impact of liquidity in the failure of LTCM hedge fund V Understand the dynamics of your balance sheet V Identify the key risk factors acting on your balance sheet and how

they can be minimized V Benchmark your current ALM practices and develop an action plan

to bring your practices to the highest standard V Adopt effective cash flow management and Value at Risk (VAR)

techniques V How to manage and hedge interest rate and liquidity exposures V Up-to-Date Techniques and Strategies of ALM and Stress Testing

Course OutlineAbout BIZENIUS

BIZENIUS offer a wide range of professional training courses designed to give you the skills and strategic edge your industry demands. Our course content is always fresh, never generic and continually updated to ensure our curriculum reflects the diverse landscape of innovation across Energy & Resources, Banking, Telecom, Finance & Investment, Oil and Gas, Mining, Construction and more.

Whether you want to learn the fundamentals or expand your knowledge with advanced training, we’ve got a programme for you. Our technical and non technical training courses within the industry offer a variety of levels to help you be productive in your work. We offer Introductory and expert level courses as well as customer specific on site training are also offered upon request.

As with all BIZENIUS Global Courses, the emphasis is very much on the practical and interactive exercises and real life case studies. In addition to presentations of the subjects, participants will be challenged in actual project case studies to apply the principles discussed. It will also encourage the attendees to develop the tools to implement change upon returning to their work place.

Course Requirements And Certificates

Delegates must meet two criteria to be eligible for BIZENIUS Certificate of Completion for a course:

1. Satisfactory attendance – delegates must attend all sessions of the course. Delegates who miss more than 6 hours of the course sessions will not be eligible for the certificate

2. Successful completion of the course exercises Delegates who meet the above criteria will receive BIZENIUS Certificate of Attendance.

Course Assessment

Your understanding of the course content will be assessed by completion of course exercises in the classroom and active participation.

Who Should Attend

This course is primarily aimed at those working in liquidity and funding management within investment and retail banks, investment managers, financial consultancies, rating agencies and regulators. However, Risk welcomes anyone to whom the training would be of benefit.

V C-Suite (CEO, CFO, COO, CRO, CIA) V Heads of Risk V Risk Managers V Board Directors V Heads of Audit V Heads of Compliance V Basel III Project Managers V Business Heads

V Risk Management Professionals V Risk analyst/controller V Quantitative Analytics V Treasurer V Basel III Reporting Manager V Financial Reporting V Risk Modelling V ALM

V Liquidity consultant V Regulator/ Regulatory Developer V Compliance Manager V Balance Sheet Manager V Liquidity Analyst V Internal Auditor V Capital Advisor V Head of Funding

Day 1

Introduction

V Overview of current markets and fallout from the credit crunch/GFC and QE

V The basics of risk management – What is it? What isn’t it?

V Identification, measurement and management of risk

V Market risk V Credit risk V Operational risk V Valuation, mark to market and accruals,

banking book/trading book split V What do we mean by manage? V What is risk management trying to achieve? V Regulation vs. risk management – aren’t they

trying to do the same thing?

Building a Framework for Treasury Liquidity Risk Management

V Mismatch, duration and other approaches V Key roles of FTP and funding/pricing curve

generation V Foreign currency liquidity management V Internal controls for liquidity risk

management: stress testing V Internal controls for liquidity risk

management: scenario analysis V Double default and the analysis of

collateralized transactions V Basel III and liquidity risk V New stresses and rules post credit crunch V LCR and NSFR stress test minima

Liquidity Risk in the Balance Sheet Framework

V Metrics and measures of liquidity risk V Liquidity gap analysis and the bank’s liquidity

profile V Expected and unexpected loss analysis in the

presence of illiquidity V Liquidity-adjusted VaR (LVaR) V Liquidity Adjusted Expected-Shortfall (LEF) V Liquidity management policy V Regulatory requirements for liquidity

management V The use of conduits and other off balance

sheet vehicles V Contingent liquidity using capital market

instruments and other techniques

Measuring Market Risk: Liquidity-Adjusted Value- at Risk

V Definitions V Using liquidity-adjusted VaR to manage risk V Limitations of standard VaR measures to

assess liquidity

What Can Derivatives Tell Us About Market Risk?

V Implied volatility, skews and smiles – What do they mean?

V Fat tails and market instabilities V What do real returns look like? V How should we adjust measures?

Incorporating Derivatives into Market Risk Portfolios

V How non-linear instruments distort returns distributions

V The effect on confidence intervals for VaR estimation

V How Greeks sensitivities are a necessary addition to normal risk measures such as VaR

Market Risk Capital

V The evolution of Basel capital requirements for market risk

V Quantitative and qualitative aspects of model recognition

V Defining market risk capital and qualifying capital types – Tiers 1, 2 and 3

V Recent developments such as liquidity risk and leverage limits – What is Basel III bringing?

Day 2

STRATEGIC BALANCE SHEET MANAGEMENT

Successfully Implementing A/LM

This introductory session is designed to provide delegates with the opportunity to focus on their particular institutions’ approach to ALM identifying strengths and weaknesses in current practice.

V Objectives of the modern ALCO V Key success factors V What targets to set? V What risks to measure? V Current trends in A/L management

V regulatory changes V internal/external audit implications V valuation vs. accounting

Strategic Liquidity Management

A full reprise of best practice liquidity manage-ment from the ALCO and strategic perspective, incorporating the latest developments in regu-latory oversight.

V Liquidity overview V LCR & NSFR issues V Liquidity and ALCO

Strategic Capital Management

This module focuses on the key issues involved in capital management from the ALCO and interest rate risk perspective and the possible developments affecting this important area over the next regulatory phase.

V The role of capital V Bank regulatory

capital requirements V Focus on economic

capital V The role of ALCO in

capital planning

Valuation & Duration

The second pillar of static analysis is the valuation approach. This session covers the basic theory but concentrates on its use in ALM and Banking Book risk, particularly under Basel III and beyond.

V Valuing a bond V Macaulay / modified duration V Duration as an ALM Tool

Funds Transfer Pricing

Acknowledged as the key tool in allocating the risk premiums required for correct product pricing, this session will highlight and give practical insights into the use by ALCO and other senior management into implementing this discipline effectively.

V Profitability measurement V Interest rate risk management V Liquidity term premium V FTP and ALCO

Hedging in ALM

The use of derivatives for the management of Banking Book risk is acknowledged to be a different approach and management skill level from dealing and trading. This module focuses on the best practice approach and typical issues this raises for management.

V Hedging concepts and objectives V Interest rate swaps

V structure V presenting in GAP & valuation reports

Alternative Static Reporting

This module presents in detail an alternative analysis of the 3 Banks based on revisions to Administered Rate, Non-Interest Bearing and Capital portfolios. The purpose is to demonstrate the difference in risk perception and hedging actions required

V GAP and valuation changes explained V Pre-hedge effects V Post-hedge effects

Interest Rate Risk in the Banking Book (IRRBB)

Given the current interest by regulators (Basel and EBA) and the significant impact the proposals have on current practice, this session is designed to contrast and compare the new regulatory approach to the previous Pillar 2 approach and the best practice approaches outlined so far in this course.

V Latest regulatory proposals V Impact on ALCO

http://bizenius.com/trainings/banking-finance/market-liquidity-and-alm-risk-management-masterclass    T: +91 990 220 0556    E: connect@bizenius.com

Market, Liquidity & ALM Risk Management Masterclass

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T: +91 990 220 0556 Email: connect@bizenius.com

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#102, Rockview, 2nd Cross, 2nd Main, Gottigerre, Bangalore, Karnataka, India - 560 083

http://bizenius.com/trainings/banking-finance/market-liquidity-and-alm-risk-management-masterclass    T: +91 990 220 0556    E: connect@bizenius.com