ASSET LIABILITY MANAGEMENT SEMINARS.
PROF. DR. FIDELIO TATA.
Senior industry expert with deep understanding of global financial markets. Some 30 years of executive experience in derivatives marketing, institutional sales, risk management, and global fixed-income research. Teaching experience includes development of a global derivatives training program, acting as frequent guest-speaker at conferences and trainer in asset and liability management to central banks, as well as 7 years of academic teaching. Proven leadership and management responsibilities as a managing director on Wall Street.
DR. TIBOR DUDAS.
Senior banking specialist with deep understanding of asset liability management. Expert in behavioral finance, FTP, P&L and budgeting, modelling and database management, hedging and use of derivatives, supervisory and regulatory requirements. Proven leadership and management responsibilities as a senior ALM and Risk Management expert at two leading European Universal Banks for 20+ years. Speaker at several conferences and trainer for 10+ years in asset and liability management and financial mathematics.
OBJECTIVES.
The seminar aims at explaining key aspects of interest rate risk within asset liability management (ALM) in banks. The two core pillars of ALM, the economic value of equity (EVE) and net interest income (NII) concepts are covered and the differences of fixed-rate, floating-rate and non-maturing products are outlined. Additionally, the widely used method for internal pricing and steering called Funds Transfer Pricing (FTP) is introduced. Regulatory aspects, such as Interest Rate Risk in the Banking Book (IRRBB) guidelines are discussed along with most recent developments in interest rate risk management, such as negative interest rates and behavioral modeling of bank customers.
TOPICS.
Interest Rate Cycles ⎢ Purpose of ALM ⎢ ALM as a Profit or a Cost Center ⎢ Stakeholders of ALM ⎢ Instruments used in ALM ⎢ Definition of Interest Rate Risk ⎢ Duration ⎢ Duration Gap Analysis ⎢ Economic Value (EV) Measures ⎢ Earning Measures ⎢ Latest Developments in Regulation ⎢ Basel III & IV ⎢ Key Principles of Interest Rate Risk Management ⎢ Banking Book vs. Trading Book ⎢ Risk vs. Return ⎢ Active vs. Passive ALM Risk Management ⎢ Funds Transfer Pricing (FTP) ⎢ Net Interest Income (NII) ⎢ Net Exposure to Interest Changes ⎢ Parallel vs. Non-parallel Yield Curve Shifts ⎢ Repricing Gap Analysis ⎢ Non-Maturing Products ⎢ Expected Maturity & Rate Reset Frequency ⎢ Embedded Options ⎢ Replicating Model⎢ Rolling Portfolio ⎢ Volume Changes ⎢ 0%-Floor as an Implied Option ⎢ Challenges in Theory and Praxis ⎢ Model Risk ⎢ Different Bank Balance Sheets ⎢ Regional Differences in Bank Balance Sheets ⎢ Balance Sheets for different Business Models ⎢ Behavioral Economics ⎢ Strategic ALM ⎢ Planning of NII ⎢ Lessons from the Silicon Valley Bank disaster.
PROGRAM.
- ALM in Banks
- Interest Rate Risk
- Regulatory Update
- Banking Book
- Net Interest Exposure
- Non-Maturing Products
- Replicating Model
- 0%-Interest Rate Floor
- Bank-specific ALM
- Selected ALM Issues
- Case Study
- Simulation Exercises
TARGET AUDIENCE.
- ALM Professionals
- Group Treasurers
- Chief Risk Officers
- Accounting and Finance Managers
- Liquidity Managers
- Interest Rate Risk Managers and Risk Controllers
- Auditors and Banking Supervisors (Central Banks, NCAs)
PREREQUISITES.
- Basic familiarity with a bank's treasury operations and banking activities
- Fundamental knowledge about market instruments, such as bonds, forwards and swaps
BLENDED LEARNING OPTIONS.
starting at € 6,000 plus VAT
Three half-day Webinar*
starting at € 12,000 plus VAT
Three-day in-presence seminar*
* Price per event (not per participant!), for which you can send up to 30 participants.
For inquiries and a tailor-made offer, please contact us at: consulting@fideliotata.com
TOPICS.
Why Derivatives? ⎢ Derivative Mindset ⎢ Forwards ⎢ Futures ⎢ Swaps ⎢ Fixed‐to‐Floating Interest Rate Swap ⎢ Foreign Exchange Swap ⎢ Cross‐Currency Swap ⎢ Options ⎢ Options Payout Profiles ⎢ In‐the‐Moneyness ⎢ Intrinsic Value vs. Time Value ⎢ Options Greeks ⎢ Delta ⎢ Gamma ⎢ Theta ⎢ Vega ⎢ Intuition of Derivative Pricing ⎢ Random Walks ⎢ Binomial Options Pricing ⎢ Black‐Scholes Options Pricing ⎢ Beyond Black‐Scholes ⎢ Options Hedging ⎢ Volatility ⎢ Distribution Assumptions ⎢ Correlation and Correlation Assumptions ⎢ Remaining Humble in Derivative Space.
PROGRAM.
- Why Derivatives?
- Developing a Derivative Mindset
- Fundamentals of Derivative Products
- Forwards
- Futures
- Swaps
- Options
- Remaining Humble in Derivative Space
TARGET AUDIENCE.
- ALM Professionals
- Treasurer
- Interest Rate Risk Managers
- Banking Supervisors (Central Banks, NCAs)
PREREQUISITES.
- General knowledge of Banking and Financial Market Theory
44-page PDF Chapter
download here