ALM, Bank Capital, and Liquidity - Mastering Regulatory Challenges
An intensive and practical three-day course for bankers designed to ensure delegates gain a competitive edge by mastering the complexities of banking in a challenging regulatory environment.
Using ACF's sophisticated Global Banker simulation, delegates gain practical experience of developing effective strategies for improving profitability while managing risk and regulatory compliance.
Delegates get a compelling overview of total bank operations and develop an understanding of how commercial banking dynamics, risk, derivatives, asset and liability management, and other key issues fit together.
Who should attend?
- Anyone involved in ALM and the work of the ALCO
- Treasury, finance, and accounting personnel
- Risk managers
- Credit and corporate finance officers
- Audit and compliance officers
- Operations, systems, it and support
- Country, regional, and senior managers
- High-flyers on accelerated development programs
- Regulators and government personnel involved in overseeing financial institutions
The course covers the following areas:
Overview of Bank Financial Management
- Balance sheet structures
- On- and off-balance sheet accounts Interest rate risk measures
- Regulatory ratios
- Capital adequacy
- ALM concepts
- Integrating total bank operations – credit, finance, trading, treasury and risk management
Hot Topic: The importance of credit risk, liquidity, and capital in today’s environment.
- Identifying banking risks Credit risk
- Exposure from traditional lending
- Exposure through credit derivatives like CDS and CDO Liquidity risk
- Analysing the need for liquidity
- Providing liquidity – asset-based and liability-based alternatives Interest-rate risk
- Maturity mismatch
- Gap risk
- Yield-curve risk
- Currency risk
- Duration risk
- Operational risk
- Quantifying risk exposures
- Controlling risk through pro-active risk management
- Hedging techniques using derivatives Integrating and combining risks
- The Value-at-Risk (VaR) approach Topical issues:
• Measuring risk under crisis conditions
• Combining credit risk and market risk
Hot Topic: Measuring risk in a stressed environment – beyond the VaR approach.
- Measuring profitability
- RoE Risk-adjusted returns
- Capital-adjusted returns
- Risk-return trade-off
- Impact of capital and liquidity requirements on bank profitability
- Cost of implementing hedging programs
Hot Topic: Returning to and maintaining profitability.
- Credit risk and its impact
- Risk assessment
- Establishing acceptable levels of risk-adjusted return
- Using credit derivatives to manage credit risk exposure
- Achieving the right lending mix
- Retail vs. corporate
- Syndicated loans
- Floating-rate vs. fixed-rate
- Pricing Marketing
Hot Topic: The importance of credit risk management in today’s environment.
Liquidity, Financing Policy, and Basel III
- Retail vs. money-market funding
- Over-dependence on the money-markets – the problem
- Liquidity risk from market funding
- Competing for retail deposits
- Minimising costs of money market funding
- Basel III and the new liquidity ratios
• Liquidity Coverage Ratio
• Net Stable Funding Ratio
Hot Topic: How much will the new Basel III liquidity rules affect my bank?
- Using money-market instruments – bills, CDs, commercial paper and bonds
- Using derivative instruments – futures, options, FRAs and swaps
- Controlling risk
- Managing cash flows and liquidity Investment management
Hot Topic: Investing in liquid assets when Treasury rates are zero.
- Raising capital
- Debt vs. equity vs. hybrid instruments
- Floating-rate vs. fixed-rate debt
- Callable bonds
- Convertibles, equities
- Measuring the cost of capital
- Capital allocation
- Securitisation of assets
Hot Topic: Raising capital – what is the best choice?
Capital for Credit, Market, and Operational Risk – Basel I through Basel III
- Basel I
- Tier One, Tier Two, and RWA
- Basel II Pillars I, II, and III
- Menu of approaches
- Standardised vs. Internal Ratings Based (IRB) approaches
- Foundation vs. Advanced IRB approaches
- Using internal credit models
- Allowance for credit risk mitigation
- Use of credit derivatives
- Operational Risk
- Basel III
- The new capital and leverage ratios
- The Capital Conservation Buffer
- The Countercyclical Buffer
- The Market Risk Amendment
- Using internal market risk models
- The multiplier: yellow and red cards
Hot Topic: How will Basel III affect my bank?
Certification / Credits
This course is worth 21 CPE credits.
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ACF Consultants are a top-quality financial training provider that are renowned for delivering innovative courses for some of the largest and most demanding financial institutions in the world. Offering open seminars using their uniquely blended learning techniques, ACF Consultants are...
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