Workshop ALM liquidity – ACI Macedonia


The contents will be as follows:


  • Introduction to ALM – ALM responsibilities in a bank, relations to Treasury, market risk and risk controlling, balance sheet optimization and influence of the COVID-19
  • Internal prices for liquidity risk FTP(LQ), rules and using a in a bank, contingency FTPs, other FTP adjustments and strategy by various influence factors (such as customers’ behavior, sustainability)
  • Identifying the liquidity risk by using FTP(LQ), profitability calculation from liquidity gaps, liquidity buffer
  • Managing liquidity risk in a bank:
  • Methods for mapping the cash-flow of the balance sheet items – replication portfolio for administered products and items without defined maturity
  • Liquidity gaps and measurement of liquidity risk, minimum liquidity definition
  • Liquidity curve and liquidity costs/premiums
  • Cost of funding evaluation by excess of liquidity
  • Liquidity stress scenarios, customers’ behavior influence and idiosyncratic risks
  • Regulatory ratios of liquidity risk (LCR, NSFR)
  • Financial markets products for managing of liquidity risk: money market products (Depo, CD, CP, T-bills, Repo. FX swap), fixed income products (bonds)
  • ILAAP (Internal liquidity adequacy assessment process)
  • Examples and case studies from practice
We will provide you with the PDF documentation before the workshop.

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