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.