From 06 May 2018 to 09 May 2018    International Foundation Level for Compliance Officer Function    in Cairo / Egypt

Risk Management: Asset & Liability Management -Mastering it

In cooperation with the House of Training Quality Circle in Risk Management and ALRiM

Objectives

The objective of this course is to provide the participants with an overview of fundamental as well as advanced techniques in Asset & Liabilities management.

Participants will:

  • get acquainted with ALM methods to deal with the daily issues facing ALM management departments in banks,
  • learn to get familiar with the key risk concepts and retain them through the use of illustrative examples and practical applications,
  • be able to analyse ALM frameworks and to understand how ALM standards are developed and how to implementing them in an efficient way in a bank,
  • be able to integrate the learned concepts in their respective work as the course aims at mixing theoretical and practical aspects of ALM risk management in a systematic way.

Target Group

Top and medium level executives from banks (commercial and central), financial institutions or supervision authorities, involved in risk management, asset & liability management, treasury and internal control.

Location and duration

in HoT-ATTF partner countries: 3 - 4 days (depending if sequential translation or not)

Detailed programme Explode

Part I: RISK MANAGEMENT IN BANKING

 

1. INTRODUCTION

  • Risk and risk management
  • Types of financial risk
  • The Basel Committee on Banking Supervision
  • Measuring and managing risk

2. MARKET RISK

  • Market risk in banking
  • Components of market risk:
    • Interest rate risk
    • Equity risk
    • Currency risk
    • Commodities risk
  • Measuring and managing market risk:
    • Value at Risk (VaR)
    • Stress testing and back testing
    • Portfolio risk

3. CREDIT RISK

  • Components of credit risk:
    • Lending
    • Investing
    • Counterparty/settlement risk
  • Retail vs. corporate clients
  • Default risk
  • Downgrade risk and the rating agencies

4. LIQUIDITY RISK

  • Liquidity risk as a consequential risk
  • Types of liquidity risk
    • Assets
    • Funding
  • Asset and liability management
  • Liquidity risk and the Financial Crisis of 2008

 

Part II: LIQUIDITY RISK MANAGEMENT 

1. HOW TO ASSESS AND MEASURE LIQUIDITY RISK?

  • Introducing Liquidity Risk
  • Asset Liquidity Risk vs. Liability Liquidity Risk
  • Liquidity Ratios (static approach) vs. Liquidity Gaps (dynamic approach)
  • Introducing Settlement Risk

2. THE FINANCIAL CRISIS: "THE BASEL III" RESPONSE TO MAKE BANKS STRONGER

  • The Financial Crisis: the Move to Basel III
  • A more Balanced Liquidity (LCR and NSFR ratios)
  • Intraday Liquidity Risk
  • Introducing the Leverage Ratio

CONCLUSION: Q&A SESSION

 

PART III: MEASURING AND MANAGING OPERATIONAL RISK IN BANKING

1. INTRODUCTION

  • What is operational risk?
  • Why has operational risk become so important?

2. KEY CONCEPTS OF OPERATIONAL RISK

  • Causes of operational risk
  • Event types
  • Types of impact from operational risk

3. ANALYSING THE CAUSES OF OPERATIONAL RISK

  • Processes
  • People
  • Systems
  • External Events

4. OPERATIONAL RISK IN THE BASEL ACCORD

  • Basic Indicator Approach
  • The Standardised Approach
  • Advanced Measurement Approach

5. OPERATIONAL RISK MANAGEMENT CYCLE 

  • Identify
  • Assess
  • Mitigate
  • Monitor and report

6. LOSS DATA COLLECTION/PROCESSING

  • Incident database
  • Key risk indicators
  • Risk mapping
  • Risk & control self-assessment

7. ORGANISATIONAL ASPECTS 

  • Governance

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