Course Objectives

  • Quantify

    Quantify and optimise profitability, risk, and capital within Basel III limits

  • Model

    Model IRRBB exposures and behavioural funding dynamics

  • Build

    Build and apply constrained optimisation models in Excel

  • Integrate

    Integrate ICAAP/ILAAP processes into ALM decision frameworks

  • Design

    Design FTP curves reflecting liquidity and duration costs

  • Execute

    Execute strategic rebalancing decisions to sustain capital & liquidity resilience under stress

Course curriculum

    1. How to navigate through this course

    2. Course Overview

    3. Course Objectives

    1. Day 1 | PowerPoint Slides | Basel III Regulations and Ratios

    2. ALM Foundations and Risks-Global Context

    3. Basel III Overview

    4. Performance Metrics and Optimisation Levers

    5. Risk-Weight Management and FTP

    6. The Failure of Credit Suisse

    1. Day 2 | PowerPoint Slides | FTP Mechanisms

    2. Day 2 | PowerPoint Slides | Risks Appetite Framework

    3. FTP Mechanisms

    4. ALM ICAAP

    5. ALM ILAAP

    6. Kuwait Interest Rate Risk in the Banking Book (IRRBB)

    7. Risk-Weight Management and FTP

    1. Day 3 | PowerPoint Slides | Liquidity Management

    2. Day 3 | PowerPoint Slides | Managing Constraints

    3. Lines of Defence, Risk Appetite and Risk Capacity

    4. Econmic Capital Modelling

    5. Adverse Scenarios for Bank Stress Testing

    6. A more dynamic, market-sensitive RWA regime for banking-book bond portfolios

    7. Bank Stress Testing 2024

    8. Barclays - Market Function & Increased Market Fragility

    9. Funds Transfer Pricing - Model for a Commercial Bank

    10. Gaming Supervisory Stress Tests

    11. ICAAP Case Study - Reverse Stress Testing

    12. Risk data aggregation and risk reporting

    13. Risk-to-Buffer Regulatory Framework

    14. Risk-to-Capital-Buffer - Setting Cyclical & Structural Banks' Capital Requirements Through Stress Tests

    15. Strategic Imperatives in Bank Balance Sheet Management

    16. Stress Test Evaluation

    1. Optimisation Techniques in Bank ALM

    1. Assessing the Potential Vulnerabilities of Major Financial Institutions - A Case Study of JPMorgan Chase - General Resource

    2. Comprehensive Analysis of OFR Paper on Europe's CoCos in the Context of Deutsche Bank's ICAAP Failures

    3. Deep Dive ICAAP and ILAAP for Pillar 2 Compliance - General Resource

    4. Deutsche Bank - ICAAP through the Years - General Resource

    5. ICAAP Case Study - Comprehensive ICAAP Stress Testing Plan (Relevant Questions & Why They Matter)

    6. ICAAP Case Study - Defining Risk Appetite in a Volatile Environment - General Resource

    7. ICAAP Case Study - EndoExo (Portfolio Rebalancing) Bank - General Resource

    8. ICAAP Case Study - Going Concern & Gone-Concern Scenarios - General Resource

    9. ICAAP Case Study - Implementing ICAAP at Summit Bank – Aligning Risk Management and Capital Adequacy - General Resource

    10. ICAAP Case Study JPMorgan Chase's Economic & Regulatory Capital Alignment Initiative - General Resource

    11. Liquidity Risk - Measurement & Control - General Resource

    12. Liquidity risk- how to calibrate liquidity buffers under normal and stressed conditions - General Resource

    13. Monetary Tightening and U.S. Bank Fragility in 2023- Mark-to-Market Losses and Uninsured Depositor Runs - General Resource

    14. Northern Rock Case Study - General Resource

    15. OFR - Europe's Cocos Provide Lessons on Uncertainty - General Resource

    16. Risk And Capital Plan - General Resource

    17. Stress Testing - Principles, Concepts & Frameworks - General Resource

    18. SVB & Beyond - The Banking Stress of 2023 - General Resource

About this course

  • Free
  • 51 lessons
  • 0 hours of video content

Instructor(s)

Andrew Kinsey

Course Director

Andrew has over 25 years’ experience in financial markets both for international and local (South African) institutions. He was a trader and senior manager in the derivatives and cash-trading environment, and worked as a Derivatives Trader at Nedcor, Standard Bank and Corpcapital Bank, trading foreign exchange, fixed income and equity assets. He was head of the ABN AMRO South Africa Money Market and Foreign Exchange unit. From 2008 to 2014 he was Head of Market and Trading Risk at the Purple Capital Group. This set the basis for the next period as he moved into risk management for hedge funds and in the online trading environment. This allowed him to build on his skills as a market trader to construct risk management systems, which illuminated granular market exposures as well as a communication tool for the business executives. At the same time he began to spend an increasing amount of time training and lecturing both graduates and experienced staff in market products and economics.