"Complexity is the prodigy of the world. Simplicity is the sensation of the universe. Behind complexity, there is always simplicity to be revealed. Inside simplicity, there is always complexity to be discovered. " Gang Yu
Asset Liability Management & related Reviews + (2016)
Comprehensive review of current leading edge practices, methods and policies for Interest rate risk for banking book, Liquidity risk for banking book, ALM, Funds transfer pricing and related topics.
1. Interest Rate Risk Measurement and Management
Review of IRR : components, management process, management structure
Defining & measuring IRR : rate & cash flow volatility, embedded options+
Gap Analysis : processes, evaluating IRR+
Income simulation: processes, evaluating IRR+
Duration and Convexity based simulation : processes, evaluating IRR+
Economic Value Simulation: concept, process, evaluating IRR+
Measuring risk of indeterminate maturity & deposit variants : methods+
Measuring risk of loans & investments : IRR of mortgage loans, assessing risks.
Modeling of rate change type of scenarios : types of rate changes, models of rate changes+
Implementing AL models: AL Models, advanced modeling features+
Model risk management for ALM: assumptions, managing models, testing+
2. Liquidity Risk Measurement and Monitoring
Definition of Liquidity Risk+
Liquidity risk measurement: ratios, stock & flow measures, liquidity risk gap analysis+
Stress analysis: liquidity risk categories, stress levels
Stress testing: components, process of stress testing
Managing asset liquidity risk: types, estimation of liquidity buffer, managing assets for liquidity+
Managing liability liquidity risk: types, estimation of liquidity risk, managing assets for liquidity+
Mitigating liability liquidity risk under stress: strategy, tactics, testing+
Intraday liquidity: review of theoretical constructs and practices, controls and implementation
Contingency for liquidity risk: components, framework of contingency plans+
3. ALM Policies, Management Structures, Risk Limits and Systems
ALM Decision Making, Implementation, and Oversight+
Managing Interest Rate Risk without using Off-Balance Sheet Derivatives+
Rate Risk and Investment Portfolio Management+
Managing Interest Rate Risk: Hedging with Off-Balance Sheet Derivative Instruments+
IRR risk controls: policies & limits+
Managing Liquidity Risk and Contingencies+
Liquidity risk controls: risk limits, reporting, generic liquidity risk policy+
4. Other reviews: regulations, funds transfer pricing+
ALM system requirements+
Review of current regulatory framework for interest rate and liquidity risk
Funds transfer pricing
Liquidity transfer pricing
Details on request
1. Interest Rate Risk Measurement and Management
Review of IRR : components, management process, management structure
Defining & measuring IRR : rate & cash flow volatility, embedded options+
Gap Analysis : processes, evaluating IRR+
Income simulation: processes, evaluating IRR+
Duration and Convexity based simulation : processes, evaluating IRR+
Economic Value Simulation: concept, process, evaluating IRR+
Measuring risk of indeterminate maturity & deposit variants : methods+
Measuring risk of loans & investments : IRR of mortgage loans, assessing risks.
Modeling of rate change type of scenarios : types of rate changes, models of rate changes+
Implementing AL models: AL Models, advanced modeling features+
Model risk management for ALM: assumptions, managing models, testing+
2. Liquidity Risk Measurement and Monitoring
Definition of Liquidity Risk+
Liquidity risk measurement: ratios, stock & flow measures, liquidity risk gap analysis+
Stress analysis: liquidity risk categories, stress levels
Stress testing: components, process of stress testing
Managing asset liquidity risk: types, estimation of liquidity buffer, managing assets for liquidity+
Managing liability liquidity risk: types, estimation of liquidity risk, managing assets for liquidity+
Mitigating liability liquidity risk under stress: strategy, tactics, testing+
Intraday liquidity: review of theoretical constructs and practices, controls and implementation
Contingency for liquidity risk: components, framework of contingency plans+
3. ALM Policies, Management Structures, Risk Limits and Systems
ALM Decision Making, Implementation, and Oversight+
Managing Interest Rate Risk without using Off-Balance Sheet Derivatives+
Rate Risk and Investment Portfolio Management+
Managing Interest Rate Risk: Hedging with Off-Balance Sheet Derivative Instruments+
IRR risk controls: policies & limits+
Managing Liquidity Risk and Contingencies+
Liquidity risk controls: risk limits, reporting, generic liquidity risk policy+
4. Other reviews: regulations, funds transfer pricing+
ALM system requirements+
Review of current regulatory framework for interest rate and liquidity risk
Funds transfer pricing
Liquidity transfer pricing
Details on request