Bottova 2A, Bratislava 811 09, Slovakia

ALM - Interest Risk Management

Interest rate risk management is an important part of Assets and Liabilities Management (ALM). ALM has to ensure correct mapping of all balance sheet items, including administered products without maturity. ALM also prepares the interest risk gaps, and assigns the correct internal rates (FTP). Administered products modeling has its own particularities, and at the same time it is necessary to be compliant with the applicable regulation (IRRBB).

Length: 1/2 day
Difficulty: Expert
Price: 290€ + VAT 20% (348€), or individual (in-house)
Place: In-house (On-line / On-site)

  • Introduction to ALM – ALM responsibilities in a bank, relations to Treasury, market risk and risk controlling
  • Identification of interest risk using FTP(IR), profitability calculation from interest gaps
  • Managing interest risk in a bank:
    • Methods for mapping the balance sheet items for interest risk management - replication portfolio for administered products and items without defined maturity 
    • Interest gaps and measurement of interest risk
    • Yield from balance structure, revaluation, dynamic management and related risks
    • Regulation of interest risk - IRRBB (Interest rate risk of the banking book)
  • Financial markets products for managing of interest risk: money market products (FRA, MM Future, OIS), fixed income products (interest rate swaps, bond futures)
  • Examples and case studies from practice, excel-based calculations and explanations, Bearnig ALM model (IR part) on replication portfolio

Bearning ALM Simulation 

Bearning ALM model is an Excel based simualtion on replication portfolios. Balance sheet items without maturity and non-maturing deposits can be modeled on replication maturities and applied in liquidity and interest management.

Target group

  • ALM/Treasury professionals
  • Product managers and project managers for ALM/Treasury area
  • Risk managers
  • Bank professionals and experts from other related departments (audit, risk management, back-office, compliance ....)

Preparation or additional learning (optional)

Bearning E-learning in the form of script and/or texts, questions, multi-level tests, solutions and explanations. Large discounts for workshop participants (30-50%)!