< 1 min read A focus on ICAAP – Pillar II risks primarily ALM and Liquidity Risk Capital using Interest Rate Simulations. The two day main event is preceded by a single day foundation workshop on Internal Capital Adequacy with a focus on treasury, market and counterparty risk management.
4 mins read This advanced ICAAP modules workshop focuses on issues related to modelling using Interest Rate simulations, Interest Rate Mismatch and Liquidity Risk for Internal Capital Adequacy Assessment.
Starting with a balance sheet model, we quickly introduce tools and traditional models including gap analysis and earnings at risk, stress testing, scenario planning, policy making and simulations, followed by structured analysis required for ICAAP submissions, reporting and recommendations.
3 mins read This advanced level ALM and Liquidity Training workshop serves as a refresher to liquidity management, with an emphasis on traditional models including gap analysis and earnings at risk, stress testing, scenario planning, policy making and simulations.
2 mins read The workshop is aimed at treasury, risk and fixed income investors who use interest rate forecasting tools for arbitrage, ALM, risk or credit policy decisions.
4 mins read A look at an example of Cost to Close Liquidity Gap methodology.
3 mins read A methodology to measure the liquidity risk that a bank is exposed to: the Cost-to-Close Liquidity Gap technique.