Capital Allocation

Approaches to optimisation
Efficient use of capital
Risk-adjusted approaches
Value-at-Risk approaches
The regulator’s view
RAROC concept
Positioning RAROC with the organisation
Framework for market risk capital
Computation of RAROC
Expected vs. unexpected losses
Capital adequacy – Basel II
- The three pillars
- Improvements to credit risk measurement
- Internal-ratings-based approaches
- Impact on market participants
Liquidity parameters and Basel III

Interest Rate Management Techniques

Interest rate derivatives
Interest rate swaps
Generic versus complex structures of swaps
Interest rate options
Interest rate futures
Forward-rate agreements
Interest rate caps/floors/collars
Swaptions
Applications
Pricing and valuation

Case Study: Hypothetical numerical live case on the use of a wide gamut of derivatives instruments and structured products for coping with negative as well as positive duration gaps in a bank’s balance sheet.

Case Study: Hypothetical numerical live cases on valuing and pricing different traditional and exotic on and off balance-sheet products and their implications on the bank’s gap position.

Case Study: Hypothetical numerical case on the concept of Bootstrapping and constructing the zero-coupon yield curve.

Credit Derivatives

Credit derivatives: A snapshot of an evolving market
Product overview and characteristics
The underlying market for credit derivatives:
- Bank loans
- Corporate debt
- Trade receivables
- Bonds
- Mortgages
Types of credit derivatives
- Credit default swaps
- Total return swaps
- Credit options: Standard and exotic
- Spread options
- Credit-Lined Noted (CLNs)
- Collateralised Bond Obligations (CBOs)
- Collateralised loan Obligations (CLOs)

Securitisation

Why securitise?
Advantages vs. disadvantages of securitisation
Types of securitized structures and products
Modus Operandi of securitisation
Foundations and pillars of Ssecuritisation
Valuation and pricing
Islamic securitisation

Basel III And Effective Risk Governance

Defining and quantifying risk appetite
Establishing risk limits
Liquidity contingency planning
Basel III and liquidity risk
Basel III dimensions

Case Study: Group discussion on the optimum structure and functions of an ALCO Committee.

Case Study: Group discussion on the modus operandi for setting up an optimum framework for interest-rate ALM policy.

Case Study: Group discussion on the modus operandi for setting up an optimum framework for liquidity ALM policy.

Case Study: Group discussion on the significance of Basel II and Basel II for ALM functioning.

Asset & Liability Management

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