Description
Course Description:
A learning session on the guiding principles and tools utilized in managing a Bank’s market risk, interest rate risk, and liquidity risk.
Course Objectives / Learning Outcomes:
At the end of the session, attendees would have learned key principles and have gained hands on experience on the various risk metrics utilized in each risk area.
Course Outline:
Market Risk Curriculum
Overview
1. Market Risk, Interest Rate Risk, and Liquidity Risk Management
2. Balance Sheet Items Covered
Market Risk in the Trading Book
1. Bond Fundamentals
- Properties of Bonds
- Excel Activities:
- Bond Pricing
- Modified Duration (Individual Security and Portfolio Level)
2. Value at Risk
- Types of Value at Risk (VaR) (Pros/Cons of each approach)
- Excel Activities:
- VaR Computation for Bonds
- VaR Computation for Net Open FX Position
- VaR Computation on a Consolidated Basis
3. Other Limit Structures that may be used to manage Trading Portfolio Market Risk
- Position Limits
- Peso/Dollar Value of 1 Basis Point
4. Stress Testing Trading Portfolio Positions
Interest Rate Risk in the Banking Book
1. Re-pricing Gap Methodology
- Excel Activity – Re-pricing Gap calculation
2. Earnings at Risk (EaR) Definition
- Excel Activity – Earnings at Risk calculation
3. Delta Economic Value of Equity (EVE) Definition
- Excel Activity – Delta EVE calculation
Liquidity Risk in the Banking Book
1. Maximum Cumulative Outflow (MCO) Methodology
- Excel Activity – MCO calculation
2. Liquidity Contingency Funding Plan
3. Liquidity Stress Testing
- Excel Activity – Liquidity Stress Testing
Target Participants:
- Risk Analysts/Officers
- Treasury Trading and ALM personnel
- Internal Auditors
- Aspiring Risk Analysts/Officers
Resource Speaker:
Mr. Antonio Niccolo L. Martinez, FRM, MBA
Market Risk Manager
Philippine Savings Bank
Schedule:
May 16, 2026 (Saturday) 8:00 AM – 12:00 PM
Training Fee per Participant:
Member Institution – Php 2,800.00
Non-Member Institution – Php 3,920.00
*VAT inclusive