Market Risk, Interest Rate Risk, and Liquidity Risk Management Principles and Tools

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
  1. Other Limit Structures that may be used to manage Trading Portfolio Market Risk
    • Position Limits
    • Peso/Dollar Value of 1 Basis Point
  2. 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:

Antonio Niccolo L. Martinez, FRM, MBA

Currently serving as the Market Risk Manager of PSBank. With more than a decade of experience managing Market Risk, Interest Rate Risk, and Liquidity Risk across multiple financial institutions. Passed CFA level 3 exam.

 

Schedule:

November 28, 2026 (Saturday) 8:00 AM – 12:00 PM

 

Training Fee per Participant:

Member Institution – Php2,800.00

Non-Member Institution – Php3,920.00

*VAT inclusive

 

REGISTER HERE!