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Workshop Interest Risk Management

by Martin Macko

Languages: German, English, Slovak

Price (from): €2,000 / day

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About the trainer:

Trainer, consultant, and coach with management experience and strong technical and business knowledge. Former bank manager in the area of Treasury & Asset and Liability Management. I use my experience and analytical skills to create training programs, business simulations & excel models, comprehensive e-learning. I am constantly expanding my expertise to bring ever greater value to my clients and business partners. Specialties: ~ My areas of expertise are Bank Management | Fintech/Regtech in Banking Industry | Treasury & Financial Markets | ACI exam | Market Risk Management | Assets and Liabilities Management | Bank Regulation | Private Banking | Corporate Sales & Finance | Financial Mathematics | Derivatives & Hedging ~ I create business simulations and excel models to explain how processes work (e.g. Simba - Simulated Bank Management) ~ I create expert e-learning for bankers and experts in finance: script, multi-level tests, questions and explanations ~ I invent blended learning programs with the best success ratio for financial professionals ~ I design certification programs and exams for experts in finance


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Workshop Interest Risk Management by Martin Macko

About the training

#treasury   #ALM   #Interest Risk   #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).

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 ....)


  • 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

Main benefits

  • #Wide collection of the biggest experts
  • #Filters for all kinds of needs
  • #User friendly platform
  • #Fast and cheap
  • #Highest level of proficiency

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