Bank consolidation and M&A drivers It is that time of the year again within the banking industry in the Middle East. The move for bank consolidation and the need to roll out and brush the dust off our bank M&A models.  Like every other industry

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Bank consolidation and M&A drivers It is that time of the year again within the banking industry in the Middle East. The move for bank consolidation and the need to roll out and brush the dust off our bank M&A models.  Like every other industry

The post Bank consolidation and M&A drivers. appeared first on Finance Training Course.

What is the appropriate time step to use in estimating parameters for, and projecting short rates using, the CIR model? Can estimates based on daily time series data be used in an interest rate model that projects short rates at a monthly time interval? The

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BCBS 239. Principles for effective risk data aggregation and risk reporting Improving banks’ ability to aggregate risk data will improve their ability to resolve and survive future financial crisis. In crisis mode a bank’s ability to determine its true exposure quickly aggregated across asset and

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Economic Capital – Everything you ever wanted to know but were afraid to ask. For the last seventeen years I have hated conversations with board members around economic capital. It is perfectly acceptable to discuss Market risk, Credit risk or interest rates mismatch in isolation

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Calculating Economic Capital – Using Leverage ratio So far we have presented two methods for estimating Economic Capital. The first uses the worst case change in Shareholders equity, the second the volatility of the same changes. The challenge with method one and two is that

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Bank ALM Analysis – Earnings versus Economic Value.

The two elements used within bank ALM analysis are economic value and earnings. Why is earning emphasized more than value? What is wrong with value analysis?

In the ALM world we use two tools to illustrate the impact of interest rate changes.

a) Rate or reset gap focusing on […]

Bank Asset Liability Management – Study Guide – 3rd Edition.

The brand new, revised 3rd edition of the ALM Study Guide is out. With 177 pages, 189 figures and illustrations, the new edition weighs in at thrice the size of the 2nd edition and spends more time on building a stronger foundation for […]

Why do we need Asset Liability Management (ALM)?

Banks make money in a variety of ways.

The simplest of ways is to act as an intermediary on transactions (such as buying and selling foreign exchange, equities, bonds and other financial securities) and take a small cut on both ends of the transaction (buying and selling). So […]