Training center


Sergey A. Kopylov, CFA, FRM, PhD

Dr. Sergey A. Kopylov has more than 10 years of experience in the biggest Russian banks. He worked both on the side of risk-management and asset-liability management. He managed and was responsible for various business processes and initiatives directed at improvement of management efficiency in the bank, making the linkage between risk-management and business mutually enriching.

Asset-liability management for a commercial bank in turbulent times

Basel Accord made risk-management topical. But in any consecutive crisis risk-management fails and takes new lessons at the cost of bank's stakeholders. In times between crises risk-management tends to attract too much attention to the risk and abstains from the solution of true business problems. A general approach to the risk-management as an analytical process (which has to oppose business) gets nowhere. As an analytical technology, risk-management often provides decision-makers with controversial estimations (like on the one hand, on the other hand...) which as a rule neglect the impact of the concrete deal on the whole balance.

In this situation the one-handed banking analyst is in high demand. Asset-liability management is a banking technology of decision-making which allows"

  • to set achievable financial targets for the bank and to make them achieved;
  • to keep restricted all risks the bank is exposed;
  • to answer the question arising in deal consideration in complex, taking into account both the returns and risks and mutual influence of a deal and banking balance.

Why the experience of emerging markets is important? The crisis evidence shows that either in 2008 or now no systemically important Russian bank failed. This was due to the fact that emerging market banks are often on the cutting edge of risk and asset-liability management. The day-to-day business in the turbulent emerging markets provides more opportunities to sophisticate business technologies aimed at the success in crises.

The seminar on the Asset-liability management may* be organized as follows.

1. Instruments of asset-liability management: strategic, financial and funding plans, fund transfer rates, limits, reporting, time-horizons, effectiveness, applicability, restrictions.

2. Funds transfer pricing: approaches to curve building. How to bring together actual balance, market reality, bank’s KPI (targets), analytical and computation procedures, strategic decisions?

3. Balance sheet management. Product risks (credit, asset price, interest rate risk and liquidity). Capital and liquidity buffers. Their adequacy, stress-tests, risk measures. How to estimate risks: at the moment or through the cycle, using VaR or EaR methods. How to select time horizon?

4. Capital and liquidity buffer allocation. How to enhance control on contributions made by business lines, profit centers, products? How to measure the impact of the profit centers on the financial results of the bank as a whole? How to create incentives for the profit centers?

5. Pricing of banking products: funding plan, required liquidity buffer, required capital, complicated deal structures, economic efficiency calculations.

6. Behavioral modeling of banking products. Stable volumes in the balance sheet, liquidity risk estimates, required liquidity buffer.

* The concrete seminar program will be corrected according to the requirements of client.