Bank ALM: Interest Rate Risk, Gap Analysis & Liquidity Ratios
NII and NIM with a rate/volume split, repricing gaps by time bucket, ±200 bp NII sensitivity with deposit betas, duration gap, EVE under rate shocks, LCR, NSFR and funds transfer pricing: 8 hands-on labs on one fictional bank's balance sheet.
The first lesson is free — no account needed.
About this course
A bank asset-liability management course that measures one fictional bank's interest rate and liquidity risk in a spreadsheet, for treasury, risk and finance staff and banking students. You calculate net interest income and the net interest margin and split the change into volume and rate effects, build the repricing gap in six time buckets with the cumulative gap, estimate the 12-month NII sensitivity to a ±200 bp parallel shock with deposit pass-through, measure the duration gap and the approximate loss of equity value, revalue all cash flows on shocked curves for the economic value of equity and compare the worst case with Tier 1 capital, calculate the liquidity coverage ratio from HQLA haircuts and run-off rates, the net stable funding ratio from ASF and RSF factors and each product's funds transfer pricing margin. The first lab is free.
Lessons
- Net Interest Income, NIM & the Rate/Volume SplitFree
- Repricing Gap by Time Bucket & the Cumulative Gap Pro
- NII Sensitivity: ±200 bp Parallel Rate Shock Pro
- Duration of Assets & Liabilities and the Duration Gap Pro
- Economic Value of Equity: Full Revaluation under ±200 bp Pro
- Liquidity Coverage Ratio: HQLA, Haircuts & Run-off Rates Pro
- Net Stable Funding Ratio: ASF & RSF Factors Pro
- Funds Transfer Pricing: FTP Margin by Product Pro