Live ALM & IRRBB Simulation Lab: Navigating Balance Sheet & Liquidity Pressures
Structural balance-sheet pressure never arrives one risk at a time — when elevated loan-to-deposit ratios, wholesale funding reliance and duration mismatches converge, the banks that defend earnings are the ones that have already rehearsed the decisions under fire.
Format
Classroom
Upcoming sessions
Pick a session to applyADMISSIONS OPENThe programme
Banks everywhere face the same structural squeeze: elevated loan-to-deposit ratios, volatile wholesale funding, compressed margins, and duration mismatches between long fixed-rate assets and short floating liabilities. This lab answers with practice, not lectures. Executive teams manage the same virtual bank for two full days on a live simulation engine that recalculates NII, EVE, LCR, NSFR, capital and profitability after every shock. Day 1: a systemic liquidity drain — teams defend their buffers, source emergency liquidity and recalibrate FTP to the true marginal cost of funds. Day 2: a benchmark-rate collapse with yield-curve shifts — answered with swaps, duration-gap hedging and balance-sheet restructuring, before each team folds its results into ICAAP and ILAAP and defends its final strategy before a mock supervisory review board. Built for cross-functional ALCO delegations — Risk, Treasury, Finance and Audit deciding together, as they must in a real crisis.
What you will do
Who attends
- Chief risk officers, group treasurers and chief financial officers; heads of ALM and risk management
- Heads of capital and liquidity risk; heads of treasury operations and money markets
- ALCO and board members
- Regulatory compliance leads and heads of internal audit
- Senior corporate banking and portfolio strategy leads
- From commercial, retail, corporate and investment banks, Islamic banking institutions, and development and central financial institutions
Programme agenda
Built for the decisions no textbook prepares you for
I.Macro liquidity dynamics & structural balance-sheet mismatches
- Deconstructing modern loan-to-deposit-ratio pressures and retail deposit disintermediation
- Moving from core retail deposits to international wholesale debt, syndicated facilities and institutional term deposits
- The true cost of funding and its impact on cost-to-income and profitability
II.Live simulation round 1 — liquidity drain & buffer optimisation
- Teams receive baseline balance sheets burdened with high loan-to-deposit ratios and asset-liability concentration
- Live inject: a systemic liquidity drain — sudden institutional withdrawals and competitive price wars for retail deposits
- Execution: managing LCR and NSFR buffers while sourcing emergency market liquidity
III.Funds transfer pricing & liquidity cost allocation
- Establishing dynamic FTP curves that reflect marginal wholesale funding costs
- Incentivising core deposit retention while charging lending desks accurately for balance-sheet consumption
IV.Advanced IRRBB & behavioural modelling
- Measuring balance-sheet sensitivity through NII and EVE metrics
- Behavioural modelling of non-maturing deposits and retail deposit stickiness under shifting rate environments
- Modelling customer prepayment behaviour on fixed-rate loan and mortgage books through changing rate cycles
V.Live simulation round 2 — rate shocks & balance-sheet immunisation
- Live inject: a rapid benchmark-rate collapse combined with yield-curve shifts
- Execution: interest-rate swaps, duration-gap hedging and balance-sheet restructuring to protect net interest margin
VI.Supervisory defence, ICAAP/ILAAP & final ALCO strategy
- Integrating IRRBB and liquidity stress-test results directly into ICAAP and ILAAP frameworks
- The verdict: teams present and defend their final balance-sheet strategy, capital ratios and NII results before a mock supervisory review board
Frequently asked
How much of the lab is actual simulation?
The simulation is the spine of both days. Executive teams manage the same virtual bank on a live engine that recalculates NII, EVE, LCR, NSFR, capital and profitability after every shock. Day 1 runs a systemic liquidity drain; Day 2 a benchmark-rate collapse with yield-curve shifts — before each team folds its results into ICAAP and ILAAP and defends its strategy before a mock supervisory review board.
Who should attend the simulation lab?
It is built for cross-functional ALCO delegations — Risk, Treasury, Finance and Audit deciding together, as they must in a real crisis. Typical participants include chief risk officers, group treasurers and CFOs, heads of ALM, capital and liquidity risk, treasury operations and money markets, ALCO and board members, and compliance and internal audit leads, from commercial, retail, corporate, investment and Islamic banks and central institutions.
What balance-sheet problems does the lab address?
The structural squeeze most banks now face: elevated loan-to-deposit ratios, reliance on volatile wholesale funding, compressed margins, and duration mismatches between long fixed-rate assets and short floating liabilities. Teams practise defending buffers, sourcing emergency liquidity, recalibrating FTP to the true marginal cost of funds, and hedging duration gaps with swaps and balance-sheet restructuring.
Is an in-house edition possible?
Yes. The lab can be delivered in-house for a single institution’s ALCO and technical teams, tailored to its balance-sheet structure and supervisory context, and it is available in English and French like every BIZENIUS programme. Public sessions run on a rolling calendar with dates on request, and fees are provided on enquiry.
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In their words
Knowledge transfer, emphasised throughout
“We worked with BIZENIUS for our Fresh Graduates Programme — they are simply amazing. Knowledge transfer and practical learning were emphasised throughout.”
Kuwait Investment Authority
From the Mandate Record
Mandate № 01 · Africa
The training programme that became national regulation
What the team mastered, the regulator wrote into the rulebook.
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The Capability Arc™
Fix it · Advisory
Liquidity & ILAAP
An ILAAP the treasury runs and the supervisor accepts.
Automate it · Smart IT
BIZENIUS Accord
The licensed platform — 17 engines, Basel I to 3.1, on-premise.
Learning is one point on the Capability Arc. Many institutions pair this programme with the advisory engagement — and automate what the framework demands.
Teams from these institutions train with BIZENIUS
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