The Quantitative Banking Simulation: ALM, Capital & Liquidity Optimisation Masterclass
When rates cycle down, the threat to earnings is not any single risk — it is organisational friction — a bank whose Risk, Treasury and Finance desks work from different assumptions decides slowly at exactly the moment margin defence demands speed.
Format
Classroom
Upcoming sessions
Pick a session to applyADMISSIONS OPENThe programme
As benchmark rates cycle downward, banks face margin compression, IFRS 9 Stage 2 migrations and hard Basel capital and liquidity mandates — and static spreadsheets in siloed functions are no defence. The masterclass runs on a deliberate two-tier design. Days 1 and 2 calibrate the quantitative machinery with heads of ALM, treasury, risk and finance: IRRBB measurement — NII and EVE sensitivity, repricing gaps, behavioural deposit modelling; RWA optimisation under Basel III and IV; IFRS 9 Stage 2 dynamics; funds transfer pricing; prudential liquidity — LCR, NSFR, buffers and funding drag; and climate risk in ICAAP. Day 3 is the war-room: the C-suite joins, and competing executive teams run a multi-billion-dollar simulated balance sheet on the web-based engine through three escalating rounds — baseline positioning, sudden rate cuts and curve inversion, then a severe Stage 2 downgrade shock — before defending their capital, liquidity and ROE outcomes in front of the cohort. Delivered as a public cohort or in-house, with the engine calibrated to the client bank’s own balance sheet.
What you will do
Who attends
A two-tier executive design: chief executive, risk, financial, operating and credit officers, board and ALCO members join for the Day 3 war-room; heads of treasury, ALM, risk, credit risk, finance, capital and liquidity management attend all three days; senior risk managers, financial controllers, internal auditors and compliance officers complete the technical bench — from commercial, corporate and investment banks, central banks and financial regulators.
Programme agenda
Built for the decisions no textbook prepares you for
I.Treasury strategy, ALM & executive governance
- The role of Treasury and ALCO in balance-sheet protection — funding strategy, asset pricing, risk limits, escalation
- Alignment across Treasury, Risk, Finance and Internal Audit — one set of assumptions, one story
- Management information and board reporting that carry decisions, not just data
II.IRRBB & net-interest-margin defence
- IRRBB fundamentals and supervisory expectations; NII, EVE and earnings-at-risk analysis
- Repricing gaps, basis risk, yield-curve shifts and structural optionality
- Behavioural modelling of non-maturity deposits and customer repricing under rate cycles
III.Capital allocation, RWA optimisation & IFRS 9 dynamics
- Stage 2 migrations and impairment risk: quantifying the earnings impact of elevated provisioning
- RWA optimisation under Basel III and IV — including regulatory risk-weight incentives used properly
- Funds transfer pricing: the true cost of funds and tenor, allocated across lending, deposit and treasury desks
IV.Prudential liquidity, funding & climate in ICAAP
- Funding mix and cost-of-funds optimisation; buffers, trapped liquidity and reserve adjustments
- Central-bank term repo and liquidity facilities; deposit concentration and behavioural stability under stress
- Climate and sustainability parameters in ICAAP and ILAAP — physical and transition risk on credit portfolios
V.Day 3 — the live balance-sheet war-room
- Competing executive teams — CEO, CRO, CFO, Treasurer — take charge of a multi-billion-dollar simulated balance sheet on the web-based engine
- Three escalating rounds: baseline positioning · sudden rate cuts, curve inversion and liquidity draws · severe Stage 2 downgrade shocks
- Boardroom defence of capital, liquidity and ROE results — then the debrief that turns simulation into an action plan
Frequently asked
How is the three-day programme structured?
Days 1 and 2 calibrate the quantitative machinery with heads of ALM, treasury, risk and finance — IRRBB measurement, RWA optimisation, IFRS 9 Stage 2 dynamics, funds transfer pricing and prudential liquidity. Day 3 is the war-room: the C-suite joins, and competing executive teams run a multi-billion-dollar simulated balance sheet through three escalating rounds before defending their results in front of the cohort.
What does the simulation actually involve?
The simulation runs on a web-based engine in a zero-risk sandbox. Teams face three escalating rounds — baseline positioning, sudden rate cuts with curve inversion and liquidity draws, then a severe Stage 2 downgrade shock — and must defend their capital, liquidity and ROE outcomes in a boardroom-style debrief that turns the exercise into an action plan.
Do executives need to attend all three days?
No. The design is deliberately two-tier: chief executive, risk, financial, operating and credit officers, board and ALCO members join for the Day 3 war-room, while heads of treasury, ALM, risk, finance, capital and liquidity management attend all three days. Senior risk managers, financial controllers, internal auditors and compliance officers complete the technical bench.
Can the simulation be run in-house for our bank?
Yes. The masterclass is delivered as a public cohort or in-house, and for in-house editions the simulation engine is calibrated to the client bank’s own balance sheet. Like every BIZENIUS programme it is available in English and French, dates are arranged on request against a rolling calendar, and fees are quoted on enquiry.
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