Asset Liability Management & Interest Rate Risk in the Banking Book (Part 1 of 4)

Eric Schaanning heads the Market Risk & Valuation Risk Management functions for the Nordea Group. Prior to this role, he worked at UBS / Credit Suisse in Zurich and before that I worked for the European Systemic Risk Board (ESRB) and Norges Bank.

His research focuses on (reverse) stress testing, systematic vulnerability identification and systemic risk. I enjoy finding innovative solutions to practical risk management questions faced by financial institutions and policy makers.

Full transcript available here: https://aqfd.docsend.com/view/bxtu77b...

Here's a link to the presentation: https://papers.ssrn.com/sol3/papers.c...

Contents:

(00:00:00) Asset Liability Management & Interest Rate Risk in the Banking Book
(00:06:03) A Case Study in Interest Rate Risk and Asset-Liability Mismatches
(00:14:24) Liquidity, Insolvency, and Interest Rate Risk
(00:20:15) The Mechanics of Bank Balance Sheets
(00:32:24) Bank Balance Sheets, Loan Reporting, and Equity Capital
(00:49:28) Exploring the Dynamics of Fractional Reserve Banking, Interest Rate Risk, and Regulatory Frameworks
(01:03:30) From Pillar One to Pillar Three: Regulatory Safeguards and Banking Risk