【正文】 Rien ne se perd, rien ne se cr233。ALM Treasury Financial Models New Models for Asset and Liability Management Alexandre ADAM, Head of Financial Models 2 New Models for Asset and Liability Management May 2023 Opening remark All opinions presented here are the ones of their author and cannot be taken as those of BNP Paribas. 3 New Models for Asset and Liability Management May 2023 Introduction ? Statement of fact = Lack of ALM modelling ? Demand deposit conundrum ? Indicator mismatch between Interest rate Gap Revenue sensitivity ? Basel II focuses mainly on credit risk and on operational risk and not on ALM risks ? New axes of ALM models development ? IT storage capacity increases ? Financial Market hedging techniques development ? Financial Market hedging products development ? The objective of this presentation is to show how ALM models will possibly evolve in the future. 4 New Models for Asset and Liability Management May 2023 Summary ? Necessity and opportunity to develop new models in ALM ? ALM indicators weaknesses ? ALM Models weaknesses ? ALM IT development ? New ALM models for Customer behaviour ? Amount projection modelling, wealth effect ? Customer arbitrage modelling, pensation effects ? New production modelling ? New ALM techniques to design hedging strategies ? Reconciliation between economic value and accounting value ? ALM delta Hedging ? Taking uncertainty into account ? Conclusion ? Revenue Backtesting ? What about liquidity? 5 New Models for Asset and Liability Management May 2023 Asset and Liability Management (ALM) ? In the Banking Industry, in the Insurance Industry or in financial directions of large Corporate Companies, the responsibility of Asset and Liability (A/L) Managers is to manage the financial risks due to a mismatch between the Assets and the Liabilities. ? interest rate risk ? liquidity risk ? currency risk… ? In banks, only the Banking Book operations are concerned (the Trading book is excluded from the ALM perimeter) ? The early origins of Asset and Liability Management (ALM) date to the early 80s in the United States when interest rates rose up to 15% or more. Nevertheless, bankers always had to deal with risk management. ? For example, during the Italian Renaissance, the job of the bankers in Florence was to finance long term investments (at high usury rates) by short term deposits (collected at a low interest rates). ? Those banks were already subject to liquidity risk (risk of deposit withdrawal) and to interest rate risk (risk of deposit rate increase). 6 New Models for Asset and Liability Management May 2023 ALM indicators (1) ? ALM risks e from a disequilibrium of maturity between assets and liabilities. The gaps and the schedules will measure this disequilibrium. ? A schedule of an operation is a function that project across time the residual amounts of capital ? The interest rate schedule is the projection across time of the residual fixed rate amounts of capital ? The liquidity gap is the function that associates to each maturity the difference between the remaining liabilities and the remaining assets for this maturity Gapt = Liability Schedulet – Assets Schedulet Liquidity Gapt = Liabilities remaining capitalt – Assets remaining capitalt ? When assets and liabilities have the same schedule, the liquidity gap is equal to zero, there is no liquidity risk (on the stock of operations) ? The interest rate gap is the function that associates to each maturity, the projected difference between the total fixed rate liabilities remaining at this maturity and the total fixed rate assets also remaining at this maturity. The remaining assets and liabilities exclude new customer productions, new contracts… Interest rate Gapt = Fixed Rate Liability Schedulet – Fixed Rate Assets Schedulet Interest rate Gapt = Fixed Rate Liabilities remaining capitalt – Fixed Rate Assets remaining capitalt ? If the pany has an interest rate gap constant and equal to zero, the pany will not be exposed to interest rate moves: without new production, the ines are then not sensible to the interest rate movements. T od ay 1 m on th 3 m on th 6 m on th 1 y ea r 3 y ea r s 5 y ea r s 10 y ea r s Mo r e t ha n 1 0 y ea r sF i x ed r ate l oa ns 40 34 34 33 32 20 12 F l oa ti ng r ate l oa ns 40 27 Net t r ea s ury 20 Cr ed i t l i ne s T ota l A s s ets IR s c he du l e 100 61 34 33 32 20 12 Cur r en t a c c ou nts 50 40 39 38 36 28 20 0 Li bo r ba s ed de bt 40 27 E qu i ty 10 10 10 10 9 7 5 T ota l Li ab i l i ti es IR s c he du l e 100 77 49 48 45 35 25 0 Rec ei v er s w ap s 10 10