Speaking:
Alec Hollis
Managing Director, Advisory
ALM First

Session:
Modeling off-balance sheet instruments & swaps with Evan Quinlan

Session Description:
This session aims to delve into the complexities and nuances of financial instruments that do not appear directly on the balance sheets but have significant implications for risk management, investment analysis, and financial reporting. The session will commence with a brief overview of off-balance sheet instruments, including the rationale behind their use and the financial and regulatory implications they carry. We will cover practical modeling techniques for modeling off-balance sheet instruments, including how to structure input data, select relevant model parameters, and interpret the model’s output. We’ll then explore swaps and derivative instruments, including interest rate swaps, currency swaps, and credit default swaps. Users will learn to model the valuation, risk, and potential profit or loss associated with these instruments. The session will cover setting up scenarios, adjusting for market conditions, and interpreting the outcomes for informed financial decision-making. By the end of the training, participants will have gained a deeper understanding of off-balance sheet instruments and swaps, equipped with practical skills to model and analyze these instruments using the ALM model. This enhanced capability will enable them to contribute more effectively to risk management, financial analysis, and strategic planning efforts within their organizations.