Is Your ALCO Ready for the Next Shocks?

Agenda

✅ 15:00 – 15:10 Welcome & Current Banking Challenges (Martin Macko) ○ Current market environment: interest rates, inflation, liquidity and macroeconomic uncertainty ○ Emerging risks and opportunities for banks ○ How ALCO reporting is evolving from monitoring to strategic decision support ○ Enhancing ALCO discussions through scenario analysis and forward-looking balance sheet insights ○ The growing role of quantitative planning in modern bank management ✅15:10 – 15:15 Regulatory Expectations for modern ALCOs (Katharina Sobczak)  ○ Latest regulatory developments affecting ALM and ALCO ○ Growing supervisory expectations for forward-looking risk management ○ Current regulatory challenges for banks ✅ 15:15 – 15:30 Bank performance - what success looks like (Paul Garvin) ○ Building an accurate and forward-looking view of balance sheet performance ○ Modelling future business, market and customer scenarios ○ Stress testing the balance sheet to support strategic decision-making ○ Optimising the balance sheet in line with Board objectives, risk appetite and customer needs ○ ALCO best practices: KPIs, dashboards, traffic-light reporting and management actions ✅ 15:30 – 15:55 Live Case Study: Can Your ALCO Quantify the Impact of Multiple Shocks? (Michal Lopušan) ○ Simulating an adverse macroeconomic scenario affecting interest rates, inflation, credit quality, liquidity, funding spreads and FX markets ○ Assessing impacts on profitability, liquidity position and key balance sheet metrics across the planning horizon ○ Understanding the interaction between interest rate risk (IRRBB), credit risk, liquidity risk and business performance ○ Evaluating alternative management actions and strategic responses available to ALCO ○ Demonstrating how integrated stress testing provides risk and balance sheet insights that support internal management and regulatory processes ○ Showing how quantitative planning can generate consistent data inputs for key risk areas (e.g. IRRBB, liquidity risk) within the broader supervisory context ✅ 15:55 – 16:00 Expert Q&A and Closing Remarks (Moderated by Martin Macko)