The Yield Curve Call

You sit on the investment committee of Banca Aurelia S.p.A., a mid-sized Italian commercial bank running a €9.0bn securities portfolio. A June 2026 inflation surprise forces the ECB to signal faster: 2-year yields jump +90 bps and 10-year yields +60 bps in a bear-flattening, non-parallel curve shift.

Your bond book carries 5.8 years of duration and a slice of hidden amortized-cost losses; your CET1 ratio of 14.2% must never fall below the 11.0% regulatory floor (or the 12.0% board trigger that forces a remediation filing).

Across four rounds you diagnose the true exposure, set an explicit risk mandate (duration band, equity cap, drawdown ceiling, CET1 floor), reallocate the €9.0bn across equities, short-duration bonds, long-duration bonds and cash, then govern through a second-leg shock and a deposit-outflow surprise.

Built on Beltratti's thesis that asset prices embed time-varying expected returns: every allocation must be the consequence of a stated expected-return view, governed against a binding capital constraint.

Learn how duration, non-parallel curve shifts and amortized-cost vs FVOCI accounting transmit a rate shock into both P&L and regulatory capital — and why a risk limit is only worth the discipline you keep when the market moves against you.

An advanced simulation for participants used to working with the main frameworks and trade-offs of the subject, designed for executive education and experienced professionals.