29 - 30 November 2017, Singapore

Programme

Day One - Wednesday, 29 November 2017

09:00 Organising your ALM and the role of the individual

  • The evolution of ALM
  • Driving beyond regulatory compliance
  • Role of the Treasurers and CFOs
  • What is your bank's strategy? How does the regulator support this?
  • ALCO reporting
  • Operating an efficient ALM model
    • Managing Model Risk

Nicholas Wood, Financial Sector Consultant, (Formerly consultant to IMF Money & Capital Markets Division and Standard Chartered Bank Group Treasury, Global Business Head)

10:30 Morning coffee break

11:00 Balance sheet management

  • Capital optimisation
    • Capital efficiency
    • How to identify capital optimisation opportunities in the balance sheet
  • Tools to optimise your balance sheet
  • What drives the capital balance sheet growth?
  • Balance sheet optimisation under Basel III

Rahul Kale, Executive Director, Liquidity Risk Stress Testing, STANDARD CHARTERED BANK

12:30 Lunch

13:30 Liquidity framework

  • Permissible funding resources          
  • Concentration limits
  • Contigency funding plan
    • Alternative funding                  
  • Align global regulatory reporting requirements with:
    • Internal monitoring
    • Reporting framework

Rahul Kale, Executive Direcotr, Liquidity Risk Stress Testing, STANDARD CHARTERED BANK

15:00 Afternoon coffee break

15:30 Net Stable Funding Ratio framework and business implications

  • NSFR                
    • Available Stable Funding (ASF)
    • Required Stable Funding (RSF)  
  • Secured funding vs. unsecured funding
  • Derivatives
  • Retail/ small business deposits
  • Wholesale deposits
  • Business implications

Rebecca Ng, First Vice President | Balance Sheet Risk Management, UOB GROUP

17:00 End of Day 1


Day Two - Thursday, 30 November 2017

09:00 Balance Sheet Optimisation

  • Balance sheet planning        
  • Management of funding costs
  • Generating results on balance sheet position
  • Having the right balance sheet mix
    • Product mix
    • Business mix

Nicholas Wood, Financial Sector Consultant, (Formerly consultant to IMF Money & Capital Markets Division and Standard Chartered Bank Group Treasury, Global Business Head)

11:00 Fund Transfer Pricing (FTP)

  • How FTP affect a bank's liquidity reporting
  • Contingent liquidity premium
    • Potential liquidity shocks
  • Stress test liquidity position
  • Optimisation of internal funding
  • Cross-border funding
    • Shortage of local currency funding
    • Fungibility of funding across borders

Nicholas Wood, Financial Sector Consultant, (Formerly consultant to IMF Money & Capital Markets Division and Standard Chartered Bank Group Treasury, Global Business Head)

12:30 Lunch

13:30 Capital Management

  • Risk Weighted Assets (RWA) calculations
    • Market risk requirements
    • Credit value adjustments (CVA)
    • Counterparty Credit Risk
  • What is the cost of capital?
  • Return on Equity
  • Capital Pricing
  • Active Capital Management

Maha Krishnan, Director | Head - Regulatory Policy & Advisory Group, APAC, DEUTSCHE BANK

14:30 Regulatory and internal liquidity risk measure optimisation

  • LCR optimisation
    • Operational deposit
    • Stable retail deposit
    • HQLAs selection
  • Setting internal stress assumptions
    • Determine asset liquidity under GFC type of scenario
    • Intraday stress assumption

Peter Yue, Head of Policy, Analytics and Supervisory and Deputy Head of Asset Liability Management - Risk, OCBC BANK

15:30 Afternoon coffee break

16:00 Interest Rate Risk in the Banking Book (IRRBB)

  • Introduction to Basel IRRBB
    • Net Interest Income (NII) analysis
    • Measures of economic value and capital of IRRBB
  • How to measure stable non-maturing deposits
  • Risk free or non-risk free discount curves

Peter Yue, Head of Policy, Analytics and Supervisory and Deputy Head of Asset Liability Management - Risk, OCBC BANK

17:30 End of training course

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