Applications in Interest Rate Risk, Liquidity Risk and Funds Transfer Pricing
London, October 16-17
In this course, we discuss a number of risk and profitability management problems which require explicit assumptions about the behaviour of NMDs: Interest Rate Risk, Liquidity Risk and Funds Transfer Pricing (FTP). We propose a modeling framework which includes a well-constructed FTP process for ensuring that that measures of value are consistent with the perceived duration and liquidity value used in IRR and LR management exercises. Integral to this framework is a rigorous governance process which ensures that changes in behavior are quickly recognised; behaviours are either modified or risk and profitability measures are recalibrated.
Who Should Attend:
- The course is vital for professionals within the financial industry who work on ALM and specifically deposit modeling. The course will help nurture understanding, implementation and management of sound policies, particularly for those who have never been exposed to increased interest rates in the last decade. However, Risk welcomes any individual with an interest in the course material.
- Overview of Balance Sheet Management
- The Deposit Modeling Problem
- IRR Management Considerations
- Liquidity Risk Management Considerations
- Funds Transfer Pricing (FTP)
- Regulatory Mandates
- The Deposit Model
- Governance and Accountability
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By the end of the two days, delegates will:
- Understand how deposit behaviors impact measures of IRR and LR
- Appreciate how business strategies can destroy the value of deposits
- See why measures of value and profitability must be synchronised with measures of risk
- Learn from a seasoned risk and balance sheet manager who has dealt with deposits for over 20 years
Event led by:
David J. Green, PhD, CFA: Managing Director, The Exequor Group
David is a Managing Director in the Financial Services Practice of The Exequor Group. David's 20+ year banking career includes roles at several banks, a bank regulator, a software firm and several consulting firms. This diverse experience allows for a comprehensive perspective on a broad range of risk and balance sheet management problems.
During the financial crisis, David was the Treasurer of BankUnited, the largest bank headquartered in Florida. He was responsible for the investment portfolio, funding and derivatives, secondary marketing, FTP and asset/liability management. At the time of the last increase in market interest rates, David was the A/L Manager at SunTrust Bank; there he built and managed the interest rate risk models for the bank and worked to align a number of business functions including budgeting/forecasting, FTP and strategic balance sheet management.
David was a Bank Examiner at the Federal Reserve Bank of Atlanta, where he also spent two years in research while completing his PhD. He is also a former Chairman of the Georgia Bankers Association's Asset/Liability Management Committee and he was Chairman of SunGard/Bancware's US Client Advisory Council for many years.
Dr. Green holds a PhD in Economics from Georgia State University, a BS in Applied Mathematics from Georgia Tech and is a CFA charter holder. He is a frequent speaker at banking and risk management conferences in the US, Canada, Central and South America and Europe.