Deposit Modelling Amsterdam
Hear from senior practitioners and learn best practice approaches for deposit modelling through various treasury functions including FTP, IRR & liquidity.
Our Deposit Modelling training is coming to Amsterdam for the first time in February. Providing delegates with key insights into deposit modelling, this course will consider modelling options for treasury functions such as FTP, IRR & liquidity.
Day one of the course will comprise of sessions taking an in-depth look at the regulatory overview of deposit modelling and the key data requirements for capturing deposit rates. The day will continue with a session on FTP and a look at varying approaches to deposit modelling.
Day two will continue with a focus on interest rate risk modelling, applications of stress testing and modelling liquidity risk. The course will conclude with a session on how to model NMD’s with stochastic interest rates.
Who Should Attend?
Relevant departments may include but are not limited to:
- Deposit modelling
- Asset & liability management
- Treasury risk
- Balance sheet management
- Interest rate risk
- Funds transfer pricing
- Risk modelling
- Risk management
What Will You Learn?
- The role of the deposit model and evolution of regulatory guidance throughout the EU, UK & US
- Approaches to data requirements under various regulations including IFRS 7 & BCBS 239
- Best practice approaches to modelling non-maturity deposits
- Ways FTP affects deposit models and modelling for NMD balance sheets
- How to model for interest rate risk and liquidity risk
- Stress testing frameworks and approaches to stress testing NMD’s
Cluster Lead Interest Rate and Liquidity Risk Modelling
Bert-Jan Nauta works as cluster lead of interest rate risk and liquidity risk modelling at ABN AMRO. In this and former positions at a.o. the Dutch Central Bank and RBS he has worked on a variety of models, such as derivative pricing models, liquidity risk models, and economic capital models. His research focuses on including liquidity risk in derivative pricing models and the connection to funds transfer pricing and FVA.
Head of Treasury
Garanti Bank N.V
Alper Demir is the Director of Asset and Liability Management at Garantibank International NV. Prior to moving to The Netherlands, he worked as Treasurer of Garantibank Moscow and senior ALM dealer at Garantibank Turkey. He holds an MSc in Finance and Economics from LSE and he covers liquidity, interest rate and structural exchange rate risks in his current role.
Senior Liquidity Risk Manager
Raiffeisen Bank International AG
Vera has been working at Raiffeisen Bank for 8 years and is responsible for liquidity risk position management. She is involved in methodological development of Group-wide risk models of expected cash flows realization and future behavior of customer loans, deposits, and off-balance sheet products.
Financial Risk Manager
Brand New Day
Leonard Hugenholtz has done all types of risk management over the past decade. His mission is to combine regulatory requirements, internal policy, theory, and best practices and help banks act on their risks. He is currently the Financial Risk Manager for Dutch start-up bank Brand New Day
Head of Integrated Risk Modelling
Tom Dewyspelaere works at the Belgian bank Belfius. He has more than 20 years of experience in bank risk management, with a focus on the risk measurement and valuation of complex financial products and of credit portfolios. He is now head of the Integrated Risk Modelling Team in Belfius. This team is in charge of the risk quantification of the whole bank’s activities with a focus on all ALM and Capital related issues. As such the team is in charge of Belfius’ Economic Capital, Earnings at Risk and Stress Testing models, important building blocks of the bank’s Risk Appetite Framework and Risk Based Pricing. The team also challenges, with a risk view, the main ALM models and assumptions.
Dieter Van Welden
Quantitative Analyst Integrated Risk Modelling
Dieter Van Welden is currently working at Belfius bank as a member of the Belfius Integrated Risk Modelling Team. His key focus areas have been stress testing models and the modeling of non maturing deposits and prepayment risk. In his former position at Record Bank (an ING subsidiary) as part of the ALM team he was involved in the management and modeling of interest rate in the banking book.
Head of Risk Methodology in Model Validation
Stratos is the head of Risk Methodology in Model Validation (RMV) at Rabobank. Under his responsibility is a wide range of model validations related to XVAs, Market Risk and Counterparty Risk for the Trading book, Interest and Liquidity risk for the Banking Book, Operational Risk and pillar II models including Stress Testing. In his former positions in ABN AMRO, Stratos has worked for several years on modelling a variety of Market Risk and ALM risk related models.
Director, Risk Advisory
Roald has deep and broad knowledge of ALM, Treasury and Market risk. Within this domain Roald focusses on creating (behavioural) models for a large range of products on the asset and liability side of banks and insurers, and implementing these models into various core systems of the financial institution Overall Roald expertise is both on the content side (e.g. ILAAP, ICAAP, IRRBB, economic capital model development, replicating portfolios, behavioural modelling) as well as on the Project Management side (e.g. driving methodology development and process modelling projects, coordinating IT implementation).
Bauke works in the Financial Risk Management team of Deloitte. Where she focusses on ALM Modelling, in particular behavioural modelling of a wide range of products on the asset and liability side of Banks and insurers. In the past years she developed multiple behavioural models for both interest rate and liquidity risk.
Juan G. Cascales
Juan G. Cascales is a partner of the Netherlands office of Management Solutions, as well as partner of their UK Office.
Juan leads the data practice of Management Solutions in those geographies, and has devoted a large part of his professional career to advise Global and Domestic Systemically Important Financial Institutions and Large Corporations in their adaptation to market best practices and regulation (BCBS 239, TRIM, GDPR) around Data Management, Data Governance, Data Control, Data Tooling, Record Management and Data Protection, amongst others.
Juan is also part of the Management Solutions Research and development team.
Juan has a degree in Physics and a PhD in Theoretical Physics from Autonomous University in Madrid. He has developed most of his professional career between Madrid, London and Amsterdam.