Course Agenda

Agenda

Course Agenda

Day 1

Wednesday 20th February 2019

08:30

Registration and refreshments

09:00

Regulatory overview & key considerations

  • Class introductions
  • Deposit modelling – where are we now and where are we going?
  • Key challenges:
    • Influx of deposits into banking systems
    • Excess liquidity; are these the final months?
    • Data challenges
    • Difficulty predicting customer behaviours
  • Evolution of regulatory guidance, modelling approaches and risk metrics; Basel and EBA requirements
  • Starting a bank – first-hand experience

Speaker: Leonard Hugenholtz, Financial Risk Manager, Brand New Day

10:30

Morning break

11:00

Liquidity risk modelling

  • Context
    • Purposes of liquidity modelling
    • Business-as-Usual versus Stress
  • Stress
    • Stress testing (Liquidity stress test / Reverse stress testing)
    • Liquidity buffer
  • Business as Usual
    • Modelling the volume and run-off of NMDs
    • Pricing of liquidity – own funding costs
    • Liquidity gap – derive the funding gap

Speakers:    Bauke Maarse, Manager FRM, Deloitte & Roald Waaijer, Director Risk Advisory, Deloitte

12:30

Lunch

13:30

Data requirements

  • “Data requirements” for balance sheet management and modelling. A high level view of the data domains involved and main challenges
  • “Requirements on data”, namely, what good looks like from a data perspective:
    • BCBS 239 requirements on data
    • Extension of BCBS 239 to other use cases beyond Risk Reporting
    • Interconnectivity between BCBS 239 and other data requirements (e.g. for Internal Capital Models, etc…).
  • Progress of Financial Institutions in developing their Data Framework:
    • Progress on adoption of BCBS 239 (BCBS “implementation” report)
    • Broader adoption of Data Governance and Control best practices:
  • Data Tooling for Data governance, quality, architecture
  • Organisational setups: Chief Data Officers, Data Owners, Data Consumers, Data Stewards, etc…
  • Artefacts, “data” and “metadata” products.
  •  Data Operating Model: outsourcing, “data management as a service”, etc…

Speaker: Juan Garcia Cascales, Partner, Management Solutions

15:00

Afternoon break

15:30

Varying approaches to deposit modelling

  • Everything at O/N, everything at average life
  • Quantification of data
  • Tractor models and replicating portfolio models
  • Vintages, core/volatile split, LCR considerations
  • Balance volatility
  • Integrating the model component
  • Low interest rates
    • How to model floors in rates?
    • Client behaviour when short term market rates exceed client rates
    • Should deposits also be modelled as NMD’s?

Tom Dewyspelaere, Head of Integrated Risk Modelling, Belfius & Dieter Van Welden, Quantitative Analyst Integrated Risk Modelling, Belfius

17:00

End of Day 1

Day 2

Thursday 21st February 2019

08:30

Refreshments

09:00

Interest rate risk modelling

  • Finding the dynamic deposit rate of NMD’s
  • Model for market rates
  • Model for deposit volumes
  • Model for deposit rates
  • Modelling separately or intertwined? E.g. vector autoregressive system

Speaker: Bert-Jan Nauta, Cluster Lead Interest Rate and Liquidity Risk Modelling, ABN Amro

10:30

Morning break

11:00

Stress testing

  • EBA  & BOE guidelines
  • Stress testing frameworks
  • Practical example of product stress test
  • Stress testing NMD’s

Speaker: Vera Economou, Senior Liquidity Risk Manager, Raiffeisen Bank International AG

12:30

Lunch

13:30

Funds transfer pricing

  • What is FTP and what are the benefits?
  • Thinking about the mismatch centre
  • Static strip, stochastic strip funding
  • Term liquidity premium (TLP)
  • Repricing premium or term liquidity premium?
  • Modelling for NMD balance sheets; Stickiness premium
  • Is a floor part of business risk or interest rate risk?

Speaker: Alper Demir, Head of Treasury, Garanti Bank N.V

15:00

Afternoon break

15:30

Best practices for Non Maturing Deposits

  • The balance sheet cash flow approach
  • Best practices for deposits modelling
  • Best practices for deposits model validation
  • Risks & hedging from business perspective

Speaker: Stratos Nikolakakis, Head of Risk Methodology in Model Validation, Rabobank 

17:00

End of course