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

Data requirements

  • Building stress testing models using >5 years of data
  • BCBS 239
  • IFRS 7 reporting disclosures
  • Ensuring consistency
  • Building a regression model to adequately capture the effects of deposit interest rates
  • Outsourcing for data – pros & cons

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

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, Liquidity Risk Manager, Raiffeisen Bank International AG

12:30

Lunch

13:30

Liquidity risk modelling

  • Liquidity risk modelling of deposits & NMD’s
  • Assessing NMD’s under Pillar II
  • Linking liquidity with SYSC provisions and the potential impact on liquidity buffers
  • How to quantify the run-off of retail funding
  • Reverse stress testing; deposit outflow assumptions

15:00

Afternoon break

15:30

Non maturing deposits with stochastic interest rates

  • Modelling allowances
  • Management of present values
  • Overview of deposit scopes
  • Static approach
  • Simultaneous modelling of deposit volumes, interest rates & credit spreads
  • Hedge ratios
  • Applications to decay models

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

17:00

End of course