Agenda

Agenda

Course Agenda

Day 1

Wednesday 19th September 2018

                                                                                                                                                                                                                                                                                                                                                                                                                     
 08:30 

Registration and refreshments

            

09:00

            
  

Liquidity risk

  • Liquidity analysis
  • Stress testing
  • Funding sources and obligations
  • Deposits
  • Regulatory considerations: Pre-crisis to present

 Speaker: Hortense Huez, Director, FS Risk and Regulation Centre of Excellence, PwC

    

10:30

Morning break      

            

11:00

            

Regulatory overview & key considerations       

  • Regulatory environment
  • IRRBB
  • Deposit modelling and Liquidity
  • Fund Transfer Pricing
  • Market environment and its impact on Banking ALM
  • Evolution of risk metrics (LCR, NSFR, EVE/NII, RoE, NIM)
  • Industry Challenges to Modelling
  • IRRBB Data challenges
  • Expert Judgement
  • Technology push and opportunities
  • PSD2, Open Banking
  • Liquidity (Internal and External)
  • Challenges in deposit modelling and NMDs
  • Challenges in FTP modelling
Speaker: Olivier Vincens, Director – Banking ALM, Balance Sheet and Modelling Optimisation, PwC

12:30 

Lunch

            

13:30

            

Interest rate risk management

  • IRR metrics: NII, duration of equity, GAP report
  • Finding an investment strategy
  • MVE; deriving the initial value of NMD’s
  • Assumptions about the behaviour of NMD’s

Speaker: Beata Lubinska, Senior Market Risk Manager, MeDirect Group

15:00

Afternoon break

            

15:30

            

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)
  • Putting it all together: profitability and RAROC
  • How to synchronise mismatch dynamics and balance sheet IRR dynamics

Speaker: Louise Hammond FCA, FCT, Head of International Transfer Pricing, Barclays

17:00 

End of day one

Day 2

Thursday 20th September 2018

                                                                                                                                                                                                                                                                                                                                                                                                                     

08:30 

Refreshments

            

09:00

            

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

Speaker: dr. Aleksandra M. Basic, Senior ALM Risk Manager, Cembra Money Bank

10:30 

Morning break

            

11:00

            

Modelling non-maturity deposits

  • 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

12:30

Lunch 

            

13:30

            

Balance sheet optimisation

  • Overview of balance sheet management
  • Role within the treasury
  • Importance of integration with risk management
  • Optimising your strategy
  • Cash management

Speaker: Matteo Formenti, Operational ALM - Behavioural Model, UniCredit

15:00

Afternoon Break

            

15:30

            

ILAAP & Pillar II

  • Assessing NMD’s under Pillar II
  • Challenges of how to treat intra-group reporting
  • Linking liquidity with SYSC provisions and the potential impact on liquidity buffers
  • The limitations of utilising the LCR methodology for a single view of risk appetite
  • How to quantify the run-off of retail funding
  • Reverse stress testing; deposit outflow assumptions

Speaker: Richard Burrows, Head of Treasury, Bank of China

            

17:00

End of course