ALM & Balance Sheet Optimisation Amsterdam

Following the success of courses in London and New York, Risk’s two day training course is coming to Amsterdam in September. This course will help attendees understand the three main challenges within ALM; liquidity, interest rate risk and capital along with a focus on managing, integrating and optimising your balance sheets.

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ALM & Balance Sheet Optimisation

5th & 6th September 2018

Amsterdam

View the Agenda                  Pricing & Registration

Following the success of courses in London and New York, Risk’s two day training course is coming to Amsterdam in September. This course will help attendees understand the three main challenges within ALM; liquidity, interest rate risk and capital along with a focus on managing, integrating and optimising your balance sheets.

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Thomas Ribaritis

Head of Financial Engineering & Advisory Services, Treasury

European Investment Bank

Thomas Ribarits joined EIB in 2005 within Financial Risk Management, dealing with loan and funds transfer pricing, performance measurement and Asset and Liability Management. In 2011 Thomas was advising the EFSF (European Financial Stability Facility), predecessor of the ESM, and implemented a pricing model for programme loans to Ireland and Portugal. Thomas then headed the Pricing Unit in the Credit Risk Department of EIB, covering credit risk pricing, loan loss reserves, watch listing and the Economic Capital framework. Since 2013 he is heading the Financial Engineering and Advisory Services Division in the Treasury Department.

Thomas holds a PhD degree in system theory and time series analysis and has spent 5 years in Academia at University of Technology Vienna and as post-doc at several European universities. He has led EIB research project co-operations and regularly acts as expert speaker at professional risk and finance conferences.

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Dr. Matteo Formenti

Head of Behavioural Models

Uni Credit

Market, Operational & Pillar II Risk Validation
Uni Credit

A quantitative background in theory of finance, financial products and interest rates models applied in a primary Italian bank's Risk Management Validation unit, in particular for Pillar I (Counterparty Credit Risk, Market Risk), Pillar II (Credit VaR), and ALM Interest rate and Liquidity Risk. Today fully involved in sight asset modeling for liquidity and funding purposes introducing the Montecarlo approach to estimate the future liquidity outflow and estimates of prepayment of floating and fixed mortgages.
External Professor at University of Castellanza of financial markets and asset management and MIP (Milan Politecnique) of market risk.

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Christian Hasenclever

Head of Strategic Asset and Liability Management

Norddeutsche Landesbank

Head of Strategic Asset and Liability Management

Norddeutsche Landesbank

Christian Hasenclever is the head of Strategic Asset and Liability Management (ALM) at NORD/LB's Treasury department in Hannover. He manages the strategic liquidity risk position incl. funding planning and he is in charge of the group-wide internal Funds Transfer Pricing system. That includes the constant conceptional enhancement of the liquidity risk management and of the FTP-system as well as the coverage of regulatory developments relating to liquidity management and FTP.

Before he was the head of a Strategy and Modelling - a unit within Treasury, which had a special focus on developing an advanced pricing model for embedded options in wholesale loans. Prior to that he worked for Bremer Landesbank as a portfolio manager and expert within ALM. He started his career at Bankgesellschaft Berlin as a project manager in the structured finance department and later as a senior fixed income researcher within capital markets. He is a Certified International Investment Analyst (CIIA) and graduated economist.

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Hendrik Jan Luikinga

Deputy Head of Treasury

NN Bank

Hendrik Jan started his career in the financial markets in 1986. Though various positions in banking he became Director of Treasury of Delta Lloyd bank. Whereby the focus of the team was: ALM, capital market transactions (securitization), pricing of mortgages- and saving, liquidity management and other minor treasury activities. Post-merger of NN Bank and Delta Lloyd Bank, he has taken up the role as Deputy Head of Treasury of NN Bank and currently holds that position.

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Didem Kadioglu Pijls

Risk Manager - Group ALM/Treasury Risk Advisory

Rabobank

Didem Kadioglu is Senior Risk Manager in the Group ALM- Treasury Risk Advisory team of Rabobank. In this role, she acts as the second line of defense, challenges the first line proposals, and advises the Board on key risk drivers for liquidity and funding. In addition, she is in charge of regulatory monitoring and assessment, as well as dialogue on liquidity and funding risks. She began her career in 2001 at Deloitte auditing. Afterwards she spent over ten years working for a number of large to medium size Dutch Banks within several risk domains, such as market risk trading, asset-liability management, liquidity risk, capital planning -and management, and stress testing. Didem holds an MSc in Risk Management from New York University Stern and in Economics from Freiburg University, Germany

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Thomas Becker

Director Group ALM

Deutsche Bank

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Thomas Ralph

Head of Treasury Risk

Metro Bank UK

Thomas Ralph is the Head of Treasury Risk at Metro Bank, based in London. He heads up the second line of defence in the areas of interest rate risk, liquidity risk, and FX. He joined from EY where he was a manager in the Advisory practice specialising in Treasury and ALM, and previously spent over five years in the ALM function at Lloyds Banking Group. Thomas has a keen interest in education, coaching, and training.

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Course Highlights
  • Overview of the evolution of ALM, looking at specific EU banking laws and how the treasury should work to support bank strategies
  • Detailed outline of Basel III, Basel IV and liquidity frameworks including LCR, NSFR & the leverage ratio
  • Framework of behavioural modelling and interest rate risk in which IRR metrics & scenarios will be analysed along with discussion on the current low/negative EUR rates and subsequent consequences
  • Insight into strategic ALM; how to address the 3D balance sheet optimisation problem and integrate balance sheet management throughout the bank
  • Learn about FTP, how to build your internal funding framework and utilise this as an interest rate risk and profitability management tool
  • Delve into best practices for utilising machine learning in balance sheet management and how to identify your most susceptible clients
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Who Should Attend

This course is primarily aimed at those working in the ALM function however Risk welcomes anyone who would benefit from this training. Specific job titles may include but are not limited to:

  • Risk Officer
  • Liquidity Risk Manager
  • Senior Liquidity Risk Officer/Manager
  • Head of ALM
  • Balance Sheet & Liquidity Management
  • Treasurer
  • Head of IRRBB
  • Balance Sheet Analytics
  • ALM Risk Manager
  • ALM Specialist
  • Strategic Asset & Liability Management
  • Interest Rate Risk
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Learning Outcomes
  • A new or enhanced knowledge of the ALM regulatory environment and how to go beyond regulatory compliance to create and maintain an effective ALM strategy
  • Understand strategic ALM and how to integrate and optimise the balance sheet
  • Gain insight into IIR metrics and scenarios and how these impact on behavioural modelling and interest rate risk
  • Learn how to improve and optimise your balance sheet management through focusing on modelling balance sheet risk
  • Gain a thorough understanding of the concepts around FTP and how this affects liquidity reporting
  • Understand the options for machine learning and big data applications towards balance sheet management

05 September 2018
2018-09-05 09:00:00 +0100

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