Course Agenda

Agenda

Course Agenda

Day One

09:00

Registration and refreshments

09:30

The Evolution of ALM & the ALCO process

  • The role of the asset-liability committee and the ALM function within treasury
  • How the treasury supports your bank strategies
  • Defining risk appetite
  • Operating an efficient ALM model: Managing model risk
  • Recovery and resolution planning; recovering from a stress
  • The impact of banking laws on ALM

11:00

Morning break

11:30

Managing the balance sheet

  • Allocating the balance sheet
  • Behaviour assumptions
  • Balance Sheet Optimisation through Behaviour model
  • Cash flow predictions and back testing
  • Capital structure optimisation

Donna Howe, CEO, Windbeam Risk

1:00

Lunch

2:00

Behavioural modelling and interest rate risk

  • IRR metrics;  MVE/EVE NIM; riding the yield curve
  • NMD behavioural modelling
  • Deposit, Prepayment & FreeFund Modelling
  • Behavioural modelling assumptions
  • Current low/negative EUR rates and consequences
  • Business Model impact of the IRRBB regulations
  • Managing IRRBB in practice

Donna Howe, CEO, Windbeam Risk

3:30

Afternoon break

4:00

Funds transfer pricing

  • A simple balance sheet to start with
  • Basic FTP: the term liquidity premium
  • Building an internal funding framework
  • Adding liquidity risk and liquidity options
  • Adding market risk
  • FTP and IRRBB

5:30

End of day one

Day 2

09:00

Coffee and registration

5:30

Capital management  

  • Risk weighted assets (RWA) calculations;
    • -Market risk requirements
    • - Counterparty credit risk
  • What is the cost of capital?
  • How to manage return on equity
  • Capital pricing
  • Active capital management

Robert Paolino, Former CRO and Head of Risk for two of the largest Global Banks operating in Canada 

11:00

Coffee Break

11:30

Basel III, Basel IV & liquidity frameworks

  • Creating and operation the regulatory framework: likely costs and unintended consequences
  • TLAC holdings; instruments for secured funding & securitization
  • STS legislation requirements
  • Market risk framework
  • Basel III ratios; LCR, NSFR & Leverage ratio
  • Liquidity risk frameworks; daily LCR, Intraday liquidity
  • Basel IV calculations & timelines
  • Best practices for assessing and communicating the costs of new regulatory frameworks

13:00

Lunch

14:00

Strategic ALM; integrating and optimising the balance sheet

  • Addressing the 3D balance sheet optimisation problem; meeting the competing needs of regulators, customers and shareholders
  • Removing silos
  • Top down approach; recommended risk appetite statement and strong public disclosures
  • Liquid vs illiquid assets
  • Breakdown of liabilities; retail deposits, wholesale funding & capital

15:30

Coffee Break

16:00

Utilising machine learning and big data in BSM

  • Identifying the tradable asset classes that impact the balance sheet
  • Synthetic ‘pool’ or proxy representatives
  • Classifying and identifying products & pricing models
  • Input & output engines
  • Feedback loop to tweak rules and determine simulated scenarios
  • Identifying most susceptible clients
  • Re-balancing portfolios to achieve better P&L

16:30

End of Course