Course Agenda


Course Agenda

Day One


Registration and refreshments


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
  • Balance sheet management under increased rate volatility
  • OSFI IRRBB Draft Guidelines – Meeting regulatory expectations

Karl Rubach, Managing Director, IBSM Solutions Inc.


Morning break


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




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


Afternoon break


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

Ancheng Luo, Manager, PwC


End of day one

Day 2


Coffee and registration


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

Jimmie Lenz, Principal, Financial Risk Group


Coffee Break


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 




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

Jun Wang, Managing Director, RBC


Coffee Break


ALM and Balance Sheet Management under New Basel & Liquidity Frameworks

  • An overview of the Basel & Liquidity guidelines: TLAC, LCR, NSFR, FRTB, IRRBB, and capital ratios,
  • How BAU treasury management and reporting is affected by regulatory requirements
  • War game: ALCO and senior management response to mitigate rogue trading losses
  • Optimizing balance sheet and portfolio of businesses to increase profitability within regulatory constraints.

Alex Shipilov, MBA, Ph.D., M.Eng, CRMA, Managing Director, Risk and Regulatory Compliance Practice Leader in Canada Protiviti

Karl Rubach, Managing Director, IBSM Solutions Inc.


End of Course