Agenda

Agenda

Course Agenda | ALM London 2019

Confirmed Speakers:

  • Thomas Becker, Director, Treasury, CIO Risk, Deutsche Bank 
  • Tony Morley, Head of Group Balance Sheet Management, Bank of Ireland Group 
  • Maurizio Garro, Senior Audit Manager, Capital Methodologies and Market Risk, Group Internal Audit, Lloyds Banking Group
  • Aasif Sarigat, Head of Asset & Liability Management (Interim), Secure Trust Bank
  • Chris de Stigter, Independent Consultant 
  • Yousef Ghazi-Tabatabai, Senior Manager, PwC
  • Anders Henriksen, Chief Analyst, Balance Sheet Analysis and Optimisation, Nordea 

Day One

Wednesday 20th March 2019

08:30

Registration and refreshments

09:00

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
  • The impact of banking laws on ALM

Speaker: Chris de Stigter, Independent Consultant 

10:30

Morning break

11:00

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

Speaker: Chris de Stigter, Independent Consultant 

12:30

Lunch

13:30

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

Speaker: Thomas Becker, Director, Treasury, CIO Risk, Deutsche Bank

15:00

Afternoon break

15:30

Basel III, Basel IV & Liquidity Frameworks

  • The new regulatory framework
  • The Basel timeline
  • TLAC/MREL: a comparison
  • STS legislation requirements
  • Basel III ratios: LCR, NSFR & Leverage ratio
  • Basel IV: impact analysis
  • Good practice for dealing with the new regulatory framework
  • What does the future look like?

Speaker: Maurizio Garro, Senior Audit Manager, Modelling, Capital Methodologies and Market Risk, Group Internal Audit, Lloyds Banking Group

17:00

End of Day One

Day Two

Thursday 21st March 2019

08:30

Refreshments

09:00

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

Speaker: Yousef Ghazi-Tabatabai, Senior Manager, PwC

10:30

Morning break

11:00

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

Speaker: Tony Morley, Head of Group Balance Sheet Management, Bank of Ireland Group

12:30

Lunch

13:30

Capital management  

  • Bridging the capital knowledge gap
  • Outsourcing capital optimization to business
  • A peer grouping approach to customers consuming excessive capital
  • Using risk based pricing to set the right price on capital

Speaker: Anders Henriksen, Chief Analyst, Balance Sheet Analysis and Optimisation, Nordea 

15:00

Afternoon break

15:30

The Automation of Treasury & Capital Markets 

  • Drivers behind automation in treasury and capital markets 
  • Current landscape for treasury and capital markets 
  • Big data, machine learning and artificial intelligence 
  • Trends in technology investment 
  • Risks and opportunities 
  • Use cases for ML & AI in treasury and capital 

Speaker: Aasif Sarigat, Independent Consultant and Interim Head of ALM, Secure Trust Bank  

17:00

End of course