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


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

Speaker: Jun Wang, Managing Director - Funds Transfer Pricing Wholesale, RBC 




Asset Liability Management (IRRBB)

  • OSFI IRRBB draft guidelines (B-12) – meeting regulatory expectations
  • IRRBB Governance and ICAAP
  • Balance sheet management under increased rate volatility
  • Structural Interest Rate Risk case study
  • Key challenges and infrastructure requirements

Speaker: Karl Rubach, Managing Director, IBSM Solutions Inc.


Afternoon break


Utilising Machine Learning and Big Data in BSM

  • Identifying the tradable asset classes that impact the balance sheets
  • 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


End of day one

Day 2


Coffee and registration


Funds Transfer Pricing (FTP)  

  • FTP overview – Why do we FTP?
  • Regulatory requirements on cost/benefit attribution
  • FTP building blocks: Dealing with the different balance sheet components
  • Setting up replicating portfolio
  • Regulatory cost attribution (LCR, NSFR, TLAC)
  • Steering the balance sheet – Management overlays

Speaker: Karl Rubach, Managing Director, IBSM Solutions Inc.


Coffee Break


ALM for Capital Markets 

  • Capital management (FRTB, CVA Capital, CCR, Leverage ratio in capital markets)
  • Liquidity and funding: 
    • LCR, NSFR, NCCF for capital market products 
    • FTP for capital markets products 
    • Collateral management (cost and optimization) 
  • Business model optimization and balance sheet management 
    • Centralized funding units 
    • XVA desks 
    • Financial resource management 

Speaker: Hovik Tumasyan, Founder and President, FinRisk Solutions 




Strategic ALM; Integrating and Optimizing the Balance Sheet  

  • Addressing the 3D balance sheet optimization 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 


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: New ALCO and senior management’s actions after taking over a bank to improve its bottom line
  • Optimizing balance sheet and portfolio of businesses to increase profitability within regulatory constraints

Speakers: Alex Shipilov, President, iGRC Advisors

Karl Rubach, Managing Director, IBSM Solutions Inc.


End of Course