Agenda

Agenda

ALM, Interest Rate and Liquidity Risk Management| | Agenda

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Live virtual course | Agenda timing is in HKT/SGT

Respective time in AEST:
Start: 11:00am
Break: 1:00pm
Finish: 3:15pm
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09:0010:00

Operating an efficient ALM model

10:00 - 11:00

  • How ALM can deliver efficiencies and reduce costs
  • Evolution of ALM
  • The role of asset liability committee
  • ALM function within the treasury
  • How the treasury supports your bank strategies
  • Defining, monitoring, and reporting risk appetite
Nicholas Wood

Managing Director

FinTorque Pte Ltd

Nicholas Wood is the founder of FinTorque who create bespoke Risk, Finance & Treasury solutions for FI's and gamification products with Augury Insights for financial training.

He is formally the Financial Sector Consultant for the IMF, where he analysed changes in the provision of financial services in Asia and Emerging Markets and the impact these had on financial stability, smooth functioning of markets and access to bank credit.

He provides specialist insights into how global banks are adjusting to regulatory reforms and consequences for the global financial system and is a recognized contributor to the IMF Global Financial Markets Stability Report.

Previously, Nick was a Bank Treasury specialist for 38 years, of which 27 were spent in Asia, building highly profitable trading rooms, drafting in‐depth country branch and subsidiary balance sheet reviews and shaping global Retail and Wholesale business responses to capital and liquidity regulations post GFC.

He has first‐hand experience of managing idiosyncratic and market wide stress across a 60 country banking franchise and as such has in depth knowledge of how regulation affects banks on both a single legal entity and group consolidated basis.

Previous roles have also included Global Business Head, Group Treasury, Regional & Country Treasurer, Head FTP Policy ‐ Group Treasury, Global ALM Business Planning Manager and Head of Balance Sheet Analytics Team.

Nick has extensive experience in training bank business groups on responses on Treasury Management, balance sheet optimisation & ALCO effectiveness.

10:0011:00

Balance sheet management

10:00 - 11:00

  • BSM Challenges and solutions in the new normal environment
  • Why banks need balance sheet resources
  • Constraints
  • Frequency of reallocation
  • Behaviour analysis
  • Capital considerations
  • Integrated balance sheet optimization
Nicholas Wood

Managing Director

FinTorque Pte Ltd

Nicholas Wood is the founder of FinTorque who create bespoke Risk, Finance & Treasury solutions for FI's and gamification products with Augury Insights for financial training.

He is formally the Financial Sector Consultant for the IMF, where he analysed changes in the provision of financial services in Asia and Emerging Markets and the impact these had on financial stability, smooth functioning of markets and access to bank credit.

He provides specialist insights into how global banks are adjusting to regulatory reforms and consequences for the global financial system and is a recognized contributor to the IMF Global Financial Markets Stability Report.

Previously, Nick was a Bank Treasury specialist for 38 years, of which 27 were spent in Asia, building highly profitable trading rooms, drafting in‐depth country branch and subsidiary balance sheet reviews and shaping global Retail and Wholesale business responses to capital and liquidity regulations post GFC.

He has first‐hand experience of managing idiosyncratic and market wide stress across a 60 country banking franchise and as such has in depth knowledge of how regulation affects banks on both a single legal entity and group consolidated basis.

Previous roles have also included Global Business Head, Group Treasury, Regional & Country Treasurer, Head FTP Policy ‐ Group Treasury, Global ALM Business Planning Manager and Head of Balance Sheet Analytics Team.

Nick has extensive experience in training bank business groups on responses on Treasury Management, balance sheet optimisation & ALCO effectiveness.

11:0011:15

Break

10:00 - 11:00

11:1512:15

Managing Interest Rate Risk in Balance Sheet

10:00 - 11:00

  • Recent Volatility in Interest Rate across the globe
  • Focus on Basel guidelines on managing interest rate risk
  • Way Forward in Optimising the Interest Rate Risk in Banking Book
  • Stress Testing in IRRBB
Amol Padhye

Executive Vice President & Head of Market Risk

HDFC Bank

Amol Padhye has 18+ years of strong experience in Treasury and Risk Management across Indian Banks, Foreign Banks and Risk Consulting space. He is an active speaker at various conferences across Asia focusing on Treasury and Risk Management.

Amol currently Heads Market Risk function at HDFC Bank where the role evolves around managing Trading Book Risk, Banking Book Risk, Liquidity Risk, Counterparty Credit Risk and Bank Credit Assessment in addition to supporting ICAAP, Group Risk and Country Risk Frameworks. Prior this this, worked as Director within Financial Services Risk Management practice of Ernst & Young LLP and led the practice for Treasury, Market & Liquidity Risk, ALM/ FTP advisory. Before EY, worked with BNP Paribas-India as Associate Director and Head Risk-Investment & Markets where the role covered setting up and running Market & Liquidity Risk function and engage with senior management in India.

12:1513:15

ICAAP and ILAAP integration

10:00 - 11:00

  • Understanding capital allocation and cost
  • ICAAP/ILAAP regulatory expectations
  • Industry best practice and implementation challenges
  • Generating and managing returns on equity and investments
  • Active capital management and appropriate pricing
Megha Ranasaria

Associate Director

KPMG

Megha has 11+ years of experience in financial risk management with primary focus on Market Risk, Liquidity Risk and Treasury Management and solutions. She is leading Global engagements in the areas of ICAAP, market risk (FRTB, IBOR, SIMM, SA-CCR, XVA), Liquidity risk (LCR, NSFR, IRRBB, ILAAP), Basel II and Basel III implementation. Being an ex-Banker, she has hands on experience of setting up the Market Risk management function of a Bank with respect to VAR, Stress VaR, Stress testing, back testing, Capital computation (SA & FRTB), CVA, NOOP and SA-CCR. Exposure to both industry and consultancy gives her an edge across the domain.

09:0010:00

Funds transfer pricing

10:00 - 11:00

  • Regulatory requirement on cost/benefit attribution
  • Transfer pricing mechanism design  
  • System requirement specification 
  • Steering the balance sheet – management overlays
Steven Smallsman

Director, Risk Strategy and Technology

KPMG

10:0011:00

Stress testing within ALM and balance sheet management

10:00 - 11:00

  • Global financial crisis and the importance of stress testing
  • Integrated stress testing
  • Early warning indicators
Li Koon Heng

Managing Director, Head Balance Sheet Risk Management

United Overseas Bank

11:0011:15

Break

10:00 - 11:00

11:1512:15

Liquidity risk frameworks

10:00 - 11:00

  • Role of Central Bank in providing liquidity in Pandemic
  • Tools used by RBI for ensure domestic liquidity/stabilization
  • Changing Balance Sheet Dynamics due to Liquidity
  • Liquidity Risk Monitoring Framework and tool
Amol Padhye

Executive Vice President & Head of Market Risk

HDFC Bank

Amol Padhye has 18+ years of strong experience in Treasury and Risk Management across Indian Banks, Foreign Banks and Risk Consulting space. He is an active speaker at various conferences across Asia focusing on Treasury and Risk Management.

Amol currently Heads Market Risk function at HDFC Bank where the role evolves around managing Trading Book Risk, Banking Book Risk, Liquidity Risk, Counterparty Credit Risk and Bank Credit Assessment in addition to supporting ICAAP, Group Risk and Country Risk Frameworks. Prior this this, worked as Director within Financial Services Risk Management practice of Ernst & Young LLP and led the practice for Treasury, Market & Liquidity Risk, ALM/ FTP advisory. Before EY, worked with BNP Paribas-India as Associate Director and Head Risk-Investment & Markets where the role covered setting up and running Market & Liquidity Risk function and engage with senior management in India.

12:1513:15

Challenges for the treasury risk framework

10:00 - 11:00

  • Robust risk governance under regulatory change 
  • Business development / landscape
  • System architecture and transformation 
  • Reconciliation 
  • Data quality and data lineage 
Paul Gao

Head of Corporate Treasury

Citi

Paul has 24 years+ of experience in orchestrating bank treasury processes for Hong Kong and Asia Pacific, supporting the modernization of in risk compliance with the bank regulatory rules & standards, providing financial and strategic evaluation for different institutional targets.

Expertise in Corporate Treasury and Balance Sheet Management particularly for a global bank, which offers a full range of banking & finance products covering Wholesale, Retail and High Net Worth banking customers. Have strong track records in driving business changes and managing teams under highly complex environments to deliver organizational goals across various product lines and jurisdictions.

Paul has international exposure via living for extended periods of time in Australia, Singapore, and Hong Kong.