Programme

Programme

ALM & Balance Sheet Optimisation Hong Kong Programme

Day 1 -  Monday, 18 November 2019

08:30

Registration and refreshments

09:00

ALM Governance and ALCO

  • The role and evolution of ALM Guidelines
  • ALM Governance structure and Organisation Structure
  • Evolving role of ALCO
  • Introduction to ALM & FTP framework
  • Defining risk appetite

Amol Padhye, Head of Market Risk, HDFC Bank

10:45

Morning break

11:15

Liquidity Management and Balance Sheet Optimisation

  • Liquidity Risk Management Framework
  • Flow approach vs Stock Approach
  • Introduction to Basel III Liquidity Ratios
  • Stress Testing and Contingency Funding Plan
  • Dynamic Balance Sheet: budgeting and planning
  • Cash flow projections and back testing

Amol Padhye, Head of Market Risk, HDFC Bank

13:15

Lunch

14:45

Behavioral Modelling

  • Introduction to Behavioural Studies
  • Data sourcing and Cleansing
  • Selection of right fit model
  • Behavioural modelling assumptions
  • Review and Back Testing

Amol Padhye, Head of Market Risk, HDFC Bank

15:45

Afternoon break

16:00

IRRBB

  • Sources of Interest Rate Risk
  • IRRBB metrics: NII, MVE/EVE and NIM
  • Introduction to BCBS 368:IRRBB standards
  • Challenges in the Implementation of BCBS 368
  • ALM Framework - Capital Adequacy

Amol Padhye, Head of Market Risk, HDFC Bank

17:30

End of Day 1

Day 2 - Tuesday, 19 November 2019

08:30

Refreshments

09:00

Intra Day Liquidity Management and ALM Infrastructure

  • BCBS 248: Intra Day Liquidity (IDL) Management
  • IDL forecasting and back testing
  • IDL monitoring Tools
  • ALM Technology Infrastructure: Criticality Success factors

Amol Padhye, Head of Market Risk, HDFC Bank

10:30

Morning break

11:00

Funds Transfer Pricing

  • FTP fundamentals and application
  • Basic FTP: the term liquidity premium
  • Development on FTP
  • Building an internal funding framework
  • How FTP affect a bank’s liquidity risk and liquidity options

Amos Lau, Vice President, Business Treasury, Institutional Clients Group, Citibank N.A

12:30

Lunch

13:30

IBOR to Risk Free Rates

  • Necessary changes to fallback provisions
  • Possible impacts on internal and external treasury systems
  • Leveraging treasury analytics
  • Managing the ALM implications
  • Transition impact assessment for the balance sheet
  • Structural hedging to reduce interest rate shocks 

Matthieu Sachot, Director, Global Markets, Treasury, Regulatory, Risk - LIBOR Transition Industry Expert and Global Leader, Chappuis Halder & Co.

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 

Matthieu Sachot, Director, Global Markets, Treasury, Regulatory, Risk - LIBOR Transition Industry Expert and Global Leader, Chappuis Halder & Co.

17:00

End of course