Programme

Programme

ALM & Balance Sheet Optimisation Hong Kong Programme

Day 1 -  Monday, 18 November 2019

08:30

Registration and refreshments

09:00

ALM Adapting to the new environment

  • The role and evolution of ALM Guidelines
  • ALM Governance structure and role of ALCO
  • Defining risk appetite
  • Liquidity Risk Management Framework
  • Liquidity Risk Stress Testing
  • Contingency Funding Plan

Amol Padhye, Head of Market Risk, HDFC Bank

10:30

Morning break

11:00

Behavioral Modelling, NMD & IRRBB

  • NMD behavioural modelling
  • Deposit, prepayment & FreeFund modelling
  • Behavioural modelling assumptions
  • Importance of NMD modelling for mitigating IRR
  • IRR metrics;  MVE/EVE NIM; riding the yield curve
  • Gap, Basis and Option risk
  • Developing methods of identifying and monitoring interest rate risk
  • Managing IRRBB in practice

Amol Padhye, Head of Market Risk, HDFC Bank

12:30

Lunch

13:30

Managing and Optimising the Balance Sheet

  • Liquidity Behavioural Studies:
    • NMD behavioural modelling
    • Deposit prepayment modelling
    • Off Balance sheet items
  • Behavioural modelling assumptions and Back Testing
  • IRRBB metrics;  MVE/EVE NIM; riding the yield curve
  • IRR Behavioural Modelling
    • NMD behavioural modelling
    • Embedded Optionality
  • Challenges in implementation of IRRBB standards BCBS 368

15:00

Afternoon break

15:30

Capital Management 

  • Bridging the capital knowledge gap
  • Outsourcing capital optimization to business
  • Capital allocation and optimisation 
  • Return on Equity
  • Risk-adjusted return on capital (RAROC)
  • Using risk based pricing to set the right price on capital

17:00

End of Day 1

Day 2 - Tuesday, 19 November 2019

08:30

Refreshments

09:00

Liquidity Management

  • Intra Day Liquidity (IDL) Management - BCBS 248
  • IDL forecasting and back testing
  • IDL monitoring Tools
  • LCR and NSFR driving the business models
  • Best practices to simulate LCR
  • Criticality of System infrastructure

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
  • Stress test liquidity position

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