Programme

Programme

ALM and Balance Sheet Management | Agenda

Agenda timing is in HKT/SGT

08:4509:00

Registration

08:30 - 09:00

09:0010:00

ICAAP implementation and ILAAP integration

09:00 - 10:00

  • Impact of COVID-19 on timetable & key focus areas
  • ICAAP/ILAAP regulatory expectations
  • Industry practice
  • Implementation challenges
  • Generating returns on your investment
Gemini Yang

Director, risk consulting

KPMG

Gemini is a Director in Financial Risk Management team of KPMG Hong Kong. She has 14 years of experience at quantitative analysis and modelling development. She is specialized in financial risk management, focusing on the New Basel Accord implementation and compliance, such as Internal Capital Adequacy Assessment Process (ICAAP), Assets and Liability Management (ALM), G-SIFIs, Stress Testing, Risk Management and Measurement, Capital Management, etc. She possesses master skills of statistical and modelling software: SAS, Matlab, Mathematica, etc. and has profound knowledge of business and related IT systems in banking industry. Gemini holds a Bachelor degree of Mathematics and Applied Mathematics.

She has managed several engagements regarding Risk Management, Capital Management, and Internal Capital Adequacy and Assessment Process (ICAAP, including Economic Capital model) for both large global banks (APAC regional team) and large HK local banks. Services provided include Risk Appetite, Risk Governance and Strategy, Risk Assessment, Stress Testing, Capital Planning, Capital Allocation, Internal Capital Target Setting, Assets and Liabilities Management, etc. Recently, Gemini has been assisting several Hong Kong banks on compliance and implementation of their HKMA SPM CR-G-13 and Banking (Exposure Limits) Rules (BELR).

10:0010:15

Morning break

10:30 - 11:00

10:1511:15

Managing IRRBB

09:00 - 10:01

  • Introduction
  • Measurement of IRRBB
  • IRRBB scenario analysis
  • Management of IRRBB
  • ALM technology
Wee Beng Lee

Head, Non Traded Risk

Maybank

Wee Beng is currently Head , Non Traded Risk (Balance Sheet Risk Management), at Maybank Singapore .He has more than 12 years of banking and consulting experience, with focus on strategy, finance and risk management, analytics and technology. In his p He also had experience delivering and implementing complex enterprise wide business, analytics and technology transformation projects across APAC.

He holds a Masters of Engineering and Bachelor of Engineering (1st Class Honours) degree from the National University of Singapore He is also a Chartered Financial Analyst (CFA) and Financial Risk Manager (FRM) charterholder.

11:1511:15

End of Day 1

17:30 - 17:31

08:3009:00

Registration

08:30 - 09:00

09:0010:00

Operating an efficient ALM model

09:00 - 10:00

  • 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

Financial Sector Consultant

FinTorque

Mr Wood is currently the Financial Sector Consultant for the IMF, analysing changes in the provision of financial services in Asia and Emerging Markets and how these are impacting financial stability, smooth functioning of markets and access to bank credit. Mr Wood has special insights into how global banks are adjusting to regulatory reforms and consequences for global financial system.

Previously, Mr Wood 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. Mr Wood has firsthand experience of managing idiosyncratic and market wide stress across a 60 country banking franchise. He also has in depth knowledge of how regulation affects banks on both a single legal entity and group consolidated basis. 

10:0010:15

Morning break

10:30 - 11:00

10:1511:15

Balance sheet management

09:00 - 10:00

  • 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

Financial Sector Consultant

FinTorque

Mr Wood is currently the Financial Sector Consultant for the IMF, analysing changes in the provision of financial services in Asia and Emerging Markets and how these are impacting financial stability, smooth functioning of markets and access to bank credit. Mr Wood has special insights into how global banks are adjusting to regulatory reforms and consequences for global financial system.

Previously, Mr Wood 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. Mr Wood has firsthand experience of managing idiosyncratic and market wide stress across a 60 country banking franchise. He also has in depth knowledge of how regulation affects banks on both a single legal entity and group consolidated basis. 

11:1511:15

End of Day 2

09:00 - 10:00

08:4509:00

Registration

08:30 - 09:00

09:0010:00

Funds Transfer Pricing (FTP)

13:30 - 15:00

  •  
  • FTP changes for the new normal environment 
  • FTP overview
  • Regulatory requirements on cost/benefit attribution
  • Dealing with the different balance sheet components
  • Setting up replicating portfolio
  • Regulatory cost attribution
  • Steering the balance sheet – management overlays
  •  
Nicholas Wood

CEO & Founder

FinTorque | Formerly consultant, Money & Capital Markets Division, IMF; Group Treasury, Global Business Head, Standard Chartered Bank

Currently, CEO & Founder of FinTorque providing innovative, customised and affordable finance & treasury solutions for financial service providers in Emerging & Developing Market. Also advising Zensung (insurtech) and Sunpower Renewables (portable solar) start-ups on strategy, partnerships and capital raising. 

Recently, IMF Financial Sector Consultant & Visiting Scholar specialising in changes in the provision of financial services post GFC and regulations.

Earlier, Finance, Risk & Treasury specialist in 4 Global Banks, 36yrs (30 in APAC) reshaping business post GFC & Regulations.

Positions held:

  • Group Treasury Business Head
  • Asia Treasurer & Country Treasurer (Indonesia, India, USA)
  • Global Markets Business Manager; Group Market Risk

Specialist areas:

  • Balance Sheet Optimisation Tools
  • Group FTP Policy
  • Retail Deposit Growth & Securitisation
  • Trading Room Performance & Efficiency
  • Training & Development

10:0010:15

Morning break

10:30 - 11:00

10:1511:15

ALM for capital markets

09:00 - 10:00

  • Improving capital adjusted returns in the new normal environment
  • Capital management
  • Liquidity and funding
    • LCR, NSFR, NCCF for capital market products
    • FTP for capital market products
    • Collateral management
  • Business model optimization
    • Centralized funding units
    • XVA desks
    • Financial resource management
       
Ajay Surana

Founder

iXcelrate

Ajay Surana has 20 years of professional experience in the financial services, consulting and technology industry. He has managed risk, compliance and performance management practices for large financial technology firms in the APAC region.

He has worked with over 75 financial institutions in APAC, US & Europe on various engagements in the areas of treasury, ALM, balance sheet management, regulatory compliance, Basel II/ III, risk technology transformation and business process re-engineering.

11:1511:15

End of Day 3

09:00 - 10:00

08:4509:00

Registration

08:30 - 09:00

09:0010:00

Liquidity risk frameworks

09:00 - 10:00

  • Managing liquidity in the new normal environment
  • Improving liquidity
  • New modelling approaches
  • Assessing the character of the liquidity pool
  • Liquidity coverage ratio
  • Net stable funding ratio
  • Trapped liquidity / legal structure
Mayank Bharati

Vice President & Head – ALM & FPA

Societe Generale Bank, India

More than 11 years of extensive experience in Treasury, Liquidity and Market Risk Management. Industry expert in various aspects of balance sheet management with a special focus on ALM, Liquidity Risk, Interest rate risk in balance sheet (IRRBB), Concentration Risk, FTP, Money Markets, Wholesale Funding, Balance Sheet Strategies, Reserve Management, implementation of Basel regulations (including LCR & NSFR), Capital Planning & Management.

Engineer from India’ Top Institute IIT, Delhi & MBA from India’s premier institute NITIE, Mumbai with major in Finance and Operation. Published international research paper on quantitative studies in textile technology and measurement of volatility in equity markets.

Currently heading ALM and FPA desk at SOCIETE GENERALE INDIA.

10:0010:15

Morning break

10:30 - 11:00

10:1511:15

IBOR reform

09:00 - 10:00

  • Impact of COVID 19 on IBOR reform timetable and approach
  • Reassess ALM strategies
  • Evaluate model inventory
  • Handling the transition
    • Derivatives
    • Loans / deposits / securities
  • Alternative benchmarks
  • Risk free rates
Paul Dobbs

Former Director and now Independent Risk Consultant

Paul is a risk and regulatory specialist and have worked in banking/ capital markets, risk & regulatory technology and risk consultancy for more than 20 years. He helps to deliver quality risk and regulatory consultancy across the domains of  data, governance, scenarios analysis/ stress testing and risk/regulatory reporting, right through to the application of digital technology. He covers the domain of climate change risk (including TCDF disclosures and sustainable financing) extensively, where he has also been training/consulting global organisations around the enhancements of banks risk and reporting frameworks. He has worked with both large and small financial institutions globally with the objective of addressing the combined challenges of climate change risks and regulations but also their opportunities.

He has a Honours in Business Administration and a MSc in Quantitative Finance and he is currently completing his GARP Sustainability and Climate Risk certification.

He is in the process of joining the board of a ESG data provider and has also been asked to help design the syllabus for a leading industry banking body.

11:1511:15

End of course

17:00 - 17:01