Programme

Programme

ALM & Balance Sheet Optimization Singapore Programme

Day 1 - Thursday, 21 November 2019

08:30

Registration and refreshments

09:00

ALM Adapting to the new environment

  • The role and evolution of ALM
  • Improving ALM and ALCO effectiveness
  • Defining risk appetite
  • Operating an efficient ALM model: Managing model risk
  • Recovery and resolution planning
  • The impact of banking laws on ALM 
    • Impact of regulations: Basel III, IRRBB

Nicholas Wood,  Founder & Managing Director, FinTorque

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

Nicholas Wood,  Founder & Managing Director, FinTorque

12:30

Lunch

13:30

Managing and Optimising the Balance Sheet

  • Balance sheet budgeting and planning
  • Balance sheet optimisation through behaviour model
  • Cash flow predictions and back testing
  • Have the right balance sheet mix 
    • Product Mix
    • Business Mix
  • Top down approach; recommended risk appetite statement and strong public disclosures
  • Liquid vs illiquid assets

Steven Smallsman, Head of Liquidity Risk Review, Standard Chartered Bank
Leong Ming Soon, Head of Liquidity Risk Review (IRRBB), Standard Chartered Bank

15:00

Afternoon break

15:30

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

Steven Smallsman, Head of Liquidity Risk Review, Standard Chartered Bank

17:00

End of Day One

Day 2 - Friday, 22 November 2019

08:30

Refreshments

09:00

Liquidity Management

  • Product behavioural impact to LCR & NSFR 
    • Best practices that optimizes these ratios
    • ALM system to forecast net cash outflow efficiently with minimal manual adjustments and estimation
    • Best practice processes to forecast behavioural/non-contractual cash inflow/outflow
  • Leverage ratio – how this will impact LCR and NSFR
  • Change from cash to collateral margining requirements in mid-2020
    • Effect on ALM and liquidity management

Mayank Bharati, Head of ALM & FPA, Societe Generale

10:30

Morning break

11:00

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

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 

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 

17:00

End of course