Agenda

Agenda

Course Agenda

08:3009:00

Registration & Refreshments

08:30 - 09:00

09:0010:30

Interest rate risk regulatory environment & IRRBB governance

09:00 - 10:30

  • Basel standards
  • New EBA guidelines on non-traded market risk
  • Pillar 2 capital methodologies from the PRA
  • Definition of interest rate risk and its various forms
  • IRRBB post implementation date – lessons learned so far
  • Governance frameworks
  • Evaluating and setting up your IRRBB
Konstantina Drakouli

Head of fixed income, market risk

Jefferies – London

Konstantina Drakouli has worked for risk management for most of her 20-yr career, in both London and New York. With an Economics Bachelor degree (M.I.T.), she is also a teaching associate at Warwick Business School and King's Business School.

10:3010:45

Break

10:30 - 10:45

10:4512:00

IRRBB: setting up limits and managing the balance sheet accordingly

10:45 - 12:00

  • Goals for IRRBB management and setting up an IRR strategy
  • Management philosophies
  • Concrete examples for limit systems
  • How are course participants limits calibrated?
  • Hedging and steering the balance sheet
Gursah Pektas

Senior manager, ALM and treasury risk management

Prometeia

Huseyin Gursah joined Prometeia in 2014 working as a senior manager after spending more than 7 years in the international banking sector. He has long-term experience in retail, corporate and investment banking, and expertise in financial risk management in the area of asset and liability management, market risk management, treasury risk and financial control. 

He graduated from Middle East Technical University, Department of Business Administration and is currently pursuing a master's degree in Bosphorus University Master of Science (MS) degree program in Financial Engineering (FE). He is a holder of FRM designation from GARP and a CFA charterholder. 

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Practical challenges on the way towards a strategy

13:00 - 14:30

  • A simple balance sheet to start with 
  • Quantifying the IRR Appetite comes first 
  • Setting up a strategy 
    • Reducing complexity via benchmarking 
    • Risk-return considerations
    • Views, structural breaks and perceived asymmetries
    • Consistency with the corporate planning cycle 
    • Governance and accountability
Thomas Ribarits

Head of financial risk department

European Investment Bank

Thomas Ribarits joined EIB in 2005 within Financial Risk Management, dealing with loan and funds transfer pricing, performance measurement and Asset and Liability Management. In 2011 Thomas was advising the EFSF (European Financial Stability Facility), predecessor of the ESM, and implemented a pricing model for programme loans to Ireland and Portugal. Thomas then headed the Pricing Unit in the Credit Risk Department of EIB, covering credit risk pricing, loan loss reserves, watch listing and the Economic Capital framework. Since 2013 he is heading the Financial Engineering and Advisory Services Division in the Treasury Department.

Thomas holds a PhD degree in system theory and time series analysis and has spent 5 years in Academia at University of Technology Vienna and as post-doc at several European universities. He has led EIB research project co-operations and regularly acts as expert speaker at professional risk and finance conferences.

14:3014:45

Break

10:30 - 10:45

14:4516:15

Behavioural modelling and dynamic assumptions

15:00 - 16:30

  • Regulatory considerations
  • Assumptions of behavioural modelling
  • What are the aims of behavioural models?
  • 1st LOD steering/management – strategic business making
  • 2nd LOD risk controlling – risk appetite/limitation/stress testing
  • Regulatory compliance
  • Reliability of behavioural models taking into low/negative interest rates
  • Coping with historic simulations and forward looking models
Frank Mulder

Head of interest rate risk steering & strategy

Rabobank

Frank Mulder MSE, aerospace engineer by training, has been active in interest rate derivatives for over a decade. In 2016 he was appointed as Head Interest Rate Risk Steering & Strategy in Rabobank's treasury department. Before assuming this role he has been Senior Portfolio Manager for the investment books and a Senior Trader Interest Rate Derivatives. Next to his day-to-day activities for the bank, Frank is a board member of Rabobank’s pension fund, a guest lecturer on derivatives and actively involved in the fintech sector in the Netherlands.

08:3009:00

Refreshments

08:30 - 09:00

09:0010:30

Various model complexities and hedging strategies

09:00 - 10:30

  • Simple robust models vs adaptable complex models 
  • Dynamic balance sheet challenges
  • Time frames 
  • Hedging open behaviourally (embedded option) modelled risks 
  • Do behaviour model results lead directly to hedging activities? 
  • Increasingly complex behavioural models effect on hedging 
  • Structural hedging of non-maturity deposits 

10:3010:45

Break

10:30 - 10:45

10:4512:00

NMD replicating portfolio calibration & floor in savings

10:45 - 12:00

  • Interaction between client and bank behaviour
  • Approaches for construction of the replicating portfolio 
  • Low interest rate environment - Japan scenario 
  • Incorporating the floor in savings in the NMD model
Thomas Becker

Director, Treasury CIO

Deutsche Bank

Thomas Becker is a Director, Head of the Frankfurt Central Investment Office & Risk (CIO) Team at Deutsche Bank Treasury. He is responsible for analysing and optimising markets risks, while also assessing cross-dependencies of model, regulatory, accounting and earnings risks of Treasury functions. Thomas started his career at Deutsche Bank in Global Markets Trading and Structuring divisions in 2005. He moved to Treasury in 2013 where he had leading roles in the ALM and Modelling space. He is also the main point of contact with regulatory bodies for IRRBB. He holds a B.SC. in Business Administration from the Frankfurt School of Finance and Management.

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Automation, AI and cognitive analytics, and risk management

13:00 - 14:30

  • Improving metrics
  • Big data analytics
  • Nuances in data
  • Natural language processing
  • Robotic process automation

14:3014:45

Break

10:30 - 10:45

14:4516:15

Libor transition and IRRBB

15:00 - 16:30

  • Earnings and capital risks
  • Option risk
    • Fallback option
    • Early redemption option
  • Basis risk