Agenda

Agenda

Agenda: Interest Rate Risk Management Strategies and IRRBB, online course

Agenda timing is in BST
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Session one - 2pm BST/ 9am EDT
Session two - 3.15pm BST/ 10.15am EDT
End - 4.15pm BST/ 11.15am EDT
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Day Two: Tuesday, June 16, 2020

14:0015:00

Interest rate risk regulatory environments and IRRBB governance

09:00 - 10:30

  • Basel standards

  • Definition of interest rate risk and its various forms

  • IRRBB – lessons learned so far

  • Governance frameworks

  • Evaluating and setting up your IRRBB

Steve Hageman

Liquidity Risk Officer

Societe Generale

Steve Hageman was a Managing Director for US Liquidity Risk Management at Societe Generale, creating the Second Line Risk function for liquidity and structural risk.

Prior to that, he helped create the US Liquidity Risk Management First Line of Defense for HSBC Bank USA, and headed their US Asset Liability Management Team for their US Holding Company, including both Liquidity and Interest Rate Risk in the Banking Book. At both institutions, he created the initial Risk Appetite Limits and Reporting for Liquidity and Interest Rate Risk.

Earlier in his career, Steve worked in Transaction Banking for ABN AMRO doing market research and for HSBC Bank USA in a variety of finance roles.

15:0015:15

Break

08:30 - 09:00

15:1516:15

IRRBB: setting up limits and managing the balance sheet

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 calibrated?

  • Hedging and steering the balance sheet

Charlie Hart

Former program director

Commonwealth Bank

Charlie Hart is an expert on IRRBB, having worked domestically and internationally at some of the world's leading banks.  His last long term engagement was at the Commonwealth Bank of Australia, however in the past 10 years, he has contributed to best practices at Lloyds Banking Group, Bank of New York Mellon, and Santander.  He began his career working at Qualitative Risk Management, a market leader in Balance Sheet Management technology.  He has an MBA from University of Chicago Booth and is certified FRM by GARP. 

16:1516:15

End of day one

10:30 - 10:45

Day Two: Tuesday, June 16, 2020

14:0015:00

Impact of low rates and negative rate challenges

13:00 - 14:30

  • How to approach and look at the impact 

  • Low rate environment challenges

  • Pressure on net interest margin

  • Impact of negative rates on modelling

Krishna Nijanand

Senior Manager, Structural interest rate risk,

Scotiabank

Krishna Nijanand is the senior manager, structural interest rate risk in Scotiabank, where he provides independent oversight of risk positions with an appropriate limit, measurement and reporting framework on CAD 1 trillion balance sheet.

Krishna is an experienced treasury and risk management professional with a strong background in asset and liability management (ALM) and in-depth risk measurement and analysis. He is one of the key members to drive implementation of Interest Rate Risk in Banking Book (IRRBB) standard in the bank. His current function includes continuous development and enhancement of structural market risk related metrics, models, policies and governance to keep up with industry best practices and regulatory requirement.

Krishna’s prior role was manager, asset and liability management (ALM) within Group Treasury Balance Sheet Management. He has an MBA from Schulich School of Business, Toronto and he is a CFA charter holder.    

15:0015:15

Break

08:30 - 09:00

15:1516:15

Managing deposit beta

14:45 - 16:15

  • Demand deposits and money markets

  • Expanding net interest income

  • The liquidity component 

  • How well do you price your balance sheet? 

  • Revisiting your deposits

Beata Lubinska PhD

Founder

BL Advisory & Consulting

Dr. Beata Lubinska is a financial engineer with over 16 years of practical experience gained in international financial institutions such as GE Capital, Deloitte and Standard Chartered Bank based in Milan and London.

Beata’s background is strongly focused on Interest Rate Risk in the Banking Book (“IRRBB”), Balance Sheet Management and behavioural modelling for banks asset liability management purposes. She has spent most of her career managing IRRBB for a number of financial institutions.

Currently she has set up her own company where she leads and collaborate with banks on projects focused on all Treasury related matters. In her previous position she was a Head of the Market and Liquidity Risk Department in MeDirect Group in London with the main focus on IRRBB, Market Risk and Balance Sheet Management. Beata is also a member of the BTRM Faculty founded by Professor Moorad Choudhry in London.

Beata holds a PhD in Finance from Wroclaw University of Economics. Her research publications have enjoyed strong reviews by academics and industry practitioners.

Beata is also an author of the book “Asset Liability Management Optimization – A practitioner’s guide to balance sheet management and remodelling” published by Wiley & Sons Ltd in London.

In addition, Beata is actively providing trainings for professionals from the banking industry in Latvia, Poland, UK and in the US.

Her main areas of specialization include: Funds Transfer Pricing, Interest Rate Risk in the Banking Book, Asset Liability Management and Balance Sheet management through FTP and optimization.

16:1516:15

End of day two

12:00 - 13:00

Day Three: Wednesday, June 17, 2020

14:0015:00

Behavioural modelling and dynamic assumptions

09:00 - 10:30

  • What are the aims of behavioural models? 

  • Assumptions of behavioural modelling 

  • Regulatory considerations and compliance

  • 1st LOD steering/management – strategic business making 

  • 2nd LOD risk controlling – risk appetite/limitation/stress testing 

  • Reliability of behavioural models taking into low/negative interest rates 

  • Coping with historic simulations and forward-looking models 

Yousef Ghazi-Tabatabai

Associate director

PwC

Yousef is a PwC specialist leading on FTP, IRRBB and ALM within the Banking industry. He has worked with a variety of banks across Europe, including major globally significant institutions as well as smaller regional firms, supporting all three lines of defence. Yousef has an industry background in ALM and behavioural modelling from his work as a quant in Barclays, and in structuring balance sheet hedges for financial institutions at Morgan Stanley. Yousef has also spent a number of years in theoretical physics research

15:0015:15

Break

08:30 - 09:00

15:1516:15

Various model complexities and hedging strategies

10:45 - 12:00

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

Asset, Liability and Capital Management, EMEA

HSBC

Alper Özün is a banker with international experience in treasury and capital management functions in the banking sector over eighteen years. He currently works for HSBC London as head of treasury operations for the EMEA region. He has a PhD in finance (University of Bradford, School of Management), MSc in information technologies (Istanbul Technical University), MSc in business finance (Brunel University) and BA in international relations (Bosphorus University). He is an associate professor and currently has a visiting academic role at the University of Oxford, Faculty of Law, where he researches on taxation policy and rule of law in the context of constitutional economics.

16:1516:15

End of day three

08:30 - 09:00

Day Four: Thursday, June 18, 2020

14:0015:00

The impact of AI on interest rate risk

13:00 - 14:30

  • Improving metrics

  • Big data analytics 

  • Nuances in data

  • Natural language processing

  • Robotic process automation 

  • Impact of non-banking competitors on IRRBB deposit stability

Alexander Fleiss

CEO

RebellionResearch.com

Alexander Fleiss serves as CEO of RebellionResearch.com an online financial advisory & hedge fund that invests across all asset classes and utilizes a proprietary Machine Learning that monitors data from 53 countries on a daily basis. Mr. Fleiss has spoken about Artificial Intelligence investing in the Wall Street Journal, Fox News, BusinessWeek, Bloomberg News, MIT Technology Review, Wired, Mathematical Association of America, Financial Times, CNBC, Geo Magazine, Institutional Investor and the Wall Street Journal Reporter Scott Patterson’s book Dark Pools. In addition, Mr. Fleiss has lectured on Artificial Intelligence & Machine Learning at Princeton University, Amherst College, Yale School of Management, Booth School of Business at the University of Chicago, Tufts University, Cornell University, The Wharton School of Business at The University of Pennsylvania and Columbia Business School.

Prior to co-founding RebellionResearch.com in 2007, Mr. Fleiss served as a Principal at KMF Partners LP, a long-short US equity fund. Mr. Fleiss began his investment career as an analyst for Sloate, Weisman, Murray & Co which was acquired by Neuberger Berman. Mr. Fleiss developed investment algorithms with the firm’s CEO, Laura Sloate who is now a partner at Neuberger Berman and is one of the investors featured in Peter Tanous’ book Investment Gurus. Mr. Fleiss received a BA Degree from Amherst College.

15:0015:15

Break

08:30 - 09:00

15:1516:15

Handling the Ibor transition and IRRBB

14:45 - 16:15

  • Earnings and capital risks

  • Options risk

    • Fallback option 

    • Early redemption option 

  • Basis risk

  • How to model and hedge SFR

  • Essential planning for the transition

  • Resource management – using cross dependencies

16:1516:15

End of day course

16:15 - 16:16