Deposit Modelling Frankfurt

Hear from senior practitioners and learn best practice approaches for deposit modelling through various treasury functions including FTP, IRR & liquidity

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Deposit Modelling

Non-Maturity Deposits & the Treasury

Frankfurt, 4 - 5 September 2019

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Join us for our first deposit modelling training in Frankfurt this September. Providing delegates with key insights into deposit modelling, this course will consider modelling options for treasury functions such as FTP, IRR & liquidity.

What Will You Learn?
  • The role of the deposit model and key challenges 

  • Best practice approaches to modelling non-maturity deposits

  • How to model for interest rate risk and liquidity risk

  • Stress testing frameworks and approaches to stress testing NMDs

  • How FTP affects deposit models and modelling for NMD balance sheets

  • Data and IT considerations for balance sheet management

View course Guide

Who Should Attend?

Relevant departments may include but are not limited to:

  • Deposit modelling

  • Asset & liability management

  • Treasury risk

  • Balance sheet management

  • Interest rate risk

  • Funds transfer pricing

  • Risk modelling

  • Risk management

View pricing options

Course Highlights
  • Regulatory overview, governance and key considerations 

  • Non-maturing deposits modelling 

  • Liquidity risk modelling 

  • Interest rate risk modelling 

  • Risk and capital models for NMDs – beyond regulatory stress testing 

  • Stress testing 

  • Funds transfer pricing 

  • The infrastructure and the governance of data-aggregation and risk modelling processes 

View course agenda

Course Speakers

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Christian Hasenclever

Head of Strategic Asset and Liability Management

Norddeutsche Landesbank

Head of Strategic Asset and Liability Management

Norddeutsche Landesbank

Christian Hasenclever is the head of Strategic Asset and Liability Management (ALM) at NORD/LB's Treasury department in Hannover. He manages the strategic liquidity risk position incl. funding planning and he is in charge of the group-wide internal Funds Transfer Pricing system. That includes the constant conceptional enhancement of the liquidity risk management and of the FTP-system as well as the coverage of regulatory developments relating to liquidity management and FTP.

Before he was the head of a Strategy and Modelling - a unit within Treasury, which had a special focus on developing an advanced pricing model for embedded options in wholesale loans. Prior to that he worked for Bremer Landesbank as a portfolio manager and expert within ALM. He started his career at Bankgesellschaft Berlin as a project manager in the structured finance department and later as a senior fixed income researcher within capital markets. He is a Certified International Investment Analyst (CIIA) and graduated economist.

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Dr. Heiko Siede

Controller Funds Transfer Pricing & Balance Sheet Management

Commerzbank AG, Frankfurt

Dr. Heiko Siede is a specialist on FTP and Balance sheet management. After finishing his Diploma in Mathematics, he got a PhD in Economics at the University of St. Gallen, Switzerland. After stations in the life insurance and banking industry, he joint Commerzbank Group in 2007. Until 2015 his focus was on strategic ALM, liquidity risk management and FTP within the Treasury department. Thereafter, he entered the Finance department and further specialized on liquidity FTP methods including support, development, reviews and documentation.

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Tom Dewyspelaere

Head of Integrated Risk Modelling

Belfius

Tom Dewyspelaere works at the Belgian bank Belfius. He has more than 20 years of experience in bank risk management, with a focus on the risk measurement and valuation of complex financial products and of credit portfolios. He is now head of the Integrated Risk Modelling Team in Belfius. This team is in charge of the risk quantification of the whole bank’s activities with a focus on all ALM and Capital  related issues. As such the team is in charge of Belfius’ Economic Capital, Earnings at Risk and Stress Testing models, important building blocks of the bank’s Risk Appetite Framework and Risk Based Pricing. The team also challenges, with a risk view, the main ALM models and assumptions.

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Dieter Van Welden

Quantitative Analyst Integrated Risk Modelling

Belfius

Dieter Van Welden is currently working at Belfius bank as a member of the Belfius Integrated Risk Modelling Team. His key focus areas have been stress testing models and the modeling of non maturing deposits and prepayment risk. In his former position at Record Bank (an ING subsidiary) as part of the ALM team he was involved in the management and modeling of interest rate in the banking book.

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Dr. Csaba Burger

ALM Treasury data scientist

BNP Paribas Germany

Dr. Csaba Burger, CFA, is an experienced financial professional with a demonstrated history of modelling the interest rate risk of the banking book (IRRBB), as well as other risk and data science-related topics in the financial services industry. He obtained his Doctor of Philosophy (Ph.D.) from University of Oxford with a focus on occupational pensions. Prior to his PhD, he worked for the Global Banking Profit Pools of McKinsey & Company. After graduation, he was active pursuing various risk and data science-related projects, and re-joined University of Oxford as a Visiting Research Associate for a period of time. Today, he is the ALM Treasury data scientist at BNP Paribas Germany.

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Dr. Stephan Simon

Expert Principal Finance & Risk

Oliver Wyman, Munich

Dr. Stephan Simon is a leading European expert on Treasury, balance sheet and financial resource management. He has driven and developed Oliver Wyman's work in the Treasury space across Europe, covering a wide range of strategic topics from capital, liquidity and IRR management and optimization via technical work on IRRBB, deposit and liquidity modelling to Treasury governance, regulation and infrastructure topics. Prior to joining Oliver Wyman he has done a PhD and empirical research on ALM of financial institutions as well as worked on a wide variety of strategic FS topics as a consultant at McKinsey. He has first hand experience in liquidity management and restructuring during the financial crisis 2008.

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Emil Avsar

Senior VP

Barclays

Emil has a PhD in Theoretical High-Energy Physics from Lund University, Sweden. After his PhD, he spent around 5 years as research associate at academic institutions, before joining a Hedge Fund and then joining  Barclays in 2015. He currently holds a position as a senior VP at the Quantitative Analytics Asset and Liability Management team at Barclays in London, and focuses mainly on the modeling of Liabilities in the Customer Banking Book for the purposes of liquidity and interest rate risk management.  He has in particular led the efforts to develop statistical models for Non-Maturity Deposits in Corporate, Business and Retail Banking. He has close to thirty publications combined in theoretical physics and quantitative finance over the years

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Nina Engelputzeder

Principal

European Central Bank

Dr. Nina Engelputzeder is an experienced supervisor and banking professional with a demonstrated history of working over 10 years’ in the banking industry. After finishing her studies in 2006, she has been working in academia, and then for a large European bank in managing credit-, market- and liquidity risk with key components such as regulatory compliance, RWA, valuation methodologies, IPV and valuation adjustments. She has a proven track record in managing complex projects in particular with regards to development and successful implementation of process improvements and supporting IT tools. In March 2018, she joined the European Central Bank as principal supervisor in charge of the direct supervision of a significant credit institution.

She holds a PhD in Mathematics as well as Global Executive Master of Business Administration (MBA).
 

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Tobias Rademann

Head of Market Risk Economic Capital Methodology Germany

Deutsche Bank

Tobias Rademann is leading the Market Risk Economic Capital Methodology Team at the Risk Methodology department within Deutsche Bank in Berlin. As part of his role he drives the development of market risk models for internal capitalisation (Economic Capital) of the Trading and Banking Book across asset classes, locations and legal entities. Tobias has a proven track record of developing and implementing highly complex models across the Market Risk space.
Before his current role Tobias has worked several years in the Market Risk Methodology department at Deutsche Bank in London where he developed market risk models for internal as well as regulatory capital. Tobias holds a degree in business mathematics from Technical University of Berlin.
 

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Toni Woelk

Market Risk Manager

Deutsche Bank

Toni works for Deutsche Bank and leads a team in MRM looking after ALM activities globally. The core work within his role is the development and parametrization of behavioral IRRBB models together with the Treasury ALM functions. The role furthermore includes the related IRRBB Risk Appetite Framework for the firm and its divisions and the oversight of the central overlay hedging strategies. He has worked in the financial industry for 15 years, former roles included MRM activities for Rates and Money Market trading desks.

CPD / CPE Accreditation

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CPD Accreditation

This course is CPD (Continued Professional Development) accredited and will allow you to earn up to 12 credits. One credit is awarded for every hour of learning at the event.

CPE Member

CPE Accreditation

This course is CPE (Continuing Professional Education) accredited and will allow you to earn up to 12 credits. One credit is awarded for every hour of learning at the event in accordance with the standards of the National Registry of CPE Sponsors.

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Countdown to Course

04 September 2019
2019-09-04 08:30:17 +0100