Agenda

Agenda

Agenda Deposit Modelling Frankfurt

08:3009:00

Registration and refreshments

08:30 - 09:00

09:0010:30

Regulatory overview, governance and key considerations

09:00 - 10:30

  • Class introductions
  • Deposit modelling – where are we now and where are we going?
  • Increased focus on model validation
  • Interaction of risk management and cost/benefit allocation
  • Key challenges:
    • Influx of deposits due to quantitative easing
    • Excess liquidity; are these the final months?
    • Difficulty predicting customer behaviours
  • Evolution of regulatory guidance, modelling approaches and risk metrics; Basel and EBA requirements
Dr. Stephan Süß

Market risk

The Boston Consulting Group

​Dr. Stephan Süß joined the Munich office of The Boston Consulting Group in March 2016. He is a core member of the Finance practice and a member of our Risk expert team. The focus of his project work is on regulatory change, market risk, and capital market topics. Prior to joining BCG, Stephan was Practice Leader of the Derivatives Consulting practice of swissQuant Group in Zurich, providing margin model development and validation services, e.g. for nine out of the ten largest clearing houses worldwide.

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Non-maturing deposits modelling

10:45 - 12:00

  • Landscape overview: Non-maturing deposits modelling
    • Relevance and scope of concerned deposits
    • Motivation and benefits
    • Spectrum of common approaches
  • Approaches followed by Deposit Solutions
    • Attrition model
    • Replicating portfolio model
Dr. Stephan Simon

Head of funding strategy & deposit analytics

Deposit Solutions

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. Stephan leads the Funding Strategy & Deposit Analytics team at the FinTech Deposit Solutions since 2019.

Arash Dargahpour

Senior manager funding strategy & deposit analytics

Deposit solutions

Arash Dargahpour is a European expert on risk, modeling and data management. He has driven and developed Oliver Wyman's work in the Financial Services space across Europe covering strategic topics around risk models, stress testing, innovative data sources (news aggregators, social media etc.) and new analysis tools (e.g. natural language processing, machine learning). Prior to joining Oliver Wyman he studied economics in Mannheim, completed the post-graduate program of the Kiel Institute of the World Economy and worked as a consultant on FS topics at BearingPoint. Arash joined the Funding Strategy & Deposit Analytics team at the FinTech Deposit Solutions in 2019.

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Replication of non-maturing deposit portfolios

13:00 - 14:30

  • Intro about the current low interest rate environment and our view on the challenges this poses for European banks;
  • Intro on NMD modelling and the interaction between client and bank behaviour;
  • Discussion on different philosophies around modelling and replicating NMDs (from volume to client rate replication and what’s in between), the pros / cons and considerations;
  • Case study of NMD replication approaches in the Dutch savings market;
  • Approach for modelling and replicating the 0% client rate floor in NMD portfolios.
Rienk Tuinhof

Consultant

Deloitte

Rienk is consultant within Deloitte Financial Risk and focuses on Asset & Liability Management (ALM) in the banking sector. Previously he wrote his thesis at the same department on the valuation of interest rate derivatives. In particular, he implemented the LIBOR Market Model in a multi-curve framework to value Bermudan swaptions.

Education

  • MSc in Quantitative Finance and Actuarial Science (cum laude) from Tilburg University;
  • BSc in Econometrics and Operations Research, obtained from Tilburg University.

Berend Ritzema

Manager

Deloitte

Berend is manager within Deloitte Financial Risk and focuses on Asset & Liability Management (ALM) in the banking sector. He has broad and international experience in model development and validation for regulatory and economic capital models for credit, market, interest and liquidity risk. Specifically he performed and managed model development projects for interest rate risk and liquidity risk models for non-maturing deposit (NMD) portfolios at different banks in and outside of the Netherlands.

Education

  • Graduate programme in Management (summer programme) at Harvard University (2019);
  • GARP certified Financial Risk Manager, passed level I and II exams with top rating on every topic (2016);
  • MSc in Econometrics (Cum Laude) with specialisation in Quantitative Finance, Erasmus University Rotterdam (2016);
  • Honours BSc in Econometrics & Actuarial Science, University of Groningen (2014).

14:3014:45

Afternoon break

14:30 - 14:45

14:4516:15

Low interest rate environment - interest rate risk modelling

14:45 - 16:15

  • Finding the dynamic deposit rate of NMD’s
  • Model for market rates
  • Modelling separately or intertwined? e.g. vector autoregressive system
  • Crossing the 0% rate floor
  • How institutions are dealing with negative rates
  • Can current modelling systems still be used
  • Behaviour modelling implications
Emil Avsar

Quantitative analyst

Barclays

08:3009:00

Refreshments

08:30 - 09:00

09:0010:30

Risk and capital models for NMDs – beyond regulatory stress testing

09:00 - 10:30

  • Best practices for deposits modelling
  • Risks & hedging from Market Risk Manager perspective
  • Internal Capitalisation for Market Risk
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.

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Results of the 2019 stress test – discussion

10:45 - 12:00

  • Stress testing frameworks
  • Reflecting on the 2019 stress test
  • What are the implications of the stress testing results?
  • Interconnectedness with various regulatory requirements
  • How can we improve moving forward?
  • 2020 SREP
Vera Economou

Senior green loan portfolio manager

Raiffeisen Bank International

Vera has been working at Raiffeisen Bank for 8 years and is responsible for Green Loan Portfolio management. She is involved in methodological development of Group-wide risk models of expected cash flows realization and future behavior of customer loans, deposits, and off-balance sheet products.

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Liquidity risk modelling

13:00 - 14:30

  • Purposes of liquidity modelling
  • Liquidity dynamics
  • Liquidity steering
  • Results of the liquidity stress test
  • Sensitivity analysis of the liquidity stress test
  • Consistency between liquidity risk management and LTP
  • Pricing of liquidity – own funding costs
  • Liquidity gap – derive the funding gap
Dr. Andreas Bohn

Partner

McKinsey & Company, Inc.

Andreas is a Partner in McKinsey's Frankfurt Office. He is a Risk Expert for treasury as well as market and counterparty credit risk.  He works for international active Tier 1 and Tier 2 banks in Europe, Americas and Middle East. Andreas has authored and co-authored relevant articles and books, including “The Handbook of ALM in Banking”. Furthermore, he has been presenting at relevant industry and academic conferences.

14:3014:45

Afternoon break

14:30 - 14:45

14:4516:15

Delivering quality in deposit modelling

14:45 - 16:15

  • Modelling, Quality and Value
  • Quality in data aggregation processes
  • Ensuring adequate Behavioural model development
  • Regulatory requirements on risk data aggregation capabilities and reporting practices
  • Creating lasting value beyond risk-related considerations
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.