Agenda

Agenda

Deposit Modelling, NMDs & the Treasury - Frankfurt

Course agenda

Day 1 - Wednesday, 4 September 2019

08:30

Registration and refreshments

09:00

Regulatory Overview, Governance and Key Considerations

  • Deposit modelling – where are we now and where are we going?

  • Interaction of risk management and cost/benefit allocation

  • Key challenges:

    • Influx of deposits into banking systems

    • Excess liquidity; are these the final months?

    • Data challenges

    • Difficulty predicting customer behaviours

  • Evolution of regulatory guidance, modelling approaches and risk metrics; Basel and EBA requirements

Speaker:

  • Dr Stephan Simon, Expert Principal Finance & Risk, Oliver Wyman, Munich

10:30

Morning break

11:00

Non-Maturing Deposits Modelling

  • What characterizes a good model?

  • Everything at O/N, everything at average life

  • Quantification of data

  • Tractor models and replicating portfolio models

  • Vintages, core/volatile split, LCR considerations

  • Balance volatility

  • Integrating the model component

  • Low interest rates

    • How to model floors in rates?

    • Client behaviour when short term market rates exceed client rates

    • Should deposits also be modelled as NMD’s?Purposes of liquidity modelling

Speakers: 

  • Tom Dewyspelaere, Head of Integrated Risk Modelling, Belfius
  • Dieter Van Welden, Quantitative Analyst Integrated Risk Modelling, Belfius

12:30

Lunch

13:30

Liquidity Risk Modelling

  • Purposes of liquidity modelling

  • P&L ownership of liquidity risk

  • Liquidity management control function

  • Consistency between liquidity risk management and LTP

  • Pricing of liquidity – own funding costs

  • Liquidity gap – derive the funding gap 

Speaker:

  • Christian Hasenclever, Head of Strategic Asset and Liability Management, Norddeutsche Landesbank (NORD/LB)

15:00

Afternoon break

15:30

Interest Rate Risk Modelling 

  • Finding the dynamic deposit rate of NMD’s

  • Model for market rates

  • Model for deposit volumes

  • Model for deposit rates

  • Modelling separately or intertwined? E.g. vector autoregressive system

  • Effects of moving away from Libor; new interest rate projections and discounting curves

Speaker:

  • Emil Avsar, Senior VP, Quantitative Analytics Asset and Liability Management , Barclays

17:00

End of Day 1

Day 2 - Thursday, 5 September 2019

08:30

Refreshments

09:00

Risk and Capital Models for NMDs – Beyond Regulatory Stress Testing

  • Risk Modelling from Market Risk Manager perspective

  • Current challenges in calibration of Models

  • Embedded client rate floor and NII hedging approaches

  • Internal Capitalisation for Market Risk

Speakers:

  • Tobias Rademann, Head of Market Risk Economic Capital Methodology, Deutsche Bank
  • Toni Woelk, Market Risk Manager for Global ALM, Deutsche Bank

10:30

Morning break

11:00

Stress Testing

  • Stress testing frameworks

  • Practical example of product stress test

  • Stress testing NMD’s

  • Interconnectedness with various regulatory requirements

  • How can we improve moving forward?

Speaker:

  • Nina Engelputzeder, Principal, European Central Bank

12:30

Lunch

13:30

Funds Transfer Pricing

  • What is FTP and what are the benefits

  • Thinking about the mismatch centre

  • Static strip, stochastic strip funding

  • Term liquidity premium (TLP)

  • Repricing premium or term liquidity premium?

  • Modelling for NMD balance sheets; Stickiness premium

  • Is a floor part of business risk or interest rate risk?

Speaker:

  • Dr. Heiko Siede, Controller Funds Transfer Pricing & Balance Sheet Management, Commerzbank AG

15:00

Afternoon break

15:30

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

  • An idealized data flow in interest rate risk and liquidity risk reporting
  • Where things can go wrong: challenges to risk reporting quality
  • Infrastructure-related considerations in risk reporting\
  • The governance of data-aggregation and modelling processes
  • Progress in fulfilling the regulatory requirements

Speaker:

  • Dr. Csaba Burger, CFA, ALM Treasury Data Science, BNP Paribas Germany

17:00

End of course