Agenda

Agenda

Speakers:

  • Donna Howe, lecturer, UCONN and former chief risk officer, Santander US
  • Yujush Saksena, managing director and head of market risk, GE Capital
  • David Green, founder, David Green Advisors
  • Eugene Wan, CFA, CPA, FRM, independent consultant 

Day 1 

August 28 2019

08:30

Registration and refreshments

09:00

How we got here: the evolution of IRR, FTP and liquidity risk

  • Defining duration: From average life to Macaulay to Modified to Effective
  • Texas S&L Crisis
  • Runs on banks
  • Lehman Brothers & the Global Financial Crisis
  • Evolution of regulatory guidance, modeling approaches and risk metrics
  • Differences between US and Europe regarding IRRBB
  • Tools and technology

Speaker: Donna Howe, lecturer, UCONN and former chief risk officer, Santander US

10:30

Morning break

10:45

Different approaches to deposit modeling

  • Defining the problem: balance decay & attrition rates
  • Is this time different? Behavioral assumptions & life choices
  • How bad is your data? And in what way?
  • Do you understand your process?
  • Model types
    • Vintage
    • Simulation
    • Tractor
    • Replicating portfolios
    • Network analysis & economic interactions
    • Segmentation
  • Management, forecasts & LCR

Speaker: Donna Howe, lecturer, UCONN and former chief risk officer, Santander US

12:00

Lunch

01:00

PART ONE: the problems of risk and profitability management 

  • Interest rate risk management 
  • Liquidity risk management 
  • Profitability and capital management 

Speaker: David Green, founder, David Green Advisors 

02:15

Afternoon break

02:30

PART TWO: funds transfer pricing - the secret to a meaningful story of how a bank makes money 

  • The Solution:  Funds Transfer Pricing
    • The theory and math of FTP
    • The mismatch center explained
    • Synchronizing mismatch risk dynamics with consolidated entity risk dynamics 
  •  The Winners:  Risk Management, Budgeting, Forecasting and Performance Management
    • How FTP informs and enhances risk management
    • How FTP supports meaningful and granular budgeting/forecasting exercises
    • How FTP enables accountability and enhances performance management
  • Governance and Accountability
    • Roles and responsibilities of ALCO, ALM, Finance and the business units
    • Ownership of behavioral assumptions and the role of FTP
    • Break-funding analysis and earnings management

Speaker: David Green, founder, David Green Advisors

03:45

Modeling non-maturity deposits to align risk and profitability management 

  • NMD Behavioral Requirements of Interest Rate Risk, Liquidity Risk and Profitability Management
  • NMD Model Demonstration 
    • Vintage-based modeling framework
    • Rate elasticity (beta), decay function and balance volatility (core/non-core)
    • FTP engine (MMFTP calculations)
    • Margin analytics (historical, current and pro forma)
    • Monitoring and assumption maintenance
    • Product pricing and performance management

Speaker: David Green, founder, David Green Advisors, 

05.15

End of Day 1 

Day 2

August 29 2019

08:30

Refreshments

09:00

A deeper dive on IRR 

  • Understanding sources of Interest Rate Risk 
  • Key IRR Metrics
  • Measurement/Modeling Challenges
  • Regulatory & Capital Requirements
  • Linkage with Liquidity Risk & FTP 
  • IRRBB Governance

Speaker: Yujush Saksena, managing director and head of market risk, GE Capital

10:30

Morning break

11:00

Stress testing - best practices 

  • Brief historical perspective 
  • Recent development on US regulatory stress testing 
  • Highlights of 2019 Boston conference
  • Bank of England's stress testing 
  • European Central Bank' stress testing 
  • How to create value from stress testing? 
  • A detailed comparative analysis 
  • A model validation example 

Speaker: Eugene Wan, CFA, CPA, FRM, independent consultant 

12:30

Lunch 

1:30 

End of course