Deposit Modelling London
Risk training’s two day course returns to London to provide a key insight into deposit modelling and the treasury, and considers the links between interest rate risk, liquidity risk and funds transfer pricing.
Risk training’s two day course returns to London to provide a key insight into deposit modelling and the treasury, and considers the links between interest rate risk, liquidity risk and funds transfer pricing. The course will also focus on best practice approaches to modelling non-maturity deposits, an overview of non-dated liabilities and cash management.
- Discuss the role of the deposit model and differences in practice and regulation through the EU, UK & US
- Consideration of interest rate risk, liquidity rate risk and funds transfer pricing; sources of risk, current status and how they interlink
- Examine various approaches to deposit modelling including tractor models, balance volatility and LCR considerations
- Deep dive into modelling non-maturity deposits
- Overview of balance sheet optimisation and how to integrate this with overarching risk management strategies
- Discuss where the responsibility for risk ownership and governance should fit along with the future of deposit modelling
Who Should Attend
The course will be of benefit to those work within Treasury Risk, on ALM, or specifically on deposit modelling. However, Risk Training welcomes any individual with an interest in the course material. Those working in the following areas may find the course particularly relevant:
- Deposit modelling
- Asset-liability management
- Treasury risk
- Balance sheet management
- Interest rate risk
- Liquidity risk
- Funds transfer pricing
- Stress testing
- Risk modelling
- Regulatory compliance
- Risk management
By the end of the two days, delegates will have a new or improved knowledge of:
- Regulatory requirements, changes in banking reforms & the problems with deposit modelling
- The deposit model
- Considerations for IRR, FTP and Liquidity Risk
- How to model non-maturity deposits
- Balance sheet optimisation and its role within the treasury
- Governance within the treasury and who should be responsible for owning the risks associated with deposit modelling
Dr Matteo Formenti
Head of FTP (Fund Transfer Pricing) team
Matteo Formenti joined the Group Internal Validation in the Market Risk Unit of UniCredit in 2013 working on validating the Market, CCR, ALM, IFRS-13 and Pillar II internal models. Previously he worked for 3 years in Deloitte Consulting developing the methodology. He holds a M.Sc. in Economics and a Ph.D. in Finance.
Cluster Lead Interest Rate and Liquidity Risk Modelling
Bert-Jan Nauta works as cluster lead of interest rate risk and liquidity risk modelling at ABN AMRO. In this and former positions at a.o. the Dutch Central Bank and RBS he has worked on a variety of models, such as derivative pricing models, liquidity risk models, and economic capital models. His research focuses on including liquidity risk in derivative pricing models and the connection to funds transfer pricing and FVA.
Louise Hammond FCA, FCT
Head of International Transfer Pricing
Louise is a financial professional with over 15 years PQE across a wide range of Strategy, Risk, Treasury, Technology & Finance roles.
Currently heading up the Funds Transfer Pricing team for Barclays International, Louise has a keen interest in the practical implications of deposit modeling on pricing both behavioural and contractual term funds to support a holistic funding strategy.
Director, FS Risk and Regulation Centre of Excellence
Hortense is a Director in PwC’s Financial Services Risk and Regulation practice, with a focus on banking and investment firms’ prudential issues, especially around liquidity.
Hortense has in depth knowledge of Basel and CRD/CRR requirements, and provides specialist technical expertise on those issues to PwC clients.
Hortense contributes to a range of PwC publications and external publications with articles on liquidity regulatory requirements and other prudential issues such as structural reform. She also contributed to a book titled ‘Liquidity Risk Management: A Practitioner's Perspective’.
Prior to joining PwC she worked for the Bank of England, leading on liquidity policy (designing the then-FSA liquidity regime) and funding issues. She started out as a supervisor in France and in the US and has relationships with the French banking supervisor (ACPR) and the US FDIC.
Dr. Aleksandra M. Basic
Senior ALM Risk Manager
Cembra Money Bank
dr. Aleksandra Murks Basic obtained her Ph.D. in physics in 2012 by studying evolutionary games, social dilemmas, complex networks, and stochastic processes. She has mainly specialized in the area of treasury risk models covering aspects of liquidity and funding, ALM and interest rate risk in the banking book, including stress testing applications and sensitivity analysis. She been also involved in in the analysis of economic instruments in the area of greenhouse gas emissions. For several years she is active in the field of quantitative anylsis and modelling and has gained excellent knowledge in assessing the model's conceptual soundness, model design, and methodology, in checking the appropriateness of input data, data sources, the model assumptions and parameters, checking the accuracy of model calibration and the model implementation.
Senior Market Risk Manager
Beata is a financial engineer with 15 years of practical experience gained in international financial institutions such as GE Capital, Deloitte and Standard Chartered Bank based both in Milan and London.
Currently she is a Head of Market Risk Department in MeDirect Group in London with the main focus on IRRBB, Market Risk and Balance Sheet Management. Beata is also pursuing the academic research.
The results of her research are published in Financial Sciences, Springer Proceedings in Business and Economics and Research Papers of Wroclaw University of Economics. Her recent publications include:
Head of Treasury
Bank of China
Richard Burrows has 25 years experience in finance having held senior roles across the three lines of defence in roles relating to Treasury in Investment Banking, Retail Banking and Corporate Banking. He worked as a liquidity specialist at the UK regulator when the post-crisis liquidity regime was implemented and subsequently designed liquidity risk frameworks and authored ILAAP documents. As Head of Treasury at Bank of China in London, Richard has primary accountability for liquidity risk management and is a member of ALCO and Credit Committee. Richard is also Chairs the Conduct Risk Committee.
This two-day workshop has been designed to delve into best practice approaches to building a model risk framework. Attendees will be equipped with a thorough understanding of model risk now and into the future, including the impact of machine learning.
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