ALM Balance Sheet Optimization - New York
This course will help attendees understand the three main challenges within ALM; liquidity, interest rate risk and optimizing the balance sheet.
This two day course will give delegates practical examples of how to manage the balance sheet through behavioral assumptions and modelling. It will delve deeper in to using machine learning and big data for balance sheet management and how to integrate and optimize the balance sheet with competing constraints.
What Will You Learn?
- How to operate an efficient ALM model
- Understanding of how machine learning and big data can be used in managing the balance sheet
- How to manage the balance sheet with behavior models, cash flow predictions and capital structure optimization
- How to consider ALM for capital markets through various liquidity metrics
- What the new Basel and liquidity frameworks look like and their impact on ALM
Who Should Attend?
Relevant departments may include but are not limited to:
- Balance Sheet
- The evolution of ALM & the ALCO process
- Managing the balance sheet
- Asset liability management (IRRBB)
- Utilizing machine learning and big data in BSM
- Funds transfer pricing (FTP)
- ALM for capital markets
- Strategic ALM: integrating and optimizing the balance sheet
- ALM and balance sheet management under new basel and liquidity frameworks
alm analyst, cfa
managing director and head of market risk
Yujush Saksena is currently the Head of Market Risk, GE Capital covering Interest Rate Risk, FX Risk and Commodities Market risk. Prior to this he was the Managing Director Market Risk for GE Capital Americas and the Verticals and co-head of Interest Rate Risk oversight at GE Capital where his primary responsibilities included providing Independent Market Risk oversight of GE Capital Americas and GE Capital’s Global Commercial Real Estate, Aviation Financial Services, North American Life and Health and, until full divestiture, Synchrony. Prior to SIFI de-designation he was responsible for strengthening the independent oversight and challenge of IR risk, including evolution of IRR Policy, Standards and Procedures framework
Prior to joining GE Capital Yujush was at Citigroup, where was the Managing Director Interest Rate Risk Oversight and Market Risk Manager for the Retail Asset businesses. In his 23 years at Citi he held a number of roles in Market Risk and Finance, including Market Risk Manager for Latin America Retail bank. While at Citi, he also worked on developing and implementing a standard NII forecast process across Finance, Risk and Treasury at Citi.
Yujush holds an MBA from The Indian Institute of Management, Bangalore India and has an undergraduate degree in Engineering and a Master’s in Economics. He is also holds CFA and FRM certifications.
senior director audit, finance and treasury
This training course will provide attendees with an in-depth understanding of the intricacies of IRRBB management, focusing on the different metrics involved and examining best practice approaches to modelling interest rate risk.
Learn about the effect IBOR ending is going to have on the industry and how the market will deal with the transition to risk free rates.