Agenda

Agenda

Agenda: ALM and Balance Sheet Management

Day one: Wednesday, May 20, 2020

08:3009:00

Registration and refreshments

08:30 - 09:00

09:0010:30

ICAAP and ILAAP integration

09:00 - 10:30

  • ICAAP/ILAAP regulatory expectations

  • Industry practice

  • Implementation challenges

  • Generating returns on your investment

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Managing interest rate risk

10:45 - 12:00

  • Using financial futures and options to hedge interest rate risk

  • Customized interest rate agreements

  • Securitization of ALM

  • Behavior assumptions

  • Optimization through behaviour model

  • Cumulative GAP model and duration GAP model

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Operating an efficient ALM model

13:00 - 14:30

  • Evolution of ALM

  • The role of assert liability committee

  • ALM function within the treasury

  • How the treasury supports your bank strategies

  • Defining, monitoring, and reporting risk appetite

14:3014:45

Afternoon break

14:30 - 14:45

14:4516:15

Balance sheet management

14:45 - 16:15

  • Why banks need balance sheet resources

  • Constraints

  • Frequency of reallocation

  • Behaviour analysis

  • Capital considerations 

  • Integrated balance sheet optimization

Armel R. Kouassi

Senior Vice President

Northern Trust Corporation

Armel R. Kouassi is a seasoned banking and finance professional with over 15 years of experience in financial services.  He has worked and lived in numerous locations throughout the United States, Europe & Africa. Mr. Kouassi is Senior Vice President at Northern Trust Corporation. Armel has shifted between private equity, entrepreneurial and senior banking roles in his career. Armel is a frequent speaker and author in banking and risk magazines in Africa, Latin America, USA and Europe, he is certified Financial Risk Professional and a member of Global Association of Risk Professional. 

Armel received an MBA from the Wharton School, a Master’s in finance from ESCP Europe, France and a Master’s in statistics and economy with Honors from ENSEA, Cote d’Ivoire. Armel is a father of 3 girls, fluent in English, French and German, he is passionate of Economic Empowerments, Global Affairs, Arts and Music. Member of the Board of Directors of the 12.14 Foundation, a nonprofit organization dedicated to fostering well-being in children by instilling grit and resilience. Member of the Board of Directors of the Ridgefield Symphony Orchestra. Armel is also member of the FinTech Advisory Board at the Center of Financial Professional. Member of the Chicago Council of Global Affairs, the Aspen’s Society of Fellows and the Manhattan Institute’s Young Leaders Circle. 
 

16:1516:15

End of day one

16:15 - 16:16

Day two: Thursday, May 21, 2020

08:3009:00

Registration and refreshments

08:30 - 09:00

09:0010:30

Funds transfer pricing

09:00 - 10:30

  • FTP overview

  • Regulatory requirements on cost/benefit attribution

  • Dealing with the different balance sheet components

  • Setting up replicating portfolio

  • Regulatory cost attribution

  • Steering the balance sheet – management overlays

Yujush Saksena

Managing director and head of market risk

GE Capital

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.

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

ALM for capital markets

10:45 - 12:00

  • Capital management

  • Liquidity and funding

    • LCR, NSFR, NCCF for capital market products

    • FTP for capital market products

    • Collateral management

  • Business model optimization

    • Centralized funding units

    • XVA desks

    • Financial resource management 

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Liquidity risk frameworks

13:00 - 14:30

  • Improving liquidity 

  • New modelling approaches 

  • Assessing the character of the liquidity pool

  • Liquidity coverage ratio

  • Net stable funding ratio

  • Trapped liquidity / legal structure

Shahab Khan

Head of regulatory interpretations, liquidity

Deutsche Bank

Shahab Khan currently works for Deutsche Bank in New York in Treasury function as Head of Regulatory Interpretation-Liquidity. Prior to this, he was with the Regulatory Policy group where he was subject matter expert on matters related to Liquidity, Capital, RWA, Market Risk etc. Before this, he worked for various financial institutions and was associated with one of the big 4 accounting firms in the financial advisory group at the beginning of his career. During his professional career, he has held various positions in Treasury and M&A groups. For the last several years, he has been dealing with Capital and Liquidity regulations that are applicable in the US. In addition to MBA, he is also a Certified Treasury Professional.  He is an avid reader and loves to travel.

14:3014:45

Afternoon break

14:30 - 14:45

14:4516:15

Ibor reform

14:45 - 16:15

  • Reassess ALM strategies

  • Evaluate model inventory

  • Handling the transition

    • Derivatives

    • Loans / deposits / securities

  • Alternative benchmarks

  • Risk free rates

16:1516:15

End of course

16:15 - 16:16