Agenda

Agenda

ALM - Agenda

Day One

Wednesday 20 November 2019

8:30

Registration and refreshments

9:00

The evolution of ALM & the ALCO process

  • The role of the asset-liability committee and the ALM function within treasury
  • How the treasury supports your bank strategies
  • Defining risk appetite
  • Operating an efficient ALM model: managing model risk
  • Integrated balance sheet management

EY

10:30

Morning break

11:00

Managing the balance sheet

  • Allocating the balance sheet
  • Behavior assumptions
  • Balance sheet optimization through behavior model
  • Cash flow predictions and back testing
  • Capital structure optimization

Michael Gude, interest rate risk manager, SunTrust

12:30

Lunch

13:30

Asset liability management (IRRBB)

  • Understanding sources of interest rate risk
  • Key IRR metrics
  • Measurement and modeling challenges
  • Regulatory and capital requirements
  • Linkage with liquidity risk and FTP
  • IRRBB governance 

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

15:00

Afternoon break

15:30

Utilizing machine learning and big data in BSM

  • Identifying the tradable asset classes that impact the balance sheets
  • Synthetic ‘pool’ or proxy representatives
  • Classifying and identifying products & pricing models
  • Input & output engines
  • Feedback loop to tweak rules and determine simulated scenarios
  • Identifying most susceptible clients
  • Re-balancing portfolios to achieve better P&L

17:00

End of day one

Day Two

Thursday 21 November 2019

8:30

Refreshments

9:00

Funds transfer pricing (FTP)

  • FTP overview
  • Regulatory requirements on cost/benefit attribution
  • FTP building blocks: dealing with the different balance sheet components
  • Setting up replicating portfolios
  • Regulatory cost attribution (LCR, NSFR, TLAC)

EY

10:30

Morning break

11:00

ALM for capital markets

  • Capital management (FRTB, CVA Capital, CCR, leverage ratio in capital markets)
  • Liquidity and funding:
    • LCR, NSFR, NCCF for capital market products
    • FTP for capital market products
    • Collateral management (cost and optimization)
  • Business model optimization and balance sheet management
    • Centralized funding units
    • XVA desks
    • Financial resource management

Hovik Tumasyan, founder and president, FinRisk Solutions

12:30

Lunch

13:30

Strategic ALM: integrating and optimizing the balance sheet

  • Addressing the 3D balance sheet optimization problem: meeting the competing needs of regulators, customers and shareholders
  • Removing silos
  • Top down approach: recommended risk appetite statement and strong public disclosures
  • Liquid vs illiquid assets
  • Breakdown of liabilities: retail deposits, wholesale funding & capital

Karl Rubach, managing director, IBSM Solutions Inc.

15:00

Afternoon break

15:30

ALM and balance sheet management under new basel and liquidity frameworks

  • Outline of today’s capital and liquidity constraints (TLAC, capital ratios, LCR, stress testing)
  • Balance sheet optimization within both the regulatory and business constraints
  • Setting costs and incentives to achieve the firm’s goals (FTP, LP, capital allocation, business targets
  • New regulations on the horizon and optimization given regulatory uncertainty

EY

17:00

End of course