Agenda

Agenda

November Course Agenda

Agenda timing is in GMT
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Session one - 2pm GMT/ 9am EST
Session two - 3.15pm GMT/ 10.15am EST
End - 4.15pm GMT/ 11.15am EST
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Day One: Monday, 9th November, 2020

14:0015:00

Balance sheet management

14:00 - 15:00

  • Balance sheet structure in banks
    • Types of products in the banking book
  • Regulatory requirements (Basel III)
  • Risk management in the banking book
    • Interest rate risk
    • Liquidity risk
    • Credit risk
  • FTP in banks
  • Optimisation in the banking book
Juan Gonzalez Herrera

VP - Global treasury risk management

State Street

Juan Gonzalez Herrera has over 20 years of experience on interest rate risk management and derivatives modelling.

He joined State Street Bank and Trust in 2014 as Director of Quantitative Analysis in the Global Treasury Risk Management team, where he led the oversight of interest rate risk, liquidity risk and market risk models, as well as the development of models to be used by the second line of defense. In 2018 Juan joined the Model Risk Management team, where he leads the validation of models related to Treasury Risk, including behavioral modelling of deposits. Before joining State Street Juan worked for Santander US, leading the modelling and methodology for market risk models. Additionally, Juan spent 5 years as consulting manager on ALM, with wide-ranging exposure to banking markets in the US, Canada, LATAM, Europe and China. His previous experience also includes several years of academic teaching, mainly focused on risk management and derivatives.

15:0015:15

Break

15:00 - 15:15

15:1516:15

Managing interest rate risk

15:15 - 16:15

  • IRR metrics;  MVE/EVE NIM; riding the yield curve
  • Managing interest rate risk with and without using derivatives
  • Interest rate risk and behavioural modelling
  • Optimisation through behaviour models
  • Managing IRRBB in practice
  • Consequences of current low/negative rates
Juan Gonzalez Herrera

VP - Global treasury risk management

State Street

Juan Gonzalez Herrera has over 20 years of experience on interest rate risk management and derivatives modelling.

He joined State Street Bank and Trust in 2014 as Director of Quantitative Analysis in the Global Treasury Risk Management team, where he led the oversight of interest rate risk, liquidity risk and market risk models, as well as the development of models to be used by the second line of defense. In 2018 Juan joined the Model Risk Management team, where he leads the validation of models related to Treasury Risk, including behavioral modelling of deposits. Before joining State Street Juan worked for Santander US, leading the modelling and methodology for market risk models. Additionally, Juan spent 5 years as consulting manager on ALM, with wide-ranging exposure to banking markets in the US, Canada, LATAM, Europe and China. His previous experience also includes several years of academic teaching, mainly focused on risk management and derivatives.

16:1516:15

End of day one

16:15 - 16:16

Day Two: Tuesday, 10th November, 2020

14:0015:00

Funds transfer pricing

14:00 - 15:00

  • 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
Christopher Dunn

Risk management consultant

BNY Mellon

15:0015:15

Break

15:00 - 15:15

15:1516:15

ALM for capital markets

15:15 - 16:15

  • ICAAP and effective capital management
  • ALM strategy for capital markets
  • Liquidity and funding
    • LCR, NSFR, NCCF for capital market products
    • FTP for capital market products
    • Collateral management
  • Use of hedging accounting in capital markets
  • Business model optimisation and balance sheet management
    • Centralized funding units
    • XVA desks
    • Financial resource management
    • Netting
Karina Kuks

Head of balance sheet management

Standard Chartered Bank

16:1516:15

End of day two

16:15 - 16:16

Day Three: Wednesday, 11th November, 2020

14:0015:00

Stress testing liquidity and the balance sheet

14:00 - 15:00

  • Defining stress testing scenarios
  • How are liquidity risk, credit risk and interest rate risk effected?
  • Developing early warning indicators
  • How to fund decisions and accurately forecast
  • Creating and integrating frameworks for stress testing extreme events
Rangan Ravindran

Treasurer, EMEA

Silicon Valley Bank

15:0015:15

Break

15:00 - 15:15

15:1516:15

ICAAP and ILAAP integration

15:15 - 16:15

  • Understanding capital allocation
  • ICAAP/ILAAP regulatory expectations
  • Industry practice
  • Implementation challenges
  • Generating returns on your investment
Brian Brown

Head of liquidity risk management

Deutsche Bank

16:1516:15

End of day three

16:15 - 16:16

Day Four: Thursday, 12th November, 2020

14:0015:00

Liquidity risk frameworks

14:00 - 15:00

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.

15:0015:15

Break

15:00 - 15:15

15:1516:15

IBOR reform

15:15 - 16:15

  • Understanding  the current IBOR curves
    • Reference rate term curves
    • IRS/IBOR curves
    • Absolute and spread curves
  • What is in an IBOR / an ARR curve
    • Term structure
    • Credit risk
    • Duality between transfer pricing and revaluation / discounting curves
  • Multi curve environments
    • Is the IBOR to ARR change substantial
    • Should relatively low ARR be passed on to clients
  • Reassessing ALM strategies
  • Risk free rates
Robert Fiedler

Subject matter expert

  • Studied Mathematics, Computer Sciences and Philosophy at the Universities of Heidelberg and Darmstadt
  • Cash, money market and derivatives trader, later heading up the asset/ liability management at Banque Nationale de Paris in Frankfurt
  • Deputy Head of Financial Markets at NatWest Markets in Frankfurt
  • He headed the treasury and liquidity risk methodology in Deutsche Bank; developed and implemented the methodological framework for liquidity risk ( LiMA – Liquidity Measurement & Analysis)
  • Executive Director Algorithmics’ ALM and Liquidity Risk Solutions
  • board member and head of product management for Fernbach Software, Luxembourg
  • Since 1999 until now he speaks at major (liquidity) risk conferences, tutors seminars and workshops on liquidity risk and ALM and consults banks and institutions such as the ECB and the BIS (where he is a regular speaker at the Financial Stability Institute) on liquidity risk
  • Since 2008 he focuses on Liquidity Risk in his own firm, Liquidity Risk Corp. (LRC) where he advises private banks, central banks and regulators on liquidity risk methodologies and helps to build software solutions to implement the resulting policies

16:1516:15

End of course

16:15 - 16:16