Agenda

Agenda

ALM, Interest Rate and Liquidity Risk Management - Agenda

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Live virtual course | Below agenda timing is in BST.

Respective time in EST:

Start: 2pm BST | 9am EST
Break: 3pm BST | 10am EST
End: 4.15pm BST | 11.15am EST

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14:0015:00

The evolution of ALM & the ALCO process

14:00 - 15:00

  • Role of asset liability committee
  • ALM function within treasury
  • How treasury supports your bank strategies
  • Defining, monitoring, and reporting risk appetite
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. 
 

15:0015:15

Break

15:00 - 15:15

15:1516:15

Managing interest rate risk

15:15 - 16:15

  • How to hedge interest rate risk
  • Interest rate risk metrics
  • Securitisation of ALM
  • Behavioural assumptions
  • Optimisation through behavioural model
  • Consequences of low/negative rates
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.


14:0015:00

Funds transfer pricing

14:00 - 15:00

  • FTP overview
  • Regulatory requirements on cost/benefit attribution
  • Dealing with the different balance sheet components
  • Setting up replicating portfolio
  • 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.

15:0015:15

Break

15:00 - 15:15

15:1516:15

ICAAP and ILAAP integration

08:30 - 09:30

  • Regulatory expectations
  • Industry practice
  • Implementation challenges
  • Generating returns on your investment
Juan Gonzalez Herrera

vice-president, 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.

14:0015:00

Balance sheet management

08:30 - 09:30

  • Balance sheet structure in banks
  • Regulatory requirements
  • Risk management within the banking book
  • Behaviour analysis and capital considerations
  • Integrated balance sheet optimisation

15:0015:15

Break

15:00 - 15:15

15:1516:15

Liquidity risk frameworks

14:00 - 15:00

  • Improving liquidity
  • Assessing character of the liquidity pool
  • New modelling approaches
  • Liquidity coverage ratio and net stable funding ratio
  • Trapped liquidity / legal structure
  • Intra-day liquidity risk management
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.

14:0015:00

Stress testing within ALM and balance sheet management

15:15 - 16:15

  • Defining stress testing scenarios
  • Developing early warning indicators
  • How to fund decisions and accurately forecast
  • Creating and integrating frameworks for stress testing extreme events

15:0015:15

Break

15:00 - 15:15

15:1516:15

Ibor reform

09:45 - 10:45

  • Understanding current Ibor landscape
  • Reassess ALM strategies
  • Alternative benchmarks
  • Handling the transition
Juan Gonzalez Herrera

vice-president, 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.