ALM, Interest Rate and Liquidity Risk Management - Agenda

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



Evolution of ALM and ALCO process

14:00 - 15:00

  • The role of asset liability committee and the ALM function within treasury

  • ALM function within treasury

  • Defining, monitoring, and reporting risk appetite

  • Regulatory update: Basel III/IV, CRD IV 

  • Impact on ALM of benchmark reform 

Wayne Spiteri

Head of asset liability and capital management




15:00 - 15:15


Managing and optimising the balance sheet

15:15 - 16:15

  • Addressing the 3D balance sheet optimisation problem; meeting the competing needs of regulators, customers, and shareholders
  • Integrated balance sheet optimization
  • Risk appetite definition and strong public disclosures
  • Funding optimisation: managing ratios vs. duration
Christian Sievers

Head of balance sheet strategy

Deutsche Bank

Senior Treasury expert with core expertise in Balance Sheet Management, Performance Management, Funds Transfer Pricing, Liquidity Management and IRRBB. Driving Deutsche Bank’s Balance Sheet and in particular Funding Strategy to ensure optimal provision and allocation of financial resources. Experienced in leading through times of market as well as idiosyncratic stress periods.


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

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.



15:00 - 15:15


Managing interest rate risk

08:30 - 09:30

  • Securitization of ALM

  • Hedging interest rate risk

  • Interest rate risk metrics: MVE/EVE NIM; riding the yield curve

  • Behavioural assumptions and optimisation through behavioural model

  • Consequences of low/negative rates

Karl Rubach

Managing director

IBSM Solutions Inc.

Karl Rubach is the Managing Director and founder of Integrated Balance Sheet Management Solutions, Inc. in Toronto, Canada. He has over 20 years of international Treasury, Balance Sheet and Capital Management experience. He has lead the implementation of Risk Adjusted Return on Capital (RAROC) and Balance Sheet Optimization frameworks, including Funds and Transfer Pricing (FTP) and Economic Capital allocation.

He is a frequent speaker at industry events. He holds a master’s degree in finance as well as a bachelor’s degree in economics from ITAM Mexico. He is also a CFA charter holder.


Liquidity risk frameworks

08:30 - 09:30

  • Assessing the liquidity pool and improving liquidity

  • New modelling approaches

  • LCR and NSFR; differences, similarities, and alignment 

  • Trapped liquidity and legal structure

  • Understanding intra-day liquidity risk management

Shahab Khan

Subject matter expert- regulatory capital & liquidity

JP Morgan Chase

Shahab Khan currently works for JP Morgan Chase as subject matter expert in regulatory capital and liquidity.

Previously, Shahab worked 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. 



15:00 - 15:15


Capital management, ICAAP and ILAAP integration

14:00 - 15:00

  • Understanding capital allocation and cost

  • ICAAP/ILAAP regulatory expectations

  • Industry best practice and implementation challenges

  • Generating and managing returns on equity and investments

  • Active capital management and appropriate pricing

Brian Brown

Head of liquidity risk management

Deutsche Bank


Stress testing within 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

  • Reverse stress testing and how it is relevant

Anant Saxena

Head of stress testing methodology

Credit Suisse

Anant Saxena is currently head of stress testing methodology at Credit Suisse. In his current role is he is responsible for oversight of stress testing models employed for firm wide stress testing.

Anant is also responsible for leading development of scenario calibration and expansion models used for scenario design. He is currently also leading the group wide PPNR modelling effort working closely with CFO teams.

Anant was working with EY in the financial services team prior to joining Credit Suisse in 2010. He graduated in computer engineering and holds an MBA qualification in finance.




15:00 - 15:15


Challenges for the treasury risk framework

09:45 - 10:45

  • Robust risk governance under regulatory change 

  • Business architecture

  • System architecture and transformation 

  • Reconciliation 

  • Data quality and data lineage 

Christopher Dunn

Risk management consultant

BNY Mellon