Agenda

Agenda

March 2021 Course Agenda

Live virtual course | Agenda timing is in GMT
Respective time in HKT
Start: 8:30am GMT / 4:30pm HKT
Break: 9:30am GMT / 5:30pm HKT
Break: 10:45am GMT/ 6:45pm HKT
End: 12pm GMT/ 17:15pm HKT

Day One: Tuesday, 2nd March, 2021

08:3009:30

The evolution of ALM & the ALCO process

14:00 - 15:00

  • 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

09:3009:45

Break

15:00 - 15:15

09:4510:45

Managing interest rate risk

15:15 - 16:15

  • IRR metrics; MVE/EVE NIMM; riding the yield curve
  • Managing interest rate risk with and without using derivatives
  • Interest rate risk and behavioural modelling
  • Consequences of current low/negative rates

10:4511:00

Break

15:00 - 15:15

11:0012:00

Funds transfer pricing

14:00 - 15:00

  • Regulatory requirements on cost/benefit attribution
  • Dealing with the different balance sheet components
  • Regulatory cost attribution
  • Steering the balance sheet – management overlays

12:0012:00

End of day one

16:15 - 16:16

Day Two: Wednesday, 3rd March, 2021

08:3009:30

Balance sheet management

08:30 - 09:30

  • Balance sheet structure in banks
  • Regulatory requirements (Basel III)
  • Risk management in the banking book
  • Optimisation in the banking book

09:3009:45

Break

15:00 - 15:15

09:4510:45

Liquidity risk frameworks

14:00 - 15:00

  • New modelling approaches
  • Assessing the character of the liquidity pool
  • LCR and NSFR; differences, similarities, and alignment
  • Intra-day liquidity risk management

10:4511:00

Break

15:00 - 15:15

11:0012:00

Stress testing liquidity and the balance sheet

11:00 - 12:00

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

16:1516:15

End of day two

16:15 - 16:16

Day Three: Thursday, 4th March, 2021

08:3009:30

ICAAP and ILAAP integration

08:30 - 09:30

  • ICAAP/ILAAP regulatory expectations
  • Industry practice
  • Implementation challenges
  • Generating returns on your investment

09:3009:45

Break

15:00 - 15:15

09:4510:45

Ibor reform

09:45 - 10:45

  • Understanding the current Ibor curves
  • What is an Ibor/an ARR curve
  • Multi curve environments
  • Reassessing ALM strategies
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

10:4510:45

End of course

16:15 - 16:16