Agenda

Agenda

Course Agenda | ALM London 2019

 

Day One

4th September 2019

08:30

Registration and refreshments

09:00

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
  • Recovery and resolution planning
  • Ring fencing
  • The impact of banking laws on ALM

Speaker: Yousef Ghazi-Tabatabi, associate director, ALM and balance sheet management, PwC

10:30

Morning break

11:00

Managing and Optimising the Balance Sheet

  • Allocating the balance sheet
  • Behaviour assumptions
  • Balance sheet optimisation through behaviour model
  • Cash flow predictions and back testing
  • Capital structure optimisation
  • Removing silos
  • Top down approach; recommended risk appetite statement and strong public disclosures
  • Liquid vs illiquid assets

Speaker: Tony Morley, head of group balance sheet management, Bank of Ireland

12:30

Lunch

13:30

IRRBB

  • Introductory remarks
  • A simple balance sheet to start with: what is IRRBB?
  • Setting up an IRR strategy
    • Management philosophies
    • Goals for IRRBB management
    • Translating qualitative statements into a quantitative framework
    • Concrete examples for limit systems and hedging the balance sheet
  • Summary

Speaker: Thomas Ribarits, head of financial engineering, EIB

15:00

Afternoon break

15:30

Funds Transfer Pricing

  • What is FTP and what are the benefits
  • Thinking about the mismatch centre
  • Static strip, stochastic strip funding
  • Repricing premium or term liquidity premium?
  • Basic FTP: the term liquidity premium
  • Building an internal funding framework
  • Adding liquidity risk, liquidity options and market risk

Speaker: Tiziano Bellini, director, Blackrock, guest lecturer Imperial College London and at the London School of Economics and Political Science

17:00

End of Day One

Day Two

5th September 2019

08:30

Refreshments

09:00

Basel III, Basel IV & Liquidity Frameworks

  • The Basel timeline
  • Managing daily ILG/LCR forecasts in a wholesale banking environment
  • Basel III ratios: LCR, NSFR & Leverage ratio
  • COREP reporting
  • ALMM reports design, purpose and issues since spring 2016
  • PRA/EBA cooperation so far

Speaker: Filip Charvat, financial risk model oversight manager, TSB

10:30

Morning break

11:00

Capital Management 

  • Status on bank valuations and outlook
  • Adequate pricing of credits: transfer pricing & RAROC
  • Data & analytics: 360 degrees view on client value
  • Using risk based pricing to set the right price on capital

Speaker: Laurent Balthazar, director integrated risk management, Belfius

12:30

Lunch

13:30

IBOR to Risk Free Rates

  • Necessary changes to fallback provisions
  • Possible impacts on internal and external treasury systems
  • Leveraging treasury analytics
  • Managing the ALM implications
  • Transition impact assessment for the balance sheet
  • Structural hedging to reduce interest rate shocks 

Speaker: Axel van Neederveen, managing director, treasurer, EBRD

15:00

Afternoon break

15:30

The Automation of Treasury & Capital Markets 

  • Drivers behind automation in treasury and capital markets 
  • Current landscape for treasury and capital markets 
  • Big data, machine learning and artificial intelligence 
  • Trends in technology investment 
  • Risks and opportunities 
  • Use cases for ML & AI in treasury and capital  

17:00

End of course