Agenda

Agenda

Course Agenda

Agenda timing is in BST
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Session one - 2pm BST/ 9am EDT
Session two - 3.15pm BST/ 10.15am EDT
End - 4.15pm BST/ 11.15am EDT
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Day One: Monday, May 18, 2020

14:0015:00

ICAAP implementation and ILAAP integration

14:00 - 15:00

  • ICAAP/ILAAP regulatory expectations

  • Industry practice

  • Implementation challenges

  • Generating returns on your investment

Steve Hageman

Liquidity Risk Officer

Societe Generale

Steve Hageman was a Managing Director for US Liquidity Risk Management at Societe Generale, creating the Second Line Risk function for liquidity and structural risk.

Prior to that, he helped create the US Liquidity Risk Management First Line of Defense for HSBC Bank USA, and headed their US Asset Liability Management Team for their US Holding Company, including both Liquidity and Interest Rate Risk in the Banking Book. At both institutions, he created the initial Risk Appetite Limits and Reporting for Liquidity and Interest Rate Risk.

Earlier in his career, Steve worked in Transaction Banking for ABN AMRO doing market research and for HSBC Bank USA in a variety of finance roles.

15:0015:15

Break

15:00 - 15:15

15:1516:15

Managing interest rate risk

15:15 - 16:15

  • Using financial futures and options to hedge interest rate risk

  • Customized interest rate agreements

  • Securitization of ALM

  • Behavior assumptions

  • Optimization through behaviour model

  • Cumulative GAP model and duration GAP model

Steve Hageman

Liquidity Risk Officer

Societe Generale

Steve Hageman was a Managing Director for US Liquidity Risk Management at Societe Generale, creating the Second Line Risk function for liquidity and structural risk.

Prior to that, he helped create the US Liquidity Risk Management First Line of Defense for HSBC Bank USA, and headed their US Asset Liability Management Team for their US Holding Company, including both Liquidity and Interest Rate Risk in the Banking Book. At both institutions, he created the initial Risk Appetite Limits and Reporting for Liquidity and Interest Rate Risk.

Earlier in his career, Steve worked in Transaction Banking for ABN AMRO doing market research and for HSBC Bank USA in a variety of finance roles.

16:1516:15

End of day one

16:15 - 16:16

Day Two: Tuesday, May 19, 2020

14:0015:00

Operating an efficient ALM model

14:00 - 15:00

  • Evolution of ALM

  • The role of assert liability committee

  • ALM function within the treasury

  • How the treasury supports your bank strategies

  • Defining, monitoring, and reporting risk appetite

Navin Rauniar

Independent adviser

PRMIA

Navin is an independent risk director with over 16 years’ experience in advising the sell side on front to back risk and regulatory matters. Navin also specialises in the delivery of Risk Methodologies, Models & Governance for Tier One and Tier Two investment banks; whilst spearheading the analysis for IBOR Transition, FRTB, IRRBB, Basel IV, CRR 2 and CRD V offerings. He most recently worked as a Senior Manager at a leading global advisory firm where he led the analysis of the impact of the LIBOR Transition on financial institutions. 

Prior to this, Navin spent 15 years in the industry working in global run-the-bank and change-the-bank roles for Credit Suisse, RBS, Commerzbank and JP Morgan across Front Office, CRO and Operations. Navin is a member of the Professional Risk Managers Association and sits on the London Chapter Steering Committee. Navin supports the CRO community via mentoring of risk professionals and the organisation of risk, regulatory & leadership events. 

15:0015:15

Break

15:00 - 15:15

15:1516:15

Balance sheet management

15:15 - 16:15

  • Why banks need balance sheet resources

  • Constraints

  • Frequency of reallocation

  • Behaviour analysis

  • Capital considerations 

  • Integrated balance sheet optimization

  • Asset liability management strategy's response to COVID-19

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. 
 

16:1516:15

End of day two

16:15 - 16:16

Day Three: Wednesday, May 20, 2020

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

  • Regulatory cost attribution

  • 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

ALM for capital markets

15:15 - 16:15

  • Capital management

  • Liquidity and funding

    • LCR, NSFR, NCCF for capital market products

    • FTP for capital market products

    • Collateral management

  • Business model optimization

    • Centralized funding units

    • XVA desks

    • Financial resource management 

Hovik Tumasyan

Founder and president

FinRisk Solutions

Hovik Tumasyan is the Founder and President of FinRisk Solutions. With over 20 years of combined banking and advisory services he has advised financial institutions in North America, EU and Asia that range from investment and commercial banks to government owned and multilateral banks. Hovik assists financial institutions in design and implementation of capital and liquidity management frameworks and implementation of post-crisis changes for Capital Markets businesses.

Hovik holds a PhD degree in Physics from University of Miami and a degree in Mathematical Finance from University of Oxford. 

16:1516:15

End of day three

16:15 - 16:16

Day Four: Thursday, May 21, 2020

14:0015:00

Liquidity risk frameworks

14:00 - 15:00

  • Improving liquidity 

  • New modelling approaches 

  • Assessing the character of the liquidity pool

  • Liquidity coverage ratio

  • Net stable funding ratio

  • Trapped liquidity / legal structure

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

  • Reassess ALM strategies

  • Evaluate model inventory

  • Handling the transition

    • Derivatives

    • Loans / deposits / securities

  • Alternative benchmarks

  • Risk free rates

Hovik Tumasyan

Founder and president

FinRisk Solutions

Hovik Tumasyan is the Founder and President of FinRisk Solutions. With over 20 years of combined banking and advisory services he has advised financial institutions in North America, EU and Asia that range from investment and commercial banks to government owned and multilateral banks. Hovik assists financial institutions in design and implementation of capital and liquidity management frameworks and implementation of post-crisis changes for Capital Markets businesses.

Hovik holds a PhD degree in Physics from University of Miami and a degree in Mathematical Finance from University of Oxford. 

16:1516:15

End of course

16:15 - 16:16