Agenda

Agenda

Effective ALM - Agenda

 

 

Day one - Wednesday 13 November 2019

08:30

Registration and refreshments

09:00

The evolution of ALM and the ALCO process

  • The role of the asset-liability committee and the ALM function within treasury
  • How the treasury supports your bank strategies
  • Operating an efficient ALM model: managing model risk
  • The impact of banking laws on ALM
  • Examining the key challenges of the modern ALM risk manager
  • How can the wider business support ALM?

Speaker: Tobias Strauch, consultant, Boston Consulting Group (BCG)
 

10:30

Morning break

10:45

Managing and optimising the balance sheet

  • Addressing the 3D balance sheet optimisation problem; meeting the competing needs of regulators, customers and shareholders
  • Removing silos
  • Top down approach; recommended risk appetite statement and strong public disclosures
  • Liquid vs illiquid assets
  • Breakdown of liabilities; retail deposits, wholesale funding & capital

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

12:00

Lunch

1:00

Basel III, basel IV & liquidity frameworks

  • The Basel timeline
  • Understanding and embedding liquidity risk appetites
  • ILAAP
  • Basel III ratios: LCR, NSFR & Leverage ratio
  • Basel IV: impact analysis
  • Good practice for dealing with the new regulatory framework

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

2:30

Afternoon break

3:00

IRRBB

  • Introductory remarks, what is IRRBB and where are we at with it?
  • 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
  • Data quality considerations
  • Modelling IRRBB

Speaker: James Linehan, assistant treasurer & head of asset and liability management, Permanent TSB Bank

4:30

End of course

 

Day two - Thursday 14 November 2019

08:30

Refreshments

09:00

Stress testing liquidity and the balance sheet

  • Defining stress scenarios
  • How are liquidity risk, credit risk and interest rate risk effected?
  • Sources and drivers of liquidity risk 
  • Steering the balance sheet (via funds transfer pricing) 

Speaker: Johan Von Solms, head of funding strategy & pricing, Barclays

10:30

Morning break

10:45

Funds transfer pricing

  • What is FTP and what are the benefits
  • Full costs and benefits of funding
  • Thinking about the mismatch centre
  • 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: John Leonard, independent consultant and ex-treasurer, Scotiabank

12:00

Lunch

1:00

Challenges for the treasury risk framework 

  • Robust risk governance under regulatory change 
  • Business architecture
  • System architecture and transformation 
  • Reconciliation 
  • Data quality and data lineage 

Speaker: Daniel Almehed, senior business advisor, BearingPoint

2:30

Afternoon break

3:00

Mild reverse stress testing 

  • Reverse stress testing and how it is relevant to you 
  • Dimensions of traditional reverse stress testing 
  • How to perform reverse stress testing 
  • Is the use of RST limited to high impact outcomes? 
  • Mild reverse stress testing - a new, innovative and complementary approach 

Speaker: Meha Lodha, vice president in the chief risk office (global treasury & liquidity risk governance), Credit Suisse

4:30

End of course