ALM and Balance Sheet Optimisation Toronto
Come and learn how to optimise your balance sheet and implement and improve ALM strategies whilst focusing on the changing regulatory environment. Sessions will include insight on FTP and liquidity reporting, behavioural modelling and interest rate risk, capital management, Basel III/Basel IV and machine learning in balance sheet management.
Following the success of courses in Europe and New York, Risk Training are bringing an ALM training to Toronto. This course will help attendees understand the three main challenges within ALM; liquidity, interest rate risk and capital along with a focus on managing, integrating and optimizing your balance sheets. Come and learn how to optimise your balance sheet and implement and improve ALM strategies whilst focusing on the changing regulatory environment. Sessions will include insight on FTP and liquidity reporting, behavioural modelling and interest rate risk, capital management, Basel III/Basel IV and machine learning in balance sheet management.
What Will You Learn
- Knowledge of the ALM regulatory environment
- How to create and maintain an effective ALM strategy
- How to integrate strategic ALM and optimise the balance sheet
- How IRR metrics and scenarios impact on behavioural modelling and interest rate risk
- How to model balance sheet risk to optimise balance sheet management
- FTP concepts and how they affect liquidity reporting
- Application of machine learning and big data to balance sheet management
Who Should Attend
Relevant departments may include but are not limited to:
- Balance sheet management
- Interest rate risk
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.
Dr Alex Shipilov has over 25 years of experience gained inside the financial services industry. Alex held executive positions with banking, insurance and accounting firms where he led risk management and internal audit functions, and quantitative risk advisory practices. He consulted financial institutions and corporate treasuries in Canada, the U.S., the U.K., Spain and Russia in their dealing with ALM, enterprise wide risk management and compliance challenges, financial models, risk measurement, simulation, and derivatives valuation issues. Alex co-founded the Professional Risk Managers’ International Association (PRMIA.ORG), sat on the Board of Directors, strategized PRMIA development and its global chapter network, leading the treasury and finance functions. He teaches Risk Management at the Masters of Financial Insurance program of University of Toronto.
Founder and President
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.
Managing Director, Asset Liability Management (ALM)
Randy Ahluwalia heads the ALM – Interest Rate Risk function at BNY Mellon with the global mandate for banking book interest rate risk management, financial planning & analysis (net interest income), funds transfer pricing, capital adequacy stress testing (balance sheet projections), return-on-capital framework, liquidity risk reporting, and ALM model development.
Randy joined BNY Mellon in 2011 and has over 17 years of experience in balance sheet optimization at financial institutions including American Express Financial Advisors and SunTrust Bank. He holds a MBA and Diploma in Financial Engineering from the Schulich School of Business, York University, Canada, and a Bachelor of Engineering in Electronics from Pune University, India.
David Green Advisors
Dr. Green’s expertise in risk and profitability management derives from lessons learned in a 20-plus-year career spanning banking, bank regulation, consulting and software development. Prior to consulting with firms around the globe for the last decade, he served as the Treasurer at BankUnited, the largest bank headquartered in Florida, where he was responsible for ALM, FTP, the investment portfolio, funding and derivatives, as well as secondary marketing. Prior to this, he was the ALM Manager at SunTrust Bank in Atlanta; there he built and managed all the static and stochastic interest rate risk models for the bank and worked to align a number of business functions including budgeting/forecasting, funds transfer pricing and strategic balance sheet management. At SunTrust, he developed the first of many behavioral models for non-maturity deposits.
Dr. Green is a former Chairman of the Georgia Bankers Association’s A/L Management Committee. He served as a Bank Examiner at the Federal Reserve Bank of Atlanta, where he also spent two years in Research while completing his PhD. He was also Chairman of SunGard/Bancware’s US Client Advisory Council for many years.
Dr. Green holds a PhD in Economics from Georgia State University, a BS in Applied Mathematics from Georgia Tech and is a CFA charter holder. He is a frequent speaker at banking and risk management conferences.
Dr. Green has created and delivered an extensive array of live content on risk and profitability management, including over 100 multi-day lectures around the globe on ALM, FTP and Deposit Modeling.