Course Agenda

Agenda

Course Agenda

08:3009:00

Registration and refreshments

08:30 - 09:00

09:0010:30

ICAAP and ILAAP integration

09:00 - 10:30

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

Managing director

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.

10:3010:45

Break

10:30 - 10:45

10:4512:00

Operating an efficient ALM model

10:45 - 12:00

  • Evolution of ALM
  • The role of asset liability committee
  • ALM function within the treasury
  • How the treasury supports your bank strategies
  • Defining, monitoring, and reporting risk appetite
Robert Paolino

Former CRO and Head of Risk for two of the largest Global Banks operating in Canada

Robert is an accomplished risk management professional with a solid 24 year career in risk management, banking & regulatory program management. His career spans executive leadership, relationship and financial management roles in the financial services industry.

He is a driven individual who has led, managed and overseen the implementation of risk and regulatory programs for two of the largest International Banks operating in Canada. Robert was most recently the Chief Risk Officer for the Canadian unit for one of the top 10 largest financial institutions in the world.
He has tremendous energy and passion for this industry and has continuously sought to build sustainable and pragmatic solutions for clients with whom he has worked.

He enjoys the complexity and challenge involved in what is essentially a fundamental business service (Banking).

 

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Managing interest rate risk

13:00 - 14:30

  • Using financial futures and options to hedge interest rate risk
  • Customized interest rate agreements
  • Securitization of ALM
  • Behaviour assumptions
  • Optimizing through behaviour model
  • Cumulative GAP model and duration GAP model

14:3014:45

Break

14:30 - 14:45

14:4516:15

Balance sheet management

14:45 - 16:15

  • Why banks need balance sheet resources
  • Constraints
  • Frequency of reallocation
  • Behaviour analysis
  • Capital considerations
  • Integrated balance sheet optimization
Svilen Petrov

MD, Enterprise Balance Sheet Risk

RBC

<p>Svilen has an MBA from the University of Western Ontario (Ivey).</p>
<p>He joined RBC in June 2015 as a Director, Liquidity Risk, responsible for liquidity and funding risk methodology and oversight.</p>
<p>In early 2016, Svilen assumed additional responsibilities as a Sr. Director of Enterprise Liquidity and Non-Trading Market Risk, focusing on building a global oversight function for all Treasury and Banking Book related liquidity and market risk exposures.<br /> <br />As MD of Balance Sheet Risk, Svilen is responsible for leading the effective challenge and oversight function to Corporate Treasury and other business lines in all areas of liquidity and non-trading market risk originated by the retail, wealth management, insurance, and capital markets activities of RBC and at the consolidated Bank level.</p>
<p>Svilen is responsible for ensuring enterprise-wide liquidity and IRRBB compliance, and provides guidance and analytical support to regional Corporate Treasury and GRM teams. In addition, he supports new business and project initiatives, and directs the development of an appropriate reporting and monitoring to control key non-trading market and liquidity risks.</p>
<p>Prior to joining RBC, Svilen has worked in FX and fixed income trading with SocGen, and in the Asset Liability Management and Treasury functions of TD Bank and Scotiabank.</p>

16:1523:59

End of Day 1

16:15 - 23:59

08:3009:00

Refreshments

08:30 - 09:00

09:0010:30

Funds transfer pricing

09:00 - 10:30

  • 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
Ancheng Luo

Manager

PwC

Ancheng is a Manager in financial services consulting practice at PwC Canada. He has over 8 years of experience in Treasury, ALM, and banking book risk management. He has been involved in high-profile consulting engagements as Subject Matter Expert on fund transfer pricing, ALM, capital management, and IRRBB for both domestic and international banking clients, and he also led projects that assist credit union and crown corporation clients to establish and enhance treasury and ALM functions including policy advisory, practice review and model development. Ancheng graduated from University of Waterloo with Master Degree in Quantitative Finance.

10:3010:45

Break

10:30 - 10:45

10:4512:00

ALM for capital markets

10:45 - 12:00

  • 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. 

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Liquidity risk frameworks

13:00 - 14:30

  • Improving liquidity
  • New modelling approaches
  • Assessing the character of the liquidity pool
  • Liquidity coverage ratio
  • Net stable funding ratio
  • Trapped liquidity / legal structure

14:3014:45

Break

14:30 - 14:45

14:4516:15

Ibor reform

14:45 - 16:15

  • Reassess ALM strategies
  • Evaluate model inventory
  • Handling the transition
    • Derivatives
    • Loans / deposits / securities
  • Alternative benchmarks
  • Risk free rates

16:1523:59

End of Course

16:15 - 23:59