ALM Agenda

ALM Agenda

ALM & Balance Sheet Optimisation

Day 1 - Tuesday 6 November

16.00-18.00

Check-In 

Please arrive from 4pm where you will be greeted by a member of the Risk Training team. There will be time to check into your room before joining your follow attendees for dinner and drinks.

18.00

Welcome Drinks

19.00

Networking Dinner and Keynote Speech:

Opening remarks delivered by Benjamin Cohen on the topic of 'Global Liquidity and Funding Liquidity'.

Benjamin Cohen
Benjamin Cohen

Head of Financial Markets

Bank for International Settlements (BIS)

Benjamin H Cohen is Head of Financial Markets at the Bank for International Settlements (BIS) in Basel, Switzerland. In this role he supervises a team of economists at the BIS and serves as editor of the BIS Quarterly Review. Previously he was Special Adviser for International Financial Stability Policy, responsible for coordinating the BIS role in the FSB and G20 processes. He has also held positions in the secretariat of the Financial Stability Board, the Independent Evaluation Office of the International Monetary Fund, the secretariat of the Committee on the Global Financial System and as a senior economist in the research function of the BIS. In these roles he has served as secretary for a number of working groups and task forces, including the Macroeconomic Assessment Group (a multi-national research project on the macroeconomic impact of the Basel III capital framework), the FSB’s Analytical Group on Vulnerabilities, and CGFS Working Groups on stress testing, market liquidity, financial market turbulence and derivatives market statistics. His research interests include the consequences of expected credit loss provisioning for bank lending; the impact of regulation on banks, financial markets and the economy; the structure and role of the shadow banking system; the study of volatility and liquidity in financial markets; and the causes and consequences of financial crises. He holds a PhD in Economics from the Massachusetts Institute of Technology and an AB in Social Studies from Harvard University.

Day 2 - Wednesday 7 November

Training course chaired by Chris De Stigter, Head of FTP Center, ALM, ABN Amro

08:30

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
  • The impact of banking laws on ALM

Speaker: Chris De Stigter, Head of FTP Center, ALM, ABN Amro 

10:30

Morning Break

11:00

Managing the balance sheet 

  • Allocating the balance sheet 
  • Behaviour assumptions
  • Cash flow predictions and back testing 
  • Optimisation of regulatory buffers and contingency tools
  • Two way link to capital allocation process and funding strategy 
  • Capital structure optimisation 
  • Potential impact of TRIM reviews on balance sheet management  

Speaker: Alper Özün,  Head of Asset-Liability and Capital Management Operations for EMEA, HSBC

12:30

Lunch

13:30

Funds transfer pricing  

  • How FTP affects a banks liquidity reporting 
  • Building your internal funding framework  
  • FTP as a profitability management tool
  • Budgeting / forecasting / profitability 
  • Governance / accountability requirements 
  • Break funding charges, clarifying risk ownership 
  • FTP aligning under NSFR 

Speaker: James Leeming, Head of ALM, Treasury, Nationwide Building Society

15:00

Afternoon Break

15:30

Capital management  

  • Measures of bank capital
    • Balance sheet structure
    • RWAs
    • Capital stack
  • Capital management in practice
  • How do banks optimise returns
    • Cost of capital
    • Capital allocation

Speaker: Bruce Aitken, Senior Technical Specialist, Bank of England

17:00

End of Day Two

Day 3 - Thursday 8 November

Training course chaired by Chris De Stigter, Head of FTP Center, ALM, ABN Amro

08:30

Refreshments

09:00

Choice of attending one of the following sessions on the IRRBB training course:

Current and future issues in IRRBB governance 

  • Evaluating and setting up your IRRBB governance 
  • Governance of changing and operating the IRRBB setup
  • Management of assumptions and internal validation 
  • IRRBB risk appetite and capital 

Michael Eichhorn, Global Treasury CRO, Credit Suisse

OR 

Key Success Factors for an Effective IRRBB Measurement Solution

  • Adopting a trading book mentality and rigour to banking book world Data consistency across both EaR & EVE
  • Front to back alignment from Corporate Planning to Financial Modelling & Reporting
  • Adherence to BCBS 239 standards for completeness, accuracy and timeliness
  • Challenges for global organisations to meet regional needs

Noel O'Mahony, Programme Director, Risk Change, Deutsche Bank

10:30

Morning Break

11:00

Strategic ALM, integrating 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 Group

12:30

Lunch

13:30

Panel discussion: Behavioural modelling and IRR

This session will bring together participants from both streams of the course to discuss some of the most pressing issues surrounding behavioural modelling

  • Behavioural modelling assumptions
  • Current low/negative EUR rates and consequences
  • Approaches to modelling deposits
  • Economic metrics
  • Data requirements and sophisticated required
  • Business model impact of the IRRBB regulations
  • Managing IRRBB in practice

Panellists:

John Bowyer, Head of Group ALM, Lloyds Banking Group

Roland Klimesch, Head of Group Liquidity and Market Risk Management, Erste Group Bank AG

Samantha Halstead, Senior Manager, Financial Model Risk Oversight, TSB

Moderator: Thomas Steiner FRM, Partner, BearingPoint

15:00

End of Course