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Agenda
Agenda
Stress Testing: Liquidity Risk | Agenda
09:00 – 09:30
Registration & Refreshments
09:30 – 11:00
Liquidity Stress Testing: a view of the regulatory approach and how it impacts the region
- Liquidity risk main concepts and sources
- Introduction to understanding the expectations of the regulators
- Examining the new regulations beyond the Global Crisis and its impact in Asia
- Overview of the differences in regulatory approaches in Europe v Asia
Gemini is a Director in Financial Risk Management team of KPMG Hong Kong. She has 14 years of experience at quantitative analysis and modelling development. She is specialized in financial risk management, focusing on the New Basel Accord implementation and compliance, such as Internal Capital Adequacy Assessment Process (ICAAP), Assets and Liability Management (ALM), G-SIFIs, Stress Testing, Risk Management and Measurement, Capital Management, etc. She possesses master skills of statistical and modelling software: SAS, Matlab, Mathematica, etc. and has profound knowledge of business and related IT systems in banking industry. Gemini holds a Bachelor degree of Mathematics and Applied Mathematics.
She has managed several engagements regarding Risk Management, Capital Management, and Internal Capital Adequacy and Assessment Process (ICAAP, including Economic Capital model) for both large global banks (APAC regional team) and large HK local banks. Services provided include Risk Appetite, Risk Governance and Strategy, Risk Assessment, Stress Testing, Capital Planning, Capital Allocation, Internal Capital Target Setting, Assets and Liabilities Management, etc. Recently, Gemini has been assisting several Hong Kong banks on compliance and implementation of their HKMA SPM CR-G-13 and Banking (Exposure Limits) Rules (BELR).
11:00 – 11:30
Morning break
11:30 – 13:00
Deep Dive into Regulatory Liquidity Stress Testing Requirements
- Regulatory authorities stress-testing methods and models explained
- Understanding Liquidity Coverage Ratio (LCR) and calculations
- In-depth examining Net Stable Funding Ratio (NSFR) for banks and NSFR calculations examples
- The implications of LCR and NSFR- funds transfer pricing, funding mix, liquid assets buffer management and business model choices
Vishal Kapoor has 23 years’ experience in strategic planning, risk management, and capital planning advisory. He is currently heading the audit teams for Risk and Finance in DBS at the Group level. He has spent time in auditing, banking and consulting. His projects include reviewing ICAAP/ liquidity risk for 3 consecutive years for a major Singapore-based bank, and reporting the results to the board and the regulator. He addressed stress testing issues at an enterprise-wide level, set risk governance for banks in China and Singapore, conducted programme reviews for Basel II and provided over 700 hours ICAAP/ Basel III/ liquidity training to senior management and the board of various banks. Previously, he held key positions with JP Morgan, Standard Chartered, Deutsche Bank, and Credit Suisse. He holds an MBA from Chicago Booth School of Business and is a Chartered Accountant.
13:00 – 14:00
Lunch
14:00 – 15:30
Building a Practical Stress Testing Framework- Governance and Data
- Establishing a strong stress testing framework and understanding the principles that underpin the approach
- Implementing and optimising the stress testing processes
- Key components of an effective stress testing programme
- Case studies
Vishal Kapoor has 23 years’ experience in strategic planning, risk management, and capital planning advisory. He is currently heading the audit teams for Risk and Finance in DBS at the Group level. He has spent time in auditing, banking and consulting. His projects include reviewing ICAAP/ liquidity risk for 3 consecutive years for a major Singapore-based bank, and reporting the results to the board and the regulator. He addressed stress testing issues at an enterprise-wide level, set risk governance for banks in China and Singapore, conducted programme reviews for Basel II and provided over 700 hours ICAAP/ Basel III/ liquidity training to senior management and the board of various banks. Previously, he held key positions with JP Morgan, Standard Chartered, Deutsche Bank, and Credit Suisse. He holds an MBA from Chicago Booth School of Business and is a Chartered Accountant.
15:30 – 16:00
Afternoon break
16:00 – 17:30
Understanding the Interest Rate Risk in the Banking Book (IRRBB) Framework
- IRRBB introduction
- Regulatory requirements
Vishal Kapoor has 23 years’ experience in strategic planning, risk management, and capital planning advisory. He is currently heading the audit teams for Risk and Finance in DBS at the Group level. He has spent time in auditing, banking and consulting. His projects include reviewing ICAAP/ liquidity risk for 3 consecutive years for a major Singapore-based bank, and reporting the results to the board and the regulator. He addressed stress testing issues at an enterprise-wide level, set risk governance for banks in China and Singapore, conducted programme reviews for Basel II and provided over 700 hours ICAAP/ Basel III/ liquidity training to senior management and the board of various banks. Previously, he held key positions with JP Morgan, Standard Chartered, Deutsche Bank, and Credit Suisse. He holds an MBA from Chicago Booth School of Business and is a Chartered Accountant.
17:30 – 17:30
End of Day 1
09:00 – 09:30
Registration & Refreshments
09:30 – 11:00
Embedding Stress Testing and Liquidity Risk into Your Organisation
- Understanding Liquidity Risk
- Metrics needed to manage Liquidity Risk
- Understanding roles and responsibilities
- Introduction to Stress Testing
Nabil is a Treasury and ALM professional with over 18 years of experience in the field. Since starting his career as a Money Market Dealer in Bangladesh, he has worked in different locations in the capacity of running ALM function, managing Liquidity Risk, FTP, Sales, Foreign Exchange, Projects and most recently Global Liquidity based in Singapore.
In this current role, Nabil ensures the Group’s Balance Sheet is managed efficiently, productively and in line with Board and Regulatory requirements.
11:00 – 11:30
Morning break
11:30 – 13:00
Implementation for Contingency Planning and Funding
- Stress scenarios
- Planning for the stress scenarios
- Creating the Contingency Funding Plan
- Testing the plan
Nabil is a Treasury and ALM professional with over 18 years of experience in the field. Since starting his career as a Money Market Dealer in Bangladesh, he has worked in different locations in the capacity of running ALM function, managing Liquidity Risk, FTP, Sales, Foreign Exchange, Projects and most recently Global Liquidity based in Singapore.
In this current role, Nabil ensures the Group’s Balance Sheet is managed efficiently, productively and in line with Board and Regulatory requirements.
13:00 – 14:00
Lunch
14:00 – 15:30
Deep Dive into Stress-Testing Scenario Development
- Liquidity stress events – real life examples
- Lessons to be learned
- Develop stress scenarios
- Test of the scenarios
Bram van den Bergh is Head of Asset and Liability Management for Asia Pacific at Natixis and is based in Hong Kong and joined Natixis in 2017. Bram has over a decade of experience in Treasury and Asset and Liability Management and has an international background having worked in Amsterdam, London and Hong Kong at 4 global financial institutions (ABN AMRO, Royal Bank of Scotland, Barclays and now Natixis). Bram has a strong background in FX, Interest Rate Risk hedging and Liquidity & Capital Management. Bram also has experience in managing bank balance sheets in Europe and Asia ensuring regulatory compliance and sound, robust and efficient risk management practices. Additionally, Bram has extensive experience in Strategic Restructuring Programmes. Bram has a Master of Science in Economics & Finance degree from Tilburg University in the Netherlands
15:30 – 16:00
Afternoon break
16:00 – 17:30
Liquidity and Stress Testing Practical Application. Balance Sheet Optimisation
- Liquidity risk pricing and funds transfer pricing. Examples of FTP calculation and implementation
- Liquidity/credit facilities, derivatives collateral posting
- Case studies to demonstrate the practical application of liquidity and stress testing processes for financial organisations
- Balance sheet management and optimization techniques
Connie has over 10 years’ experience providing advisory services. She started her career at a global bank’s treasury department and focused on asset liability management including behavioural modelling, interest rate management, liquidity risk management, FTP. She worked for KPMG US for 8 years before she moved to Hong Kong, covering a broad range of areas including quantitative modelling, derivative valuation, stress testing, regulatory reporting and data governance. After joining KPMG Hong Kong, she has been leading projects including IRRBB, Liquidity Risk, ICAAP and capital management. Specific projects related to market risk and trading book activities include:
- Assisted banks to revamp the liquidity risk framework and behavioral models for LM-2 and FTP purposes
- Assisted banks to develop behavioral models to implement IRRBBB framework
- Assisted medium size banks enhance the FTP framework and asset liability management framework for balance sheet optimization
- Supported global banks on model governance, model validation and model lineage for behavioral models
- Conducted independent reviews on banks’ LCR reporting, liquidity risk stress testing and cash flow projections
17:30 – 17:30