risk-asean-alm

8-9 May 2018, Kuala Lumpur, Malaysia

DAY 1 | DAY 2

DAY ONE -- 8 May 2018

08:30

Registration

09:00

Organising your ALM and the role of the individual

  • The evolution of ALM
  • Driving beyond regulatory compliance
  • Role of the Treasurers and CFOsWhat is your bank's strategy? How does the regulator support this?
  • ALCO reporting
  • Operating an efficient ALM model
    • Managing Model Risk

Nicholas Wood, Managing Director, FinTorque / Former Financial Sector Consultant, IMF

10:30

Morning Coffee Break

11:00

Balance sheet management

  • Capital optimisation 
    • Capital efficiency
    • How to identify capital optimisation opportunities in the balance sheet 
  • Tools to optimise your balance sheet 
  • What drives the capital balance sheet growth? 
  • Balance sheet optimisation under Basel III 

Nicholas Wood, Managing Director, FinTorque / Former Financial Sector Consultant, IMF

12:30

Lunch

13:30

Liquidity framework

  • Permissible funding resources
  • Concentration limits 
  • Contingency funding plan
    • Alternative funding 
  • Align global regulatory reporting requirements with:
    • Internal monitoring 
    • Reporting framework

15:00

Afternoon break

15:30

Net stable funding ratio framework and business implications

  • NSFR 
    • Available Stable Funding (ASF)
    • Required Stable Funding (RSF) 
  • Secured funding vs. unsecured funding
  • Derivatives
  • Retail/ small business deposits
  • Wholesale deposits
  • Business implications

17:00

End of Day 1

DAY 1 | DAY 2

DAY TWO - 9 May 2018

08:30

Registration

09:00

Balance sheet optimisation

  • Balance sheet planning
  • Management of funding costs
  • Generating results on balance sheet position
  • Having the right balance sheet mix
    • Product Mix
    • Business Mix

Nicholas Wood, Managing Director, FinTorque / Former Financial Sector Consultant, IMF

10:30

Morning Coffee Break

11:00

Fund Transfer Pricing (FTP)

  • How FTP affect a bank's liquidity reporting
  • Contingent liquidity premium
    • Potential liquidity shocks 
  • Stress test liquidity position
  • Optimisation of internal funding 
  • Cross-border funding 
    • Shortage of local currency funding 
    • Fungibility of funding across borders

Nicholas Wood, Managing Director, FinTorque / Former Financial Sector Consultant, IMF

12:30

Lunch

13:30

Capital management

  • Risk Weighted Assets (RWA) calculations
    • Market risk requirements 
    • Credit value adjustments (CVA)
    • Counterparty Credit Risk 
  • What is the cost of capital?
  • Return on Equity
  • Capital Pricing
  • Active Capital Management

14:30

Regulatory and internal liquidity risk measure optimisation

  • LCR optimisation
    • Operational deposit
    • Stable retail deposit
    • HQLAs selection
  • Setting internal stress assumptions
    • Determine asset liquidity under GFC type of scenario
  • Intraday stress assumption

15:30

Afternoon coffee break

16:00

Interest rate risk in the banking book (IRBBB)

  • Introduction to Basel IRRBB
    • Net Interest Income (NII) analysis
    • Measures of economic value and capital of IRRBB
  • How to measure stable non-maturing deposits
  • Risk free or non-risk free discount curves

17:00

End of Workshop