Non-Maturity Deposit Modeling
Reconciling the quantitative modeling problem with the intrinsic problems of risk and profitability management
9-10 Jul 2018
- Why You Should Attend
Non-Maturity Deposit Modeling
To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop style set
How will you benefit?
For most depository institutions, one of the biggest challenges of risk and profitability management revolves around the treatment of non-maturity deposits (NMDs).† Numerous internal models of risk and performance measurement require that the organization establish an explicit view on NMD behaviors.† The challenge derives from the fact that principal and interest cash-flows on most NMD products are not governed by contracts or rules, but rather must be assumed. This is usually done through some type of historical time-series analysis. While this historical analysis is a useful starting point for assumption setting, it is insufficient for risk management purposes because it fails to consider the impact of such things as the depositoryís unique growth plans, internal governance processes, changes in laws and technology as well as the economic environment in which the firm operates. All of these things can result in potentially material differences in actual deposit behaviors relative to historical experience. When organizations ignore these factors and assume that NMDs are intrinsically valuable, they are prone to generate risk and profitability measures which are incorrect and misleading. As NMDs are generally the primary funding source for most depository institutions, any errors in behavioral assumptions will have a material impact on all downstream risk and balance sheet modeling processes.
This course will describe the fundamental challenges of risk and profitability management and illustrate the role NMD behaviors play in the measurement and management of risk and profitability. The course will also describe the functional alignments and governance processes which are necessary for effective risk and balance sheet management to occur.† A comprehensive NMD modeling solution, complete with an embedded FTP engine, will be presented.
About your expert trainer:
David Green, PhD, CFA is the founder of david green advisors, a boutique consultancy specializing in risk and profitability management for depository institutions around the globe. Dr. Green draws on lessons learned in a 20+ year career spanning banking, bank regulation, consulting and software development to bear on a broad range of risk and profitability management challenges. †Prior to consulting, he served as the Treasurer at BankUnited, the largest bank headquartered in Florida, where he was responsible for the investment portfolio, funding and derivatives, secondary marketing, FTP and ALM. Prior to BankUnited, he was the A/L Manager at SunTrust Bank where he built and managed all of 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, all while market interest rates were increasingly significantly from 2004-6.
Dr. Green is a former Chairman of the Georgia Bankers Association's A/L Management Committee. He also served as a Bank Examiner at the Federal Reserve Bank of Atlanta, where he also spent two years in research while completing his Ph.D.He was also Chairman of SunGard/Bancware's US Client Advisory Council for many years.
Dr. Green holds a Ph.D. 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 and and workshops and has delivered over 100 multi-day lectures around the globe on risk and profitability management in the last several years.
A detailed questionnaire will be sent to all course participants to establish exactly where the group training needs lie. The completed forms will be analysed by the course leader/trainer and followed by telephone if further clarification is required. As a result we can guarantee that the course is pitched at exactly the right level and that the issues that you regard as relevant are addressed. The course material will reflect these issues and will enable you to digest the subject matter after the event in your own time.
Who should attend?
This course is intended to benefit all members of a depository institutionís ALM committee, ALM managers and analysts, FTP managers and analysts, budgeting/forecasting managers and analysts, marketing directors, product profitability managers and product and strategic balance sheet managers.
- Key Topics
- Appreciate how poor NMD modelling approaches potentially distorts the estimation of IRR, LR and profit allocation calculations leaving banks ill-prepared for changes in market interest rates and the price of liquidity
- Learn how poorly-constructed FTP rates on NMDs create performance incentives which may be good for the deposit gatherer but harmful to the bank
- See a detailed demonstration of a comprehensive NMD model which simultaneously addresses the modelling requirements of IRR, LR and profitability management. This is accomplished through a built-in FTP engine which communicates clearly the value proposition associated with NMDs
- Understand how to address and resolve the challenges of NMD modelling at the analyst, ALM manager and ALCO-member level
- Review practical examples and experiences which highlight the need for comprehensive and well-considered NMD modelling practices; many of the examples highlight weakness with many current modelling approaches
- Why Choose GFMI marcus evans?
marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.
Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.
- Voice of Our Customers
- Latest Conference News & Resources
- “The course is amazing, it is interactive, it is educational, i enjoyed it so much!” TD Bank
- “Excellent, not what i expected but better, put the model in perspective” Barclays
- “Very informative and educational, caters for all levels” Wells Fargo
- “The course is informative, educational and insightful, i enjoyed it very much” Federal Reserve Bank of Chicago
- “An in-depth, interactive and free-flowing review of deposit modelling, with strong opinions offered” City National Bank
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- Event Contact
For all enquiries regarding speaking, sponsoring and attending this conference contact:
Ignacio Ramirez #20, 5th floor
Telephone: +52 55 4170 5555 ext. 2424
Fax: +52 55 2282 5600