Asset & Liability Management: Moving Beyond the Model
A Comprehensive Perspective on the Measurement and Management of Interest Rate Risk, Liquidity Risk, Funds Transfer Pricing and the ALCO Process
14-15 Jun 2018
London, United Kingdom
- Why You Should Attend
Asset & Liability Management: Moving Beyond the Model
To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop style set
To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop style set up for the delivery of our courses. Please note we have therefore limited number of spaces available and these will be assigned on a first come, first accepted basis. We recommend early booking to avoid disappointment.
“Central bank interest rate policies have lulled banks and their regulators into a false sense of complacency. Interest Rate Risk and Liquidity Risk are ever present”
How will you benefit?
David Green has delivered lectures and workshops to audiences worldwide on a variety of risk and balance sheet management topics. In this newest course he returns his focus to the fundamentals of building, operating and managing ALM models. As banks struggle to manage through the low-/zero-/negative-rate environment that has characterized much of the last decade, the need to understand Interest Rate Risk (“IRR”) and Liquidity Risk (“LR”) is greater than ever. Central bank policies in many countries have lulled banks and their regulators into a sense of complacency. While it may seem like rates never change, it is important to recognize that IRR and LR are ever present, likely generating a greater share of earnings than they have in the past.
Looking back over a 20 year career spanning several business cycles, David has compiled an exciting discussion around the challenges of preparing for an inevitable change in interest rates. Whether that is down below zero or up several hundred basis points to levels not seen in over 10 years, the point of an effective Asset/Liability Management (“ALM”) process is to have management prepared for any such change. The discussion begins with an explanation of the sources of IRR and LR and techniques for quantifying the level of exposure to these risks. David then explains the important role of Funds Transfer Pricing (“FTP”) in risk and profitability management. He demonstrates why the effective management of IRR and LR is not possible without FTP. While regulators have taken a recent interest in the subject, in part because of new requirements around the management of LR, David explains why their expectations will necessarily expand to the need for full accountability for mismatch center performance. Without this accountability, an important sources of earnings and earnings volatility is not attributed to any managed business unit.
The course also addresses data, model design and implementation and important governance considerations around model operation and model validation. There is also extensive discussion on the use of ALM models in other aspects of risk and balance sheet management, including budgeting/forecasting, strategic balance sheet management, mergers and acquisitions and balance sheet stress testing.
About your expert trainer:
David Green is the financial services practice lead at The Exequor Group. Dr. Green brings lessons learned in a 20 year career spanning banking, bank regulation, consulting and software development to bear on a broad range of risk and balance sheet management challenges. 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 this 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 coordinate a number of business functions including budgeting/forecasting, funds transfer pricing and strategic balance sheet management.
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 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.
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 institution’s ALM committee, ALM analysts, FTP managers, Liquidity managers, Budgeting/Forecasting managers, Marketing directors and Product Profitability managers.
- Key Topics
- Appreciate why effective management of IRR and LR is not possible without FTP
- Recognize that IRR and LR are ever-present, and are likely generating a greater share of revenue than in the past
- See how the point of effective Asset and Liability Management is to prepare management for changes in interest rates
- Understand how regulatory expectations of Liquidity Risk will inevitably expand to the need for full accountability for mismatch center performance
- Discuss the use of ALM models in other aspects of risk and balance sheet management
- 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.
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- Event Contact
For all enquiries regarding speaking, sponsoring and attending this conference contact:
101 Finsbury Pavement
London EC2A 1RS
Telephone: +44 (0) 20 3002 3400
Fax: +44 (0) 20 3002 3016