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
3-4 Oct 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
How will you benefit?
The trainer 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.
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.
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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Telephone: 0044 203 002 3172