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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Balance Sheet Optimisation under Basel III

Analyse case studies demonstrating some of the measures employed by banks to better manage and optimise their balance sheet

2-3 Jul 2020
Online, South Africa


Why You Should Attend

Balance Sheet Optimisation under Basel III

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 workshop’s objective is to provide delegates with a comprehensive understanding of the impact of Basel lll on bank balance sheets and to analyse in case studies some of the measures being employed by banks to better manage and optimise their balance sheets. The workshop will discuss an optimisation model developed in Europe for improving bank return on equity (ROE) under the tougher bank capital, liquidity ratio, and leverage constraints being phased into banking regulatory requirements under Basel lll.

The workshop will also cover developments in bank funds transfer pricing (FTP) that are related to Basel lll, including the important area of liquidity pricing and cost allocation in the FTP process and the forthcoming impact of bringing interest rate risk in the banking book(IRRBB) into the Basel Pillar 1 capital requirements. The course also draws on the use of optimisation modelling for several banking book areas, including estimating behaviour of non-maturing deposits (NMDs), balancing the IRRBB EVE / ΔNII exposure for outlier testing and reporting, and building an optimal interest rate re-pricing gap exposure hedging portfolio in balance shee currencies in which swaps are available.

About your expert trainer:

Douglas Bongartz-Renaud – FRM is owner and Director of Markets & Risk Solutions Pte Ltd, a banking consulting and training firm based in Singapore. Recent assignments have included Basel lll training for HSBC and other banks and a seven month project for the IFC (World Bank Group) as treasury and risk advisor at a large Asian bank. In addition he provided ALM  design and implementation assistance at a bank in East Africa under an IFC sponsored assistance program.

Douglas also provides consulting assistance to an Islamic bank in SE Asia and to a number of banks in Indonesia as a part time SME for KPMG. In addition he has done a number of training and ALM related consulting projects in East Africa (Burundi, Kenya, Tanzania)

Douglas has 35 years experience in banking in the areas of financial products, risk management, and ALM, including 26 years with ABN AMRO where he had a number of senior roles, including heading the global FX Derivatives, Interest Rate Derivatives, Structured Products businesses and as head of the Bank’s Treasury, Risk and Advisory.

Pre-course questionnaire:

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 bank ALCO management, ALCO members and risk management & finance department professionals

· Balance Sheet Management

· Funds Transfer Pricing(FTP)

· Treasury Front Office

· Asset & Liability Management(ALM)

· Liquidity Management

· Market Risk

· Finance

· Regulatory Reporting

· Audit


Key Topics

  • Understand key analysis and inputs into the bank’s strategic business and balance sheet planning process
  • Gain an analysis of Basel III business model and economic constraints.
  • Get an introduction to optimisation modelling of the balance sheet under Basel III constraints.
  • Learn how to integrate Basel III constraints into the bank funds transfer pricing framework and to developing a

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    Voice of Our Customers
    • “It was a solid introduction to the crucial roles FTP should play in business unit, IR and LR immunization, margin attribution and transfer pricing. An interesting walk through of a pragmatic, well thought & tested approach to NMD modeling.” First Rand Bank
    • “Very informative and intellectually engaging” Investec
    • “Very good, insightful and I learnt a great deal. has also offered to be available for follow-up questions after course” ICBC Standard Bank
    • “Good look at the issues facing model risk practitioners” Investec
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    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Kamelia Simeonova


    101 Finsbury Pavement, London, EC2A 1RS



    Telephone:
    0044 203 002 3172
    Fax:
    Email: kamelias@marcusevansuk.com