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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Advancing your ALM Framework and Leveraging Funds Transfer Pricing

Understanding the multiple regulatory requirements and their implications for balance sheet management

14-15 May 2019
Downtown Conference Center, New York, NY, United States of America

Why You Should Attend

Advancing your ALM Framework and Leveraging Funds Transfer Pricing

About the course:

The cumulative impact of the multiple regulatory requirements on liquidity, interest rate risk and capital management demand that banks and other financial institutions take a proactive approach in terms of balance sheet and risk management. The challenges in implementing an effective ALM framework are many, requiring financial institutions to integrate IRR, Liquidity and Financial Planning (i.e. capital allocation) with their broader risk management framework, develop risk management capabilities that are flexible, forward looking and aligned with their business / capital planning and budgeting activities. F.I.s will need to update their existing risk management framework, policies, procedures and risk management models to comply with the new regulatory expectations. Specifically, Balance Sheet and NII modelling capabilities will need to update and have significant flexibility, e.g. to accommodate ad-hoc regulatory requirements using different scenarios and/or assumptions and measuring risks across the different dimensions.

Weak practices for allocating costs and benefits associated with funding and contingent liquidity risks, and not having a clear understanding of the risk adjusted contribution from the different business lines, products and activities, has been recognized as a key contributor to the GFC and several major institution specific risk events. Given the multiple regulatory requirements and associated costs (LCR, NSFR, Leverage Ratios, etc.), compounded by a higher rate volatility environment, running an efficient FTP process to centralize the management of funding and contingent liquidity risk exposure becomes a strategic priority. An effective FTP process will align risk-taking incentives of individual business lines with the firmís risk appetite, driving volume and terms of new business and portfolio composition for an improved allocation of limited financial resources.

About your expert trainer:

Karl Rubach is the Managing Director and founder of IBSM Solutions, Inc. Karl consults on capital, balance sheet and risk management advisory, providing solutions to help Financial Institutions manage their Treasury and Banking Book Risk Management requirements.

He has over 20 years of international Treasury, Balance Sheet and Capital Management experience. He has lead the implementation of ALM, Liquidity, Risk Adjusted Return on Capital (RAROC) and Balance Sheet Optimization frameworks, including Funds Transfer Pricing (FTP) and Economic Capital allocation.

Prior roles include VP-Balance Sheet and Capital Management for the International Division at Scotiabank, VP and CFO for a Consumer Lending Joint Venture, Comptroller for Central America and Caribbean Region, and Director of Mergers and Acquisitions. Before moving to Canada Karl was the Head of Asset / Liability Management and Basel Office for Scotiabank Inverlat (Mexico).

He holds a BA in Economics, a Master Degree in Finance from ITAM and is a CFA Charterholder. He is a frequent speaker at industry events.

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?

The course is aimed at practitioners in the Treasury, Risk Management and Finance and areas involved in ALM, IRRBB, Liquidity Management, performance measurement (FP&A) and control functions.

Key Topics

  • How to advance your ALM practice, roadmap for effective balance sheet management
  • Understanding IRR and Liquidity risk and how to measure the different components
  • Establishing risk appetite and limits, effective risk reporting
  • Development and implications of the different modelling approaches
  • Solving FTP governance and data challenges

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    Event Contact

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

    Safak Egemen Pippen

    101 Finsbury Pavement
    EC2A 1ER

    +61 (2) 9223 2137
    Fax: +61 (2)8088 6090
    Email: safake@global-fmi.com