Agenda
8:00 – 8:50
Registration and breakfast
8:50 – 9:00
Chair’s opening remarks
9:00 – 9:45
BALANCE SHEET MANAGEMENT – PANEL DISCUSSION
Restructuring the balance sheet to enhance profitability and mitigate volatility risks in an uncertain environment
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- Reviewing liabilities structures and impact to balance sheets
- Maximizing risk return on the balance sheet in a volatile environment
- Reviewing infrastructure to support efficient balance sheet management
- Managing hidden losses accumulating on the balance sheet
- Diversification of balance sheet
- Overcoming the impact of deposit drawdown
- Reviewing the future of balance sheet asset classes
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Steve Chisholm, ED, Global Head of Funding Planning & Forecasting, Treasury, Standard Chartered |
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Chen Wang, Deputy Head of Treasury, China Construction Bank |
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Stephan Pouyat, Managing Director, The Digital Economist |
09:45-10:20
LIQUIDITY CRISIS
Reviewing lessons learned from Credit Suisse’s crisis
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- How to default at healthy LCR levels
- Lessons learnt for the LCR construct
- Has recovery &resolution planning been demasked as fiction?
- Managing investors’ and clients’ sentiment
- Modelling swarm behavior instead of funding concentration
- Understanding the role of CCPs and Rating Agencies
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Robert Maringer, Head of Global Liquidity Risk Management, Monitoring, Risk Appetite & Analysis, Credit Suisse |
10:20-10:50
Morning refreshment break and networking
10:50 – 11:25
LIQUIDITY RISK MANAGEMENT
Effectively managing liquidity on the balance sheet in a period where interest rates are peaking
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- Understanding the impact liquidity has on concentration risk and deposits
- Consequences that balance sheet mismanagement has on a firms liquidity
- Lessons learnt from recent crisis case for behavioral deposit models
- Reviewing the current availability and cost of liquidity
- Importance of secondary markets when managing liquidity risk
- Impact of central banks removing liquidity from the market
- Ensuring liquidity buffer management is managed effectively
- Management of HQLA assets
- Managing liquidity in line with LCR
- Impact of the ECB removing LTRO
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Suresh Sankaran, Head of Model Risk, Validation & Governance, Metro Bank |
11:25-12:00
SVB CASE STUDY – FIRESIDE CHAT
Effectively managing a significant increase in deposit attrition in a crisis scenario
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- Understanding how other factors influence a crisis i.e. markets and regulators
- Reviewing how media can impact a balance sheet
- SVB media case study and impact to run on the bank
- Importance of customer being aware of their deposit insurances
- Broadening the range of collaterals central banks accept in a time of crisis
- Importance of responding to crisis’ in real time
- Use of backstop liquidity in a crisis scenario
- Global lessons learnt from the failure of SVB
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Michael Sparks, Chief Risk and Compliance Officer, Issuer Services, BNY Mellon |
11:25-12:00
INTEREST RATES
Analyzing the impact of a high interest rate environment on effective balance sheet management
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- Understanding positions on the current rate cycle and continued trajectory
- Reviewing the relationship between rising interest rates and liquidity management
- Impacts of increased interest rates on borrowing costs
- Maintaining margins and profitability given the uncertain rate outlook
- Reviewing the increased cost of risk with rising interest rates
- Understanding how uncertainty of interest rates impacts financing needs
- Interest rate competition between institutions
12:35-1:35
Lunch break and networking
1:35-2:20
IRRBB – PANEL DISCUSSION
Effectively managing risk and losses in the banking book in line with increasing interest rates
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- Impact of unwinding positions at a loss
- Capital requirement to manage IRRBB as a risk
- Assessing how firms have mismanaged their IRRBB and long term implications
- Reviewing reliability of the IRRBB regulatory framework
- Managing the volume and speed of interest rate changes on the banking book
- Enhancing efficiencies when managing the IRRBB
- Reviewing the further defined CSRBB and what his means for firms
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Allister Keller, Markets Director, Monzo Bank |
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Hadrien van der Vaeren, SVP, Market and Liquidity Risk, BNY Mellon |
2:20-2:55
FUNDING
Assessing the importance of structuring your funding to better manage the balance sheet
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- Understanding how working capital and cash flow will impact short term funding
- Diversification of funding strategies
- Assessing the impact of interest rate volatility on raising funds
- Keeping up with the sophistication of funding models
- Importance of return on capital when sourcing additional funding
- Balancing short and long term funding instruments
- Assessing the importance of term structure to funding
- Constrained asset selection from the current market
2:55-3:40
DEPOSITS – PANEL DISCUSSION
Adjusting deposit acquisition strategies in line with the current environment
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- Understanding the changes in deposit behavior and its impacts
- Use of diversification to overcome deposit concentration risk
- Overcoming increased deposit volatility in a digitized world
- Importance of having backstop available on time in a scenario of deposit attrition
- Competitiveness of deposits between institutions and what this means
- Assessing outflow risk on your deposits
- Embedding liquidity and interest rate risk into deposit behavior authorization
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Volker Duenger, MD, Head of Treasury Risk Control ALM, UBS |
3:40-4:10
Afternoon refreshment break and networking
4:10-4:45
CONCENTRATION RISK
Mitigating and managing concentration risk in a volatile interest rate environment
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- Understanding the impact concentration risks have had on recent banking crisis’
- Reviewing assessment of concentration risks and staying ahead of them
- Overcoming a largely concentrated environment within the banking sector
- Use of diversification to avoid a concentration risk on the balance sheet
- Overcoming concentration risk from deposit withdrawal
- Addressing the concentration risk of government bonds that some banks are facing
- Impact off too much concentration risk on liquidity management
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Dimitris Papathanasiou, Head of Global Funding and International Treasury Risk, Credit Suisse |
4:45-5:20
SECURITIZATION
Assessing the regulatory treatment revision on securitization
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- Overcoming EBA guidelines that are too rigid
- Reviewing risk weights on securitization
- Overcoming the impact inflation has on RWA
- Challenges of comparing risk rate before and after securitization
- Comparing securitization methodology with capital allocation and estimation
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Frederic Zana, Head of Quantitative Structuring Team for FI & OA, Securitisation, Credit Agricole CIB |
5:20-5:30
Chair’s closing remarks
5:30
End of day one and networking drinks reception
8:00 – 8:50
Registration and breakfast
8:50 – 9:00
Chair’s opening remarks
09:00-09:45
MACROECONOMICS – PANEL DISCUSSION
Reviewing the current macroeconomic environment and the risk of stagflation and recession
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- Assessing how the current macroeconomic environment impacts liquidity risk
- Reviewing the impact of inflation on PNL
- Managing a scenario of stagflation if there is no growth
- Increased cost from inflation in a stagflation scenario
- Assessing how a recession impacts credit and balance sheet management
- Leveraging macroeconomic information to drive decisions on the balance sheet
- Assessing the challenge inflation has created for liquidity
- Effectively optimizing your balance sheet margin on inflationary scenarios
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George Yates, MD, CRO of Treasury & Global Head of Business Facing Market Risk, Deutsche Bank |
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Antonello Russo, Managing Director, Blackrock |
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Libor Kroska, Deputy Director, Country Strategy, EBRD |
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Antonio Timoner Salva, Global Strategic Planning & Stress Testing, Economic and Climate Risk Scenarios & Analysis, HSBC |
9:45 – 10:20
REGULATION
Assessing the impact of regulation on balance sheet management teams and practices
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- Comparison of regulatory measures across the UK, Europe and USA in the current environment
- Reviewing the long and short term impacts to firms’ balance sheets
- Understanding the reliability and usability of the ECB’s Supervisor Outlier Test (SOT)
- Challenges of accounting for unrealized losses on the balance sheet
- Managing impact of prudential regulation on capital requirements
- Linking CSRBB with the IRRBB and capital framework
- Ensuring you are attesting to regulation
- Addressing the cost of regulatory reporting and the need for simplification
10:20-10:50
Morning refreshment break and networking
10:50-11:25
EARLY WARNING INDICATORS
10:50 Reviewing the use of Early Warning Indicators (EWI) in operating models
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- Assessing how EWI are used currently to monitor performance
- Developing indicators to better inform risk appetite and mitigation strategies
- Internal structures and hierarchies
- Leveraging EWI to better mange the balance sheet
- Challenges of using indicators in the balance sheet
- EWI use cases and best practice
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Mauricio Masondo, Managing Director, Citi |
11:25-12:10
DATA – PANEL DISCUSSION
Assessing quality and granularity of data to drive informed decisions making with a holistic view
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- Leveraging data to give a prediction of behavior in the current interest rate environment
- Challenges integrating all information and data relevant to balance sheet management
- Effectively managing and meeting data reporting standards across jurisdictions
- Streamlining use of data and lineage
- Data infrastructure needed to support AI solutions for balance sheet optimization
- Understand how best to use data to drive better balance sheet management
- Leveraging new data sources previously unused
- Assessing onsite and offsite challenges of infrastructure
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Mark Clement, Managing Director, Quantitative Operations, Bank of America |
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Suman Datta, Head of Portfolio Quantitative Research, Lloyds Banking Group |
12:10-12:45
STRESS TESTING
Leveraging stress testing as a tool within continued volatility and calibrating shocks
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- Understanding how firms can better stress test liquidity
- Assessing the challenges and importance of developing effective stress testing scenarios
- Addressing the interaction between provisions and capital when stress testing
- Embedding new models within stress testing framework
- Defining alignment between capital and liquidity stress testing
- Challenges of aligning capital and liquidity stress testing
- Ensuring accessibility to accurate real time data for stress testing
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Ligia Mladin, SVP, UK Treasury Transformation & BD Liquidity Management, Citi |
12:35-1:45
Lunch break and networking
1:45-2:20
REVERSE STRESS TESTING
Assessing how reverse stress testing can improve balance sheet management
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- Understanding quantitative and qualitative reverse stress testing in the context of balance sheet management
- Integrating qualitative into quantitative reverse stress testing
- Reviewing the different types of techniques to find relevant stress scenarios e.g. Bayesian decision tree, annealing, Monte Carlo Mining
- Leveraging relevant scenarios with different techniques
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Assad Bouayoun, Director, Quantitative Research Department, Daiwa Capital Markets |
2:20-2:55
MODELING
Analyzing current interest rate trends to create new modeling scenarios and effectively run dynamic balance sheet models
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- Importance of adjusting models to a heightened interest rate environment
- Adjusting model assumptions in a new environment
- Reviewing challenges of modeling the new mobile banking space
- Assessing the increased evolution of models over a short period of time
- Complexity of modeling vast data for balance sheet management
- Reviewing how modeling assumptions impact balance sheet optimization
- Reviewing short term liquidity outflows and how they are modeled in regulation
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Fred Diniz, Modeling Analytics Lead, JP Morgan Chase & Co |
2:55-3:25
Afternoon refreshment break and networking
3:25-4:00
CREDIT RISK
Managing credit risk and profitability in an environment of rising interest rates and inflation
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- Concentration risk and increasing credit defaults in an environment of rising interest rates and inflation
- How are banks coping with novel risks in credit risk provisioning?
- Overlays and in-model adjustments: best practices for capturing emerging risks
- Links between the new CSRBB framework and credit risk
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Germar Knochlein, Head of Division, European Central Bank |
4:00-4:35
HOLLISTIC VIEW
Reviewing the balance sheet holistically to build out enhanced capabilities and an integrated view
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- Reviewing risk factors that impacting balance sheet management and hedging tactics
- Holistically view of liquidity, interest rate and credit risk to better understand risk profiles
- Understanding how non-financial risks can impact balance sheet
- Enhance analytics to view risk in a holistic way
- Dependency on enhanced data capabilities and storage to view risk holistically
4:35 -4:45
Chair’s closing remarks
4:45
End of Summit