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Bank Asset and Liability Management - Theory and Practice
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Bank Asset and Liability Management - Theory and Practice
  • Overview
  • Objectives & Outline
  • Methodology
  • Participant Profile
  • Trainers
  • Overview
    PROGRAMME DETAILS

    DATE

    19 – 20 September 2017

    TIME

    9:00 AM – 5:00 PM

    VENUE

    Asian Banking School
    The goal of this two-day programme is to provide participants with a thorough understanding of the broad range of financial risks faced by companies, with detailed focus on Exchange Rate Risks, Interest Rate Risks, and Commodities Price Risks that are typically faced by business enterprises. The programme focuses on how these risks are identified, categorised, managed, and mitigated by utilising various risk management tools.
    LEARNING LEVEL
    Intermediate
    PROGRAMME FEE*

    AICB MEMBER

    MYR

    3,000

    / PAX

    NON-MEMBER

    MYR

    3,500

    / PAX

    *inclusive of GST
  • Objectives & Outline
    LEARNING OBJECTIVES
    Upon completion of the programme, participants will be able to:
    • Understand the bank balance sheet and intermediation process – including the pricing of assets (loans) and laibilities (deposits and other funding sources) and decompoisition of net interest margin

    • Appreciate the impacts of Basel lll reforms on bank balance sheet liquidity and interest rate risk pricing and cost allocation through structuring of a business model and markets appropriate funds transfer pricing process

    • Understand balance sheet optimisation modelling and allocation of capital maximisation

    • Analyse important ALM challenges such as managing non-matiruty assets and labilities, using the Basel liquidity ratios for liquidity transfer pricing, hedging balance sheet exposures and implementing the new Basel lll interest rate risk banking book measurement and management standards
    PROGRAMME OUTLINE
    • Part 1 – Bank ALM governance, bank business model-based balance sheet dynamics, composition of the net interest margin and funds transfer pricing reference curve construction and product specific rate assignment methods

    • Part 2 – Tools, methods and processes for managing the bank balance sheet including the basics of loan pricing, FX, interest rate and liquidity risk exposure measurement and management tools and Basel lll requirements re-shaping bank ALM processes;

    • Part 3 – Bank ALM modelling methods & challenges - Several important and more specialised ALM issues are covered including determining the effective behaviour modelling of non-maturing assets & liabilities; using the Basel lll liquidity ratios in Funds Transfer Pricing; managing products with embedded optionality; interest rate risk banking book static and dynamic stress testing

    • Part 4 – Bank ALM and balance sheet management under Basel lll - Analysis of the bank balance sheet structure under Basel lll constraints with introduction of a Basel lll balance sheet optimisation model. Vase studies illustrating Basel lll migrations strategies and results and designing bank strategies to optimise return on equity under Basel lll requirements.
  • Methodology
    Lecture sessions with discussions and use of case studies for group exercises and problem solving sessions
  • Participant Profile
    Bank lending officers, finance, risk and treasury professionals seeking better understanding of bank asset & liability / balance sheet management, funding of loans and some specialist ALM topics and challenges
  • Trainers

    DOUGLAS BONGARTZ-RENAUD

    Douglas Bongartz-Renaud has over 35 years’ experience in the Financial Markets and Services Industry. He was an Executive Director in the Markets Division with ABN AMRO in Amsterdam. Douglas headed the Treasury, ALM and market risk team in ABN AMRO’s Risk Advisory Service business, which was engaged in projects with over 40 banking clients in Asia and the EMEA region.
    His client-based advisory and implementation work covered:
    • Treasury and Investment Banking – Financial Product Range Expansion, Infrastructure Development, Systems and Processes Selection and Implementation; 
    • Market Risk Management – Basel II Standard & IMA Approach Compliance, Risk Exposure Measurement and Reporting methods, implementation and assessment of VaR, IRC, Stress-Testing Models;
    • Asset and Liability Management – Structural Interest Rate, Currency, Liquidity Risk Management, and Fund Transfer Pricing frameworks and Processes.
    He held a number of senior trading and product management positions in ABN AMRO’s Financial Markets and Treasury Department from 1985 through 2011, including, Global Head of Currency Derivatives Trading, Structuring & Distribution, Global Head of Structured Products Trading & Derivatives Product Development, Global Head of Swaps & Options Trading.

    Douglas is a member of the GARP (and holds the ‘FRM’ certification) and of the PRMIA risk associations, and served on the ISDA (International Swaps and Derivatives Association) Board of Directors from 1994 to 2008, He is a Senior Partner in Tripod Partners. and provides training and consultancy to banks in the areas of ALM, Treasury and Risk Management. Douglas has worked for the IFC (World Bank Group) in projects in Asia and Africa and as a part time subject matter expert for KPMG for banking sector engagements in Indonesia.

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