Course highlights First day of training delivered by an expert in the field of ALM, FTP and Treasury Day two will see four experts cover derivatives, hedging and risk weighted assets Fundamental responsibilities of the ALM and BSM functions comprehensively explained Session discussing the building and development of a funds transfer pricing curve Learn the importance of appropriately valuing the cost of preserving a liquid asset buffer Discuss best practice in managing interest rate risk and liquidity risk actively Expert will introduce use of derivatives in the treasury for funding and risk management Expert traders will evaluate the use of interest rate and FX derivatives for hedging training.risk.net/treasury Active Risk Management New York 29 30 May 2013
About the course Active Risk Management Who should attend? Treasurers have a significant role to play in safeguarding the immediate and long term ability of firms to meet their financial and regulatory obligations. A number of external forces are complicating this. The changing structures of banks and the pressures of capital, leverage and liquid asset ratios are causing firms to attempt to shrink balance sheets and reduce their risk weighted assets (RWA). Risk is delighted to have structured a brand new course assessing these challenges and delivering in depth training on all aspects of the modern bank treasury. In addition, experts will analyse how risk and funding is actively managed using derivatives in support of the treasury. The bulk of the training will cover the core treasury responsibilities and operations; asset-liability analysis; capital, liquidity and interest rate risk management; building the funds transfer pricing curve; and assessing the cost of maintaining a firms liquid assets. In each location, a dedicated ALM expert will lead the course across the first day, with the remainder of the course delivered by guest experts in the areas of derivatives, hedging in FX and Rates, and risk weighted assets. Learning outcomes At the conclusion of this course, attendees will have gained or increased knowledge about: How the projected economic outlook will drive banking in the immediate and mid-term The dynamics between capital, liquidity, ALM and BSM within a modern bank treasury Building FTP curves, and the critical importance of accurately pricing liquidity provision The cost to your treasury of maintaining a liquid asset, and how to optimise this This training course is intended to provide training to professionals in financial institutions, as well as regulatory bodies, technology vendors and advisory firms. In particular those working in a treasury function will benefit from the content. However, Risk welcomes any individual with an interest in the course material. Specific titles and functions would include: Specific job titles may include but are not limited to: Finance and Treasury ALM/Asset Liability Management FTP/Funds Transfer Pricing BSM/Balance Sheet Management Capital Management Liquidity Risk Management and Analytics Interest Rate Risk Management and Analytics Market Risk and Traded Market Risk Risk Methodology Risk Analysis Risk Internal Audit Basel II/III Regulatory Reporting Regulatory Liaison/ Advisory Regulation & Compliance Financial Institutions Advisory Bank Supervision Bank Regulation Financial Stability and Economic Analysis Banking Business Planning/Structures The function that derivatives perform in managing risk and securing profits (and losses) How these are funded, the effect of funding on pricing, and the consequences for treasury How traders use FX and Interest Rate derivatives to support the objectives of the business How risk weighted assets are calculated, and the implications for capital How many institutions are looking to reduce RWAs, and why this impacts on treasury Book now call +44 (0)207 968 4577 / +1 646 736 1852 email web training.risk.net/treasury
Course Tutors: Active Risk Management New York Macer Gifford Visiting Fellow, Globalisation and Finance Programme, University of Oxford Claudio Albanese CEO, Global Valuation Limited and Professor, King s College London More speakers to be confirmed, please check website for more details London Amiel Goldberg Managing Principal, Goldberg and Hohmann LLC Claudio Albanese CEO, Global Valuation Limited and Professor, King s College London Jason Shell Managing Director, Head of NA FX Trading, Deutsche Bank More speakers to be confirmed, please check website for more details Macer Gifford is a Visiting Fellow in the Globalisation and Finance programme at the Blavatnik School of Government at University of Oxford, from where he has been researching the impact of the new financial regulation. He is also a Group Senior Advisor to Standard Chartered Bank and runs his own consultancy company. He was previously Group Head of ALM and Regional Markets at Standard Chartered Bank, with responsibility for both Asset and Liability Management and for the geographic management of Financial Markets, globally. In this capacity was intimately involved in the design of the British Government s banking stabilisation package in response to the financial crisis. Macer s twenty year career in Financial Markets has covered a wide variety of trading and management roles, from being a pioneer in developing the Non Deliverable Forwards market to running Global Markets Africa. Macer joined Standard Chartered in 1994 from Citibank, where he started his career as a spot foreign exchange trader. He is a graduate of the London School of Economics and a Sloan Fellow of the London Business School. Macer s interests include cooking: he has a Grand Diplôme de Cuisine et de Pâtisserie from the Cordon Bleu in Paris. Amiel Goldberg is a seasoned, senior banker with significant leadership experience and extensive technical knowledge. During twenty-one years of experience in the financial services-banking industry Amiel has specialised in Balance Sheet Management, ALM and Finance at companies including Bank of America, Washington Mutual and UBS. Amiel has led multi-disciplined professionals during large-scale initiatives, including coaching and development of new and existing teams; guiding enterprise-wide, cross-function initiatives to assess complex business problems and deliver solutions; and brought together diverse constituencies to reach consensus on controversial issues. Most recently Amiel was Chief Risk Officer at GE Asset Management, before starting his own advisory firm Goldberg & Hohmann LLC. Book now call +44 (0)207 968 4577 / +1 646 736 1852 email web training.risk.net/treasury
Active Risk Management Can t find what you re looking for? Incisive Training values our delegate feedback and is always looking for new ideas and suggestions for interesting topics you would like to see produced as a training course. If you would like to submit a subject area or have a topic you would like to see covered at one of our training events please contact Helen Carty helen.carty@incisivemedia.com Coming up in 2013 Basel III Liquidity New York 15 & 16 April London 24 April Auditing Risk Management London 18 April New York 25 April Key Risk Indicators London 25 & 26 April New York 19 & 20 June incisive-training.com/kri Gas Portfolio Optimisation Calgary 16 & 17 May London 22 & 23 May Introduction to Quantitative Finance New York 23 & 24 May London 27 & 28 May incisive-training.com/quantfinance ALM Techniques and Practices Toronto 10 & 14 June 2013 Solvency II London 19 & 20 June New York 19 June incisive-training.com/solvencyii Book now call +44 (0)207 968 4577 / +1 646 736 1852 email web training.risk.net/treasury
Active Risk Management Management and Hedging Day 1 0830 Coffee and Registration 0900 Treasury structures, roles and responsibilities: Foundational Elements Overall Organization ALM Open Market Operations FTP Liquidity Management Governance and Policy Modeling, Data, and Technology Back Testing 0945 Introduction to Money and Investment Markets Risk Free Curves LIBOR Wholesale Markets Credit Spreads 1030 Morning break 1100 Interest Rate Risk and Asset-Liability Analysis Gaps (historical perspective) Repricing Risk (today s perspective) Earning at Risk Value at Risk Scenario Testing Composition of your balance sheet through time 1145 Funds Transfer Pricing FTP Curve Liquidity Premiums Credit Spreads Options 1230 Lunch 1330 Capital Management Cost of Capital Regulatory Capital Economic Capital Capital Allocations 1415 Liquidity Management and Liquidity Risk Deposits Wholesale Securitization Government Agencies and Central Banks 1500 Afternoon break 1530 Basel Developments History Basel 2.5 and 3.0 Net Staple Funding Ratio Liquidity Coverage Ratio Leverage Ratio 1615 Practical Advice and Challenges (Open Dialogue) Modeling Balance Sheet Management Governance Regulatory 1730 End of Day One New York To be delivered by Amiel Goldberg, Managing Principal, Goldberg and Hohmann LLC Day 2 0830 Coffee and Registration 0900 Derivatives, CVA/DVA/FVA and collateral strategies Introduction to OTC derivatives Bilateral transactions Multi-lateral transactions CVA and DVA FVA Funding requirements Variation margin Initial margin Backstopping CVA desks Collateral strategies Cheapest-to-post strategies Collateral transformation Segregated collateral and cash upgrades Tutor: Claudio Albanese, CEO, Global Valuation Limited and Professor, King s College London 1030 Morning break 1100 Introduction to Interest Rate Derivatives and Hedging Capital and interest rate risk Hedging interest rate risk with futures and options Interest rate swaps Interest rate options Debt in the swap market Debt in the forward market Debt in the futures market Hedging with interest rate options 1230 Lunch 1330 Introduction to FX and Currency Risk Management and Hedging Managing currency risk and settlement risk through ALM Regulatory capital for currency risk? Hedging currency risk Spot FX and FX forwards Currency swaps Currency options Multi-currency debt management Implications of trading FX on asset, liability and capital management (ALCM) Tutor: Jason Shell, Managing Director, Head of NA FX Trading, Deutsche Bank 1500 Afternoon break 1530 Risk Weighted Assets (RWA) and Capital Basel Committee on Banking Supervision Basel I, Basel II and Basel III Capital and liquidity implications of Basel III Introduction of RWAs for capital calculation Weighting assets according to risk: perceived benefits RWAs and derivatives RWA reduction plans and implications for treasury External pressures Shrinking of the balance sheet RWA reduction plans Standardised and IRB approaches Market Risk Credit Risk Operational Risk Liquidity Ratios Implications for treasury and ALM professionals Short-term objectives: integrating capital and asset/liability management ALCM Long term banking structures Ring-fencing of investment and retail banking 1700 End of Course
Active Risk Management Management and Hedging Day 1 0830 Coffee and Registration 0900 Overview of Treasury Management Learning objectives: is this balance sheet well managed? Key functions of banking: credit intermediation and maturity transformation When it all goes wrong: the financial crisis of 2007/8 0945 Capital Management Types of capital: from core tier one to bail-in debt Return on Capital: Capital Asset Pricing Model and the Weighted Average Cost of Capital Risk Weighted Assets: Standardised and IRB Basel III 1030 Morning break 1100 Liquidity Management Sources and uses of funding Behavioral modeling and stress Tactical and structural liquidity risk measures and management Basel III: Liquidity Coverage Ratio; Net Stable Funding Ratio; Liquid Asset Buffer 1200 Interest Rate Risk Management Interest rate risk in the banking book and in treasury Interest rate risk measurement, management and mitigation 1230 Lunch 1330 Funds Transfer Pricing Purpose of the curve Curve construction Curve application 1430 Organisational Structure Roles and responsibilities of the committees (GALCO; ALCO and the sub-committees) Roles and responsibilities of the functions: Group Treasury; Asset and Liability Management; Risk 1445 Afternoon break 1515 Mock ALCO Committee member roles assigned Dummy balance sheet and ALCO deck ALCO role-play Debrief 1630 Crisis management How it might manifest itself Key considerations 1645 Course summary and questions 1700 End of Day One London To be delivered by Macer Gifford, Visiting Fellow, Globalisation and Finance Programme, University of Oxford Day 2 0830 Coffee and Registration 0900 Derivatives, CVA/DVA/FVA and collateral strategies Introduction to OTC derivatives Bilateral transactions Multi-lateral transactions CVA and DVA FVA Funding requirements Variation margin Initial margin Backstopping CVA desks Collateral strategies Cheapest-to-post strategies Collateral transformation Segregated collateral and cash upgrades Tutor: Claudio Albanese, CEO, Global Valuation Limited and Professor, King s College London 1030 Morning break 1100 Introduction to Interest Rate Derivatives and Hedging Capital and interest rate risk Hedging interest rate risk with futures and options Interest rate swaps Interest rate options Debt in the swap market Debt in the forward market Debt in the futures market Hedging with interest rate options 1230 Lunch 1330 Introduction to FX and Currency Risk Management and Hedging Managing currency risk and settlement risk through ALM Regulatory capital for currency risk? Hedging currency risk Spot FX and FX forwards Currency swaps Currency options Multi-currency debt management Implications of trading FX on asset, liability and capital management (ALCM) 1500 Afternoon break 1530 Risk Weighted Assets (RWA) and Capital Basel Committee on Banking Supervision Basel I, Basel II and Basel III Capital and liquidity implications of Basel III Introduction of RWAs for capital calculation Weighting assets according to risk: perceived benefits RWAs and derivatives RWA reduction plans and implications for treasury External pressures Shrinking of the balance sheet RWA reduction plans Standardised and IRB approaches Market Risk Credit Risk Operational Risk Liquidity Ratios Implications for treasury and ALM professionals Short-term objectives: integrating capital and asset/liability management ALCM Long term banking structures Ring-fencing of investment and retail banking 1700 End of Course
Active Risk Management Registration & payment details I would like to book: Price Early Booking Rate Standard (before 26 April 2013) (after 26 April 2013) New York $3654 $4299 London 2209.15* 2599* Risk magazine subscribers save 20%. Please add your subscription details below: *Price excludes VAT@20% (Discounts cannot be combined) Please complete the form below in BLOCK CAPITALS. New York 4199/13 London 4200/13 Email Title Family name Job title / Position Department Company Address Post/zipcode Telephone (direct) Telephone (main) Fax Approving manager Training manager First name City Country Please note that payment must be received prior to the start of the event. A pro-forma invoice will be forwarded to you automatically should you not provide details with your booking. I have enclosed a cheque made payable to Incisive Financial Publishing Ltd. Please debit my: Amex Visa Mastercard Maestro Issue number Card no: Expiry date CVS Account address if different from above I have read and agree to the terms and conditions: Signature Date Incisive Financial Publishing Ltd. VAT No: GB 7569 78165 For companies in EU member states only. Please write your VAT/TVA/BTW/IVA/ MCMS/MWST/FPA number here: Payment is required prior to the event. If you require an invoice please inform us stating whether you need an original or a fax copy. We accept company cheques, credit cards and bank transfers. Please allow a minimum of seven working days for a bank transfer to reach us and phone or fax us when it has been sent. Please state the event name and delegate name to which it relates. Book now call +44 (0)207 968 4577 / +1 646 736 1852 fax +44 (0)20 7504 3730 email web training.risk.net/treasury
Your fee Your registration fee includes morning/afternoon refreshment, lunch and your documentation pack. Book online or fax the completed form with your credit card details, or follow up the provisional reservation with a cheque made payable to Incisive Financial Publishing Ltd. In order that we process your registration with maximum efficiency, we request that a copy of this booking form accompanies your payment. Subscriptions If you currently don t subscribe to Risk magazine please contact nicky.hudson@incisivemedia.com for more information Accommodation Please see website for more information Customer Services Active Risk Management London Office mail ConferenceAdministration, Incisive Media, Haymarket House, 28-29 Haymarket, London, SW1Y 4RX, UK call +44 (0)870 240 8859 fax +44 (0)20 7504 3730 email US & Canada Office mail ConferenceAdministration, Incisive Media, 55 Broad Street, 22 Floor, NewYork, NY10004, USA call +1(646) 736 18880 fax +1 (646) 417 7705 email Warning: Risk is a registered trademark, and the title, contents and style of this brochure are the copyright of Incisive Media. We will act on any infringement of our rights anywhere in the world. Incisive Media. Cancellation: A refund (less 10% administration fee) will be made if notice of cancellation is received in writing three weeks before the event. We regret that no refunds can be given after this period. A substitute delegate is always welcome at no extra charge. Disclaimer: The programme may change due to unforeseen circumstances, and Incisive Media reserves the right to alter the venue and/or speakers. Incisive Media accepts no responsibility for any loss or damage to property belonging to, nor for any personal injury incurred by, attendees at our conferences, whether within the conference venue or otherwise. *All discounts must be redeemed when booking, discounts will not be valid or applied after this time. Incisive Financial Publishing Ltd reserve the right to decline any discount offers and this offer cannot be used in conjunction with any other offer. Incorrect mailing, data protection: If any of the details on the mailing label are incorrect, please return the brochure to our database administrator at Incisive Media so that we can update our records and ensure that future mailings are correct. Please find our mailing address and fax details above. By registering for this training course, Incisive Media* will send you further information relating to this event. In addition we will send you information about our other relevant products and services which we believe will be of interest to you. If you do not wish to receive other relevant information from Incisive Media via a particular medium please tick the following relevant boxes: Mail Phone Fax Email. Incisive Media will also allow carefully selected third parties to contact you about their products and services. If you do not wish to receive information from third parties via any of the following media please tick the relevant boxes: Mail Phone Please tick if you are happy to receive relevant information from carefully selected third parties by Email and Fax. Please remember that if you choose not to receive other literature you may miss out on some exclusive offers. *For a list of companies included in Incisive Media please see our website www.incisivemedia.com/dataprotection