Liquidity & Funding Risk 2017

19th - 20th September, London

DAY 1

08:30

REGISTRATION

08:50

WELCOME REMARKS

Tom Osborn, Desk Editor, RISK.NET

08:55

CHAIR'S OPENING REMARKS

Thomas Ralph, Head of Treasury Risk, METRO BANK

09:00

Keynote Address: Regulator (TBC)

09:30

Panel: Moving Forward With NSFR: Implementation and Change

  • How are tier-one banks, regional banks and challenger banks moving forward with implementation?
  • Looking at the impact on the derivatives market
  • How will ring fencing regulatory requirements make NSFR regulation more difficult to adhere to?
  • The Trump Effect: Will the regulations be implemented?

Krishna Srinivasan, Head of Liquidity Risk Management, BARCLAYS

10:15

Case study: Challenger Bank Approach

  • Dealing with liquidity regulatory requirements
  • Saving costs on legacy systems 
  • Developing new technology to adhere to regulation

James Scotcher, Head of Treasury, ATOM BANK

10:45

Morning coffee and networking break

11:15

Panel: Developments in LCR

  • How are banks meeting requirements?
  • How are new asset classes being used to meet requirements?
  • How can big data be used to adhere to regulation?
  • Delving into Basel III / European Commission's attempts to bring LCR into greater alignment with NSFR

12:00

Panel: Machine Learning and Big Data:

Using Behavioural Modelling For Effective Liquidity Risk Analysis

  • Creating predictive models for assets and liabilities
  • What assumptions should be made when making an efficient behavioural model?
  • Applications of big data and machine learning towards liquidity risk regulatory requirements and profitability
  • Incorporating off-balance sheet liquidity into risk analysis

Hamza Bahaji, Head of Engineering and Quantative Research, NATIXIS
Dr. Mostafa Mostafavi, Vice President, Quantitative Risk and Capital Strategies, CREDIT SUISSE

12:45

Lunch Break

13:45

Presentation: Best Strategy For Treasury Management

  • Using real-time data to view cash flows between businesses
  • Making accurate funding and liquidity management decisions with big data
  • Reducing liquidity and funding risk by providing solutions that enable treasurers to have a greater business overview.

14:30

Panel: Updates on ILAAP: Lessons Learnt and Future Implementation

  • Second phase reviews - what were the results and what are their implications?
  • What do regulators want and how should it be implemented?
  • Growth in responsibility - what is the role of senior management now? If things go wrong, will they be culpable or will the risk management team?
  • What level of transparency is expected?
15:00

Afternoon coffee and networking break

15:30

Presentation: Ring Fencing

  • New challenges of intercompany funding
  • The effects of subsidiarisation
  • Managing the frictions that arise with intercompany funding

Sam Abrika, Head of EMEA Liquidity and Funding Risk, UBS

16:00

Champagne Roundtables

  • ILAAP
  • LCR
  • TLAC & MREL
  • NSFR

16:45

Harvest Session: Bring your questions and leave with answers!

Each roundtable host will share 5 key outcomes following their roundtable discussion

17.00

CLOSING REMARKS

Thomas Ralph, Head of Treasury Risk, Metro Bank

17.15

End of day 1 and networking drinks

DAY 2

08:30

REGISTRATION

08:50

WELCOME REMARKS

08:55

CHAIR'S OPENING REMARKS

09:00

Keynote Address

09:30

Regulator Panel: Session TBC

10:15

Presentation: Exploring the relationship between IRRBB and liquidity risk

  • How does the ALM function manage liquidity risk and IRRBB together?
  • Effect of IRRBB on asset liabilities and how this effects customers and a banks' liquidity
  • ECB Consultation paper (due in June)

Franck Leroy, Head of Financial Risks, GROUPE BPCE

10:45

Morning coffee and networking break

11:15

Panel: Stress Testing: Requirements, implementation and best practice

  • Are banks centralising or specialising?
  • How prescriptive is the PRA going to be in its enforcement of stress testing requirements?
  • Clarifying ILAAP reverse stress testing requirements - what is really required and how should it be carried out?
  • Evaluating different approaches to stress testing

Graeme Smith, Director, Trading and Liquidity, BLACKROCK

12:00

Presentation: Intraday Liquidity

  • Incorporating intraday liquidity into the broader liquidity management regime
  • Meeting the reporting requirements of Basel III
  • Gathering past data to build predictive models for the future

12:30

Lunch Break

13:30

Case Study: Asset Management Firm / Insurance Company Approach to Liquidity Risk

  • Dealing with Basel III / ILAAP
  • Delving into the risk management team structure
  • Looking at how regulation / markets effect the approach liquidity and funding risk
  • What can banks learn from the buy-side and vice versa
14:00

Treasury Panel - Risks and rewards: What effect will the growing alignment of FTP and liquidity risk management have on banks?

  • How are regulations, eg. NSFR, incorporating FTP into liquidity management?
  • What are the possible side effects of this growing alignment / does it constrict banks behaviour and hence have the reverse effect of the one intended
  • Slow vs fast implementation of Basel III, does this mean possibly failing to adhere to regulation (slow) vs possibly inflicting massive costs on the bank (fast)

Tamim Chebti, Senior Treasury Expert, ABN AMRO

14:45

Afternoon coffee and networking break

15.15

Presentation: Best Liquidity Risk Management Strategy

  • Supporting the treasury in daily liquidity management
  • Predicting future levels of liquidity to ensure profitability and adherence to stress testing requirements of ILAAP
  • Adapting gathered data to be used simultaneously for regulatory adherence and complimenting needs of treasurers
15.45

Panel: Brexit, UK elections and Trump:

What is the future of liquidity risk management in an unpredictable political climate?

  • Trump's administration / Trump himself has hinted at repealing parts of Dodd-Frank, will this happen and will there be a ripple effect that hits the EU?
  • Will Brexit result in more or less regulation? Will the UK still have to adhere to EU imposed regulation?
  • What is the elected government's view towards regulation? Will they increase or decrease and what effect, if any, will their decisions have moving forwards?
16:30

Panel: TLAC & MREL

  • What different kinds of strategies are banks adopting in preparation for January 2019?
  • What are regulators expectations?
  • How do TLAC & MREL funding strategies vary from country to country?
17.00

CLOSING REMARKS

17.15

End of Conference