Liquidity under Basel III

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Liquidity under Basel III

  1. 1. Course highlights: Composition of liquidity buffers and assessing their impact under Basel III Stress testing liquidity riskThe impact of Basel III on yourbusiness model Regulatory demands on data infrastructureHow to integrate internal liquidity riskmanagement within the Basel III Regulatory expectations for liquidityprocess in bankingincisive-training.com/liquidityManagingliquidityunder Basel IIILondon27 & 28 February 2012New York1 & 2 March 2012
  2. 2. Managing liquidity under London 27 & 28 February 2012 Basel III New York 1 & 2 March 2012About the courseA year on from the publication of the final Risk’s annual liquidity management seminar Risk Managementversion of Basel III and its liquidity will address these complex issues in the widerrequirements, the banking industry continues economic context of the evolving regulatoryto face a barrage of challenges in adapting environment, including sessions on the impacttheir business model in order to implement the of Basel III on your business, looking at crossnew regulations. As the current volatile state of currency markets for liquidity purposes, thefunding markets continues unabated the composition of liquidity buffers under Basel IIIindustry continues to question what impact and liquidity stress testing.Basel III will have on its access to – andmanagement of – liquidity.Learning outcomes Who should attend?– Assess how to adapt your business plan to This course has been designed for people comply with new regulations working in banks, investment firms,– Explore how to maintain sufficient liquidity consultancies and regulatory bodies with the to fund cost obligations following job titles: – Liquidity risk managers– Identify the fundamentals of liquidity risk modelling and quantification – Treasury managers– Investigate pricing funding value – Risk analysts and controllers adjustment and credit value adjustment – Market risk managers– Examine liquidity risk and its relationship – Asset and liability managers with other risks – Portfolio managers – Regulators – Compliance managers – Balance sheet managers Book now call— +44 207 968 4553/+1 (646) 736 1854 email— training.delegates@incisivemedia.com web— incisive-training.com/liquidity
  3. 3. Managing liquidity under London 27 & 28 February 2012 Basel III New York 1 & 2 March 2012Course tutors Risk ManagementLondon New YorkMichele Bonollo, Amnon Levy,Head of IT Risk Management Department Managing Director, Head of Portfolio ResearchBANCO POPOLARE MOODY’SYves Lanaud, Gregg Neville,Senior Advisor - Finance & Risks Executive DirectorNATIXIS-BPCE GROUP UBSDr. Mario Onorato, Bogie Ozdemir,Senior Director, Head of Balance Sheet and Vice President Economic CapitalCapital Management SUN LIFE FINANCIAL SERVICESALGORITHMICS AN IBM COMPANY Frank Sansone,Alan Picone, Treasurer and Head of Cash & LiquidityDirector, Risk Management & Actuarial Solutions ManagementDELOITTE DEXIA CREDIT LOCALRuediger Sandvoss, Sol Steinberg,Department Head Strategic Risk Control Vice PresidentHELABA LANDESBANK LCH CLEARNETAldo Soprano,Head of Short Term Liquidity Risks ControlUNICREDIT GROUPVenuesLondon New YorkPlease check website for updates Please check website for updates Book now call— +44 207 968 4553/+1 (646) 736 1854 email— training.delegates@incisivemedia.com web— incisive-training.com/liquidity
  4. 4. Managing liquidity under London 27 & 28 February 2012 Basel III New York 1 & 2 March 2012 Risk Management Coming up in 2012 Marcello Minenna on Derivative Pricing and ModelCan’t find what you’re Calibrationlooking for? London 15 – 17 February 2012 New York 25 – 27 April 2012 Basel 2.5 to Basel III: Challenges and objectives for RiskIncisive Training values our delegate Management:feedback and is always looking for new London 16 & 17 Februaryideas and suggestions for interesting New York 23 & 24 Februarytopics you would like to see produced www.incisive-training.com/baselas a training course. If you would liketo submit a subject area or have a topic Solvency IIyou would like to see covered at one of Practical and Theoretical Approaches to Implementationour training events please contact London 1 – 2 March 2012traininginfo@incisivemedia.com training.delegates@incisivemedia.com School of Energy Risk Management London 6 – 8 March 2012 www.incisive-training.com/schoolofenergy Market Data, Reference Data and Technology Training London 19 – 23 March 2012 training.delegates@incisivemedia.com Book now call— +44 207 968 4553/+1 (646) 736 1854 email— training.delegates@incisivemedia.com web— incisive-training.com/liquidity
  5. 5. Managing liquidity London 27 & 28 February 2012 under Basel III New York 1 & 2 March 2012London Monday 27 February 2012Day10830 Registration and coffee 1330 Regulatory expectations for liquidity in banking0900 Defining liquidity and liquidity risk – Reasons for regulatory changes to global liquidity requirements – Solvency versus liquidity – Liquidity coverage ratio – Maintaining sufficient liquidity to fund cost obligations – Net stable funding ratio – Liquidity risks – What constitutes an acceptable liquid asset? – Managing liquidity risk – Long-term funding vs. short term solutions – Reasons for regulatory changes to global liquidity requirements Tutor Speaker to be confirmedTutor Yves Lanaud, Senior Advisor Finance & Risks, NATIXIS – BPCE GROUP1030 Coffee break 1500 Coffee break1100 The impact of Basel III on your business model 1530 How to integrate internal liquidity risk management within the Basel III process – What are banks doing to prepare? – Involved organisational units – Where does the cost lie? – Process between risk management and risk control – How can you adapt your business plan to comply with new – Integration of Basel III in the existing liquidity risk framework regulation? – Use of the same data for internal purposes and Basel III – The micro and macro affects of Basel III – Cost efficiencyTutor Aldo Soprano, Head of Short Term Liquidity Risks Control, Tutor Ruediger Sandvoss, Department Head Strategic Risk Control, UNICREDIT GROUP HELABA LANDESBANK1230 Lunch 1700 End of day oneBook now call— +44 207 968 4553/+1 (646) 736 1854 email— training.delegates@incisivemedia.com web— incisive-training.com/liquidityLondon Tuesday 28 February 2012Day20830 Registration and coffee 1230 Lunch0900 Stress testing liquidity 1330 Fundamentals of liquidity risk modelling and quantification – The risk drivers and scenarios of stress testing – Presentation of the stylised facts of liquidity risk – Building scenarios to cover liquidity – incorporating the major – Modelling the asset side: market depth and microstructure funding and market liquidity risks – Modelling the liability side: assessing behaviours – Backward looking versus forward looking scenarios – Typical metrics and measurement approaches – Frameworks for calculating and valuing the results – Review of regulatory answer within CRD IV/Basel III – Incorporating tests into the business model and communicating – Critical analysis and way forward results to senior management Tutor Alan Picone, Director, Risk Management & Actuarial Solutions,Tutor Dr. Mario Onorato, Senior Director, Head of Balance Sheet and DELOITTE Capital Management, ALGORITHMICS AN IBM COMPANY 1500 Coffee break1030 Coffee break 1530 Liquidity Risk: from a silos perspective to a network approach1100 Composition of liquidity buffers and assessing their impact – Liquidity risk and relationships with other risks under Basel III – Funding Value Adjustment (FVA) and Credit Value Adjustment – Relationship between Basel III liquidity buffer composition (CVA): how to price them and the debt market – A network approach for joint liquidity counterparty risks – The affects on inter-banking lending – Some systemic risk indicators for the bank – Impact on fixed income products and securitisation – The network calibration problem and data availability – NSFR and LCR Tutor Michele Bonollo, Head of IT Risk Management Department, – Macroeconomic impact of reliance on government and BANCO POPOLARE central bank debt instrumentsTutor Speaker to be confirmed 1700 End of training
  6. 6. Managing liquidity London 27 & 28 February 2012 under Basel III New York 1 & 2 March 2012New York Thursday 1 March 2012Day10830 Registration and coffee 1330 The impact of Basel III on your business model0900 Defining liquidity and liquidity risk – Basel III capital management implications – How can you adapt your business plan to comply with new – Solvency versus liquidity regulation? – Maintaining sufficient liquidity to fund cost obligations – How can you adapt your organizational structure? - a new – Liquidity risks partnership between risk and finance. – Managing liquidity risk – Steps for comprehensive business planning, capital – Reasons for regulatory changes to global liquidity requirements budgeting and optimizationTutor Sol Steinberg, Risk & Valuation, LCH CLEARNET – Reconciling Economic and Regulatory Capital in Capital Optimization1030 Coffee break – Stress on ROE - Orderly correction of the Business Mix? – Empirical results and discussion1100 Regulatory expectations for liquidity in bankingl Tutor Bogie Ozdemir, Vice President, Economic Capital, SUN LIFE – Reasons for regulatory changes to global liquidity Financial GROUP requirements – Liquidity coverage ratio – Net stable funding ratio 1500 Coffee break – What constitutes an acceptable liquid asset? – Long-term funding vs. short term solutions 1530 Regulatory demands on data infrastructure – What are the requirements under Basel III?Tutor Frank Sansone, Treasurer and Head of Cash & Liquidity – How can data be generated? Management, DEXIA CREDIT LOCAL – What is the cost? – Reporting across jurisdictions and regulatory requirements1230 Lunch – Setting the pace of reporting Tutor Speaker to be confirmed 1700 End of day oneBook now call— +44 207 968 4553/+1 (646) 736 1854 email— training.delegates@incisivemedia.com web— incisive-training.com/liquidityNew York Friday 2 March 2012Day20830 Registration and coffee 1230 Lunch0900 Assessing and pricing liquidity risk: an economic perspective of 1330 Composition of liquidity buffers and assessing their impact asset and liability dynamics under Basel III – Modelling liquidity risk for banks with multiple and uncertain – Relationship between Basel III liquidity buffer composition funding sources, including secured borrowing, and asset sales and the debt market – Understanding the dynamics and interplay of borrower – The affects on inter-banking lending characteristics, funding options and the economic environment in – Impact on fixed income products and securitisation a correlated setting – NSFR and LCR – Holistic decomposition of a funds transfer price that accounts for – Transactions to optimize the liquidity of bank securities institution-referent contingent liquidity, funding liquidity, and portfolios credit risk Tutor Gregg Neville, Executive Director, UBSTutor Amnon Levy, Managing Director, Head of Portfolio Research, MOODY’S 1500 Coffee break1030 Coffee break 1530 Measuring and managing liquidity risk within an institution – The importance of knowing how stressed economic1100 Stress testing liquidity conditions affect liquidity – The risk drivers and scenarios of stress testing – How can implementing Basel III contribute to preventing – Building scenarios to cover liquidity – incorporating the severe liquidity risks arising in banks? major funding and market liquidity risks – Designing a contingency plan – Backward looking versus forward looking scenarios – Generating scenarios for liquidity stress testing: interacting – Frameworks for calculating and valuing the results with senior management – Incorporating tests into the business model and Tutor Speaker to be confirmed communicating results to senior managementTutor Sol Steinberg, Risk & Valuation, LCH CLEARNET 1700 End of training
  7. 7. Managing liquidity under Basel IIIRegistration & payment detailsI would like to book:Price Early Bird Early Bird 2 Standard (16 December 2011) (14 January 2012) (After 14 January 2012)London £2124* £2249* £2499*New York $3654 $3869 $4299 Risk magazine subscribers save 20%. Please add your subscriber discount below:*Price excludes VAT @ 20% (Discounts cannot be combined) London 4966/12 New York 4967/12Please complete the form below in BLOCK CAPITALS.EmailTitle First nameFamily nameJob title / PositionDepartmentCompanyAddress CityPost/zipcode CountryTelephone (direct)Telephone (main)FaxApproving managerTraining managerPlease note that payment must be received prior to the start of the event. A pro-forma invoicewill 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 numberCard no:Expiry date CVSAccount address if different from aboveI have read and agree to the terms and conditions:SignatureDateIncisive 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 anoriginal or a fax copy. We accept company cheques, credit cards and bank transfers. Please allow a minimum ofseven working days for a bank transfer to reach us and phone or fax us when it has been sent. Please state theevent name and delegate name to which it relates.Book nowcall— +44 207 968 4553/+1 (646) 736 1854email— training.delegates@incisivemedia.comfax— +44 (0)20 7504 3730web— incisive-training.com/liquidity
  8. 8. Managing liquidity under Basel IIIYour feeYour registration fee includes morning/afternoon refreshment, lunch and yourdocumentation pack. Book online or fax the completed form with your creditcard details, or follow up the provisional reservation with a cheque madepayable to Incisive Financial Publishing Ltd. In order that we process yourregistration with maximum efficiency, we request that a copy of this bookingform accompanies your payment.SubscriptionsIf you currently don’t subscribe to Risk magazine please contactkaren.griffith@incisivemedia.com for more informationAccommodationPlease see website for more informationCustomer ServicesLondon Office US & Canada Officemail — Conference Administration, mail — ConferenceAdministration,Incisive Media, Haymarket House, Incisive Media, 55 Broad Street,28-29 Haymarket, London, 22 Floor, NewYork,SW1Y 4RX, UK NY10004, USAcall— +44 (0)870 240 8859 call— +1(646) 736 1866fax— +44 (0)20 7504 3730 fax— +1 (646) 390 6612email— conf@incisivemedia.com email— conf@incisivemedia.comWarning: Risk is a registered trademark, and the title, contents and style of this brochure are the copyright ofIncisive 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 writingthree weeks before the event. We regret that no refunds can be given after this period. A substitute delegate isalways welcome at no extra charge.Disclaimer: The programme may change due to unforeseen circumstances, and Incisive Media reserves the rightto alter the venue and/or speakers. Incisive Media accepts no responsibility for any loss or damage to propertybelonging to, nor for any personal injury incurred by, attendees at our conferences, whether within theconference venue or otherwise. *All discounts must be redeemed when booking, discounts will not be valid orapplied after this time. Incisive Financial Publishing Ltd reserve the right to decline any discount offers and thisoffer 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 thebrochure to our database administrator at Incisive Media so that we can update our records and ensure thatfuture 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. Inaddition we will send you information about our other relevant products and services which we believe will be ofinterest to you. If you do not wish to receive other relevant information from Incisive Media via a particular mediumplease tick the following relevant boxes: Mail Phone Fax Email . Incisive Media will also allow carefullyselected third parties to contact you about their products and services. If you do not wish to receive informationfrom third parties via any of the following media please tick the relevant boxes: Mail Phone Please tick if youare happy to receive relevant information from carefully selected third parties by Email and Fax . Pleaseremember 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

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