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8:00
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Registration
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8:50
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Chairman's opening remarks. Chairman: Federico Galizia, Head of Risk Management and Monitoring, EUROPEAN INVESTMENT FUND
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9:00
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GUEST ADDRESS: Growth and regulatory evolution - importance of liquidity management for European long term investors
- Long term finance for real growth
- Liquidity management for a multilateral development bank
- CRD IV liquidity framework and long term finance
Plutarchos Sakellaris, Vice-President, EUROPEAN INVESTMENT BANK
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9:40
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Liquidity and interest rate risk management in the New Era: an operative perspective
- Changing environment for short term funding: the demise of the interbank money market and the need for integrated collateral and liquidity management
- Changing repo/securities lending market: from triparty to institutionalized to CCP
- Changing client relationships: the need to tap short term cash and collateral from customers
- Changing relationship with the ESCB: the need for self-sustainability
- Lost paradigm of interbank based pricing of client transactions: the loss of significance of market indicators (Euribor, Libor, EONIA) and the impossibility to hedge short term IR exposures
Thomas Rauch, Managing Director, Head of Treasury, Corporate & Investment Banking, UNICREDIT BANK
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10:20
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Inflation hedging aspects
- Instruments and strategies that work efficiently
- Entry/exit costs
- Ongoing management
- Collateral
- Use of different discount curves for determining NPVs
Dariush Mirfendereski, Formerly Managing Director, Global Head of Inflation Linked Trading Rates/Fixed Income, UBS
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11.00
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Morning Break
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11:30
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Trading CVA
- CVA as one of the main lessons learned from the recent credit crisis
- CVA and its link to fundamental valuation principles
- Is it really possible to hedge CVA?
- Moving away from the traditional sensitivity analysis in order to deal with a multi-ccy, multi asset portfolio
- CVA and wrong way risk
- CVA and funding - how to treat them consistently?
- CVA: "a heavily biased quantitative concept to trade"
- Ø Some quantitative challenges on CVA with real practical implications?
- Ø Consistent simulation framework
- Ø Illiquid parameters
- Ø Can we really achieve a risk neutral framework
Moises Gerstein-Alvarez, Global Coordinator of the Emerging Markets CVA Trading Desk, ING
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12:10
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Show me the money! - the evolving role of a corporate treasurer
- What can go wrong? - key sources of liquidity risk in corporate environment
- Keeping it under control - risk assessment, processes and procedures
- Finding the edge - developments in the corporate treasury area
- Being a key partner - how to find optimal way to support the business development
Michal Kawski, Treasurer, GAZPROM MARKETING & TRADING LIMITED
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12:50
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Lunch
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13:50
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Collateral framework of the Eurosystem
- Adjustments to the collateral framework of the Eurosystem during the 2007-2009 financial crisis (measures and rationale)
- Recent developments and challenges for the future of the collateral framework of the Eurosystem:
- Ø Scope for discretionary measures
- Ø Sovereign debt crisis and the eligibility of government bonds and government guaranteed securities
- Ø Role ofrating agencies and risk control measures
- Ø Consistency with the new liquidity regulations (Basel III)
Evangelos Tabakis, Adviser in the Market Operations Analysis Division, Directorate General Market Operations, EUROPEAN CENTRAL BANK
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14.30
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AFTERNOON GUEST ADDRESS: Interface between regulators, national law and politics
- Recent failures of the dynamics of this triple alliance
- How to avoid further mistakes
- Re-appraisal of the role of central banks
Godfrey Bloom, MEP, Economic & Monetary Affairs Committee, EUROPEAN PARLIAMENT
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15:10
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Afternoon Break
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15:40
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Retail customer deposits - how much do we know about these liabilities?
- Are retail deposits stable and reliable?
- Understanding the relative value of liabilities
- Modeling of retail deposits
- The uncertainties around deposit modelling
- Liquidity paper proposals on Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR)
Vincent van Bergen, Head of ALM Modelling, ABN AMRO
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16.20
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PANEL DISCUSSION: Interest rate risk exposure and management challenges
- How do we manage positions in low yields environment?
- How do we sustain it?
- Importance of scenario planning and capital assignment
- Facing shrinking net interest margins
- Reducing interest rate volatility
- Extend liability maturities
- Modifying risk exposure
Moderator: Gavin Jones, Head of Group Balance Sheet Management, LLOYDS BANKING GROUP
Andreas Bohn, Global Transaction Banking, DEUTSCHE BANK
Lorenzo Cupido, Senior Manager, Wholesale and Market Risk, HSBC HOLDINGS
Aaro Mäkelä, Member of Industry Expert Group IRRBB (Interest Rate Risk in the Banking Book), EUROPEAN BANKING AUTHORITY
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17:00
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Closing remarks. End of conference
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