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08.00
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Registration and coffee
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08.50
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Welcome address. Chairman's opening remarks
Chairman: Charles Richard, Co-Founder, QRM
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09.00
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KEYNOTE ADDRESS: Strategic challenges in asset - liability management
- Does Basel III go far enough to manage risks of the banking system?
- How the new requirements impact the capital allocation? Which is the next asset class to boom and fail?
- What new risks does Basel bring to the financial markets? Does the systemic risk get fatter tails?
- How to ensure competitiveness of markets? Can the US regulation keep the momentum?
- Basel timeframe and potential market movements: are banks going to be able to meet the deadlines?
- Minimising the Impact of possible failure
- Economic and social costs and consequences
Shailesh Shah, CRO, Treasury, UBS
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09.40
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PLENARY ADDRESS: Creating an effective stress testing process to support strategic decisions
- The role of stress tests - management driven and regulatory driven
- Essential Ingredients - scenario identification, behavior models, business projections
- Key analyses - enterprise earnings and total return, capital adequacy, funding and liquidity
- Enhancing decisions for balance sheet optimization, contingency planning, adapting to regulatory change
David Buck, Senior Client Relationship Manager, QRM
Savaiz Khawaja, Senior Client Relationship Manager, QRM
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10.20
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PANEL DISCUSSION: Addressing the challenges when meeting the new liquidity requirements
- Liquidity Coverage Ratio (LCR): is this viable for all jurisdictions?
- Net Stable Funding Ratios (NSFR): eliminating structural and liquidity mismatches by requiring banks
- How will banks meet these ratios?
- How to earn money by liquidity mismatch?
- What's expected of banks during the observation period?
- How to follow intraday liquidity risks?
- How to charge the business for liquidity/maturity mismatch?
- Will new liquidity rules inflict severe banking dislocation
Moderator: Arno Kratky, Group Treasury, Head of Liquidity Analytics, COMMERZBANK
Andy Jobst, Chief Economist, BERMUDA MONETARY AUTHORITY
Hugh Campbell, Director, Treasury, BARCLAYS CAPITAL
Bill Rickard, Head of Regulatory Development, Group Treasury, RBS
Mario Onorato, Senior Director, Balance Sheet Risk Management Solutions, ALGORITHMICS
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11.00
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Morning break and opportunity to network
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STREAM ONE: Effective capital management
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STREAM TWO: Liquidity risk modelling and management
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Chairman: Matt Cameron, News Editor, RISK MAGAZINE
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Chairman: Charles Richard, Co-Founder, QRM
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11.30
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Basel III rules -are they correctly targeted and expected reactions
- Are the capital rules too high?
- What is expected to be the impact on current bank models
- Pricing new lines of business and new products
- The need for efficient capital management
Laurent Balthazar, Head of Risk Analytics DEXIA BANK
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Systemic liquidity risk and macroprudential stress testing
- IMF FSAP stress testing approaches
- Systemic liquidity risk modeling and its role in macro-prudential policy
Andy Jobst, Chief Economist, BERMUDA MONETARY AUTHORITY
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12.10
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Contingent capital and loss absorbing capital
- Potential impact on balance sheet
- Bail in capital
- How will the market react and hedge CoCos when a bank is nearing default?
- Will the buy-side buy it?
Eugen Buck, Managing Director
Group Finance, RABOBANK NEDERLAND
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Making the most of the Observation period for the LCR and NSFR
- How best to present a case to the Basel Committee, the European Authorities and/or local regulators
- What issues are the priority ones
- Challenges arising from using proprietary data
- Challenges of completing QIS's given IT development issues and costs
Bill Rickard, Head of Regulatory Development
Group Treasury, RBS
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12.50
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Lunch
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13.50
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Comprehensive review for the trading business
- Trading book and banking book aspects
- Market, credit and liquidity risk
Regulatory and economic perspectives
- Addressing systemic risk
Peter Quell, Team Head of Portfolio Modelling, DZ BANK
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What impact will new regulation have on transfer pricing and can we use it to steer the business?
- What is the difference between internal liquidity models and Basel III liquidity requirements
- How does Basel III translate into steering signals
- How will Basel III impact internal transfer prices
Arno Kratky, Group Treasury, Head of Liquidity Analytics, COMMERZBANK
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14.30
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Lack of uniformity for Basel III implementation
- How will other European and US regulations evolve in light of Basel III
- What implications does the "Regulation" format of prudential requirements have on alignment?
- Will the growing divide between UK banks and Germany/France/Switzerland continue as UK regulators get tougher
- Analysis of US and EU policies: how have markets reacted and what is the suggested way forward?
Monsur Hussain, Capital Management and Regulatory Advisor, INVESTEC BANK
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The Basel III framework for liquidity standards and monetary policy implementation
- Introduction to the liquidity risk regulation and the function of central banks as liquidity providers
- Interactions between the regulatory and central bank framework
- Possible ways to address the interactions
- Policy conclusions
Jeroen Lamoot, Financial Stability and Policy Expert, NATIONAL BANK OF BELGIUM
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15.10
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Afternoon Break
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15.40
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How do you know you're not the next Lehman?: Practical use of reverse stress testing
- How do we define reverse stress testing
- Why do reverse stress testing
- When to do reverse stress testing
- What to test
- Where to obtain scenario variables from
John Christiansen, Senior Director, ORACLE
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16.20
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Inflation outlook
- Impact of the credit crunch on global inflation - inflation or deflation?
- Monetary policy and inflation, the impact of QE
- Targeting inflation in the post-crisis world - core or headline inflation?
Luigi Speranza, Head of Fiscal and Inflation Economics, BNP PARIBAS
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17.00
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Chairman's closing remarks. Cocktail reception
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