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[Live Online Training] Bank Balance Sheet Optimisation

Discuss an optimization model developed in Europe for improving bank return on equity under the tougher bank capital and liquidity ratios. A structured online course delivered over 4 half day modules.

25-28 Oct 2021
Online, Asia

Why You Should Attend

[Live Online Training] Bank Balance Sheet Optimisation

The training's objective is to provide you with a comprehensive understanding of the impact of Basel lll on bank balance sheets and to analyse in case studies some of the measures being employed by banks to better manage and optimise their balance sheets. The workshop will discuss an optimisation model developed in Europe for improving bank return on equity (ROE) under the tougher bank capital, liquidity ratio, and leverage constraints being phased into banking regulatory requirements under Basel lll.

The training will also cover developments in bank funds transfer pricing (FTP) that are related to Basel lll, including the important area of liquidity pricing and cost allocation in the FTP process and the forthcoming impact of bringing interest rate risk in the banking book(IRRBB) into the Basel Pillar 1 capital requirements. The course also draws on the use of optimisation modelling for several banking book areas, including estimating behaviour of non-maturing deposits (NMDs), balancing the IRRBB EVE / ΔNII exposure for outlier testing and reporting, and building an optimal interest rate re-pricing gap exposure hedging portfolio in balance sheet currencies in which swaps are available.

Your expert trainer.

Douglas Bongartz-Renaud - FRM is owner and Director of Markets & Risk Solutions Pte Ltd, a banking consulting and training firm based in Singapore. Recent assignments have included Basel lll training for HSBC and other banks and a seven month project for the IFC (World Bank Group) as treasury and risk advisor at a large Asian bank. In addition he provided ALM design and implementation assistance at a bank in East Africa under an IFC sponsored assistance program.

Douglas has 35 years of experience in banking in the areas of financial products, risk management, and ALM, including 26 years with ABN AMRO where he had a number of senior roles, including heading the global FX Derivatives, Interest Rate Derivatives, Structured Products businesses and as head of the Bank's Treasury, Risk and Advisory.

Why Live+ Online Training?

All the benefits of attending a live course without the time and expense of having to travel.

Receive a copy of the course material prior to the first session. All materials are also available throughout the course via the event portal.

Practical case studies to work on during and after each module.

Engage in live discussions with the trainer and other participants during the course.

Don't worry if you miss a module, you will have access to a recording so that you can catch-up on-demand.

Key Topics

  • Understand and analyse key inputs into a bank’s strategic business and balance sheet planning process
  • Gain an analysis of Basel III business model and economic constraints
  • Get introduced to optimization modelling of the balance sheet under Basel III constraints
  • Learn how to integrate Basel III constraints into the bank funds transfer pricing framework and to developing a robust liquidity transfer pricing process
  • Previous Attendees Include

    HKMA, Morgan Stanley, HSBC, Barclays, RBS, Standard Chartered Bank, Citi,
    National Australia Bank, ING, DBS, Bank of India, First Gulf Bank, Rabobank,
    Nomura, ANZ, Macquarie Bank, Credit Suisse, UOB, Ernst & Young, CIMB &
    Societe Generale

    Why Choose marcus evans?

    marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

    Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.

    Voice of Our Customers
    • “Very intellectually engaging” - Investec
    • “Very good, lots of content and applicable and interesting real-life stories/examples” - Morgan Stanley
    • “The use of online mini-games and simulations was very engaging. I have enjoyed the interaction with the rest of the learners in the sessions” - European Central Bank
    • “This course is amazing, it is interactive, it is educational, I enjoyed it so much!” - TD Bank
    • “Clear instructions and passionate delivery. Very open to answering questions and made everyone fell at ease” - RBS
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    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Veronika Sapronova ANZ

    marcus evans ANZ Limited
    Level 5, 89 York Street
    Sydney NSW 2000 Australia

    +61 2 8006 2841