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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
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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?
- Will the Basel Committee be able to effectively monitor implementation?
- 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, Head Treasury, CRO, 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 CAPITA
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's opening remarks
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Chairman's closing remarks
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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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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, CVA Trading Desk for Emerging Markets, ING
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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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PANEL DISCUSSION: Global overview: a uniform approach for Basel III implementation
- Can a uniform approach truly be achieved and is this best way to go forward?
- How will other European, US and Asia's regulations evolve in light of Basel III
- Will the growing divide between UK banks and Switzerland continue as UK regulators get tougher
- What will be the effect if the US doesn't follow Basel III
- What implications do tax, legislative and other external changes have on banks
- Analysis of the QIS results: how have markets reacted and what is the suggested way forward?
- Where is BCBS with the running fundamental review? How will Basel IV look?
Monsur Hussain, Capital Management and Regulatory Advisor, INVESTEC BANK
Other speakers to be confirmed, please visit almeurope.com for further details
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17.00
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Chairman's closing remarks. Cocktail reception
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