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Kuwait: RISK-BASED ASSET LIABILITY MANAGEMENT (ALM) & FUNDS TRANSFER PRICING (FTP)

BACKGROUND
Asset and liability management has undoubtedly become one of the most crucial disciplines for any Bank to master. A comprehensive understanding will result in increased profitability and shareholder value. Moreover, subsequent prudential and regulatory responses that followed the crisis entirely renewed the way in which Asset Liability Management (ALM) is run.

In the same context, considering the current climate is loaded with regulatory and market changes, Funds Transfer Pricing (FTP) frameworks must be adapted in such a way to account for this without losing competitive edge. FTP serves as the linkage between product design and ALM.

This workshop provides the perfect balance between theory and practice, focusing on all the key methodologies employed within ALM as a discipline. It will provide a practical insight into industry standard techniques and topical regulatory issuesin line with the international best practices in general, aiming at boosting local foreign currency deposits and its reserves and strengthening profitability and capitalization of Banks.

The present workshop will provide Banks and regulators with a platform to learn from practical examples of how others are already incorporating the liquidity and capital regulations into their FTP models and within their ALM strategy as well as insight into future developments. The workshop is of great value to risk management and financial management teams, risk supervision teams and banking professionals seeking an interactive and simulations-based workshop to gain broader exposure to international best practices in ALM and FTP.

OBJECTIVES:
On completion of this workshop, participants will be able to:
Learn the concept of dynamic modeling of income statements and balance sheet, understand the key variables to model;
Learn how to assess the strengths and weaknesses in your current ALM process;
Gain understanding of the impact of Basel III, IRRBB and IFRS on ALM decision making;
Create scenarios and conduct stress testing for Asset Liability Management;
Master the way of adjusting the balance sheet to reduce exposure to liquidity risk and interest rate risk and commercial products;
Calculate FTP and profitability on the capital of a transaction under Basel II and III;
Conduct methodological reconciliation of static and dynamic gaps;
Evaluate different methods, challenges and applications of FTP;
Learn how Funds Transfer Pricing plays a key role in modern bank performance measurement, capital allocation and balance sheet management.

PREREQUISITE KNOWLEDGE:
In order to get maximum benefit from this Workshop:
Participants should have wide knowledge in Treasury Management and Profitability
Participants should also be familiar with the mechanics of the Basel requirements.
Profound English is a must.

WHO SHOULD ATTEND THIS WORKSHOP?
Bank regulators
Financial Controllers and Financial Managers in banks and their main assistants.
Treasurers and Capital Markets Managers in banks and their main assistants
Risk Managers in banks and their main assistants.
Internal Auditors in banks and their main assistants.

MAIN TOPICS:

DAY 1

The fatal impact of the financial crisis
The fundamental role of ALM
Organization and positioning of ALM
The Asset and Liability Management Committee
The major methodological principles of ALM
Investing the Own Funds of the Bank
ALM reporting in Banks
Techniques for measuring Interest Rate Risk and Liquidity Risk
Stress scenarios

DAY 2

The standard approach: static gap analysis
Dynamic gap analysis: the modern approach
Set up of a hedging policy
Liquidity Coverage Ratio (LCR) and stress tests
Net Stable Funding Ratio (NSFR)
Behavior Assumptions
Strategic Capital Management

DAY 3

Defining funds transfer pricing (FTP) and Risk- adjusted return on capital (RAROC)
Update FTP frameworks to account for new capital regulations
Establish FTP methodologies to work under different interest rates environments and forthcoming regulations surrounding interest rate risk
Full incorporation of the NSFR and LCR into FTP frameworks
Transformation and refinancing risk: immediate profitability vs. sustainability (stability)
Interest rates (foreign exchange rates) scenarios and hedging strategies
Stress scenarios
Example of a rescue operation

 

March 26 2018

Venue

JW Marriott Hotel

Kuwait, Kuwait

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Kuwait: RISK-BASED ASSET LIABILITY MANAGEMENT (ALM) & FUNDS TRANSFER PRICING (FTP)

BACKGROUND
Asset and liability management has undoubtedly become one of the most crucial disciplines for any Bank to master. A comprehensive understanding will result in increased profitability and shareholder value. Moreover, subsequent prudential and regulatory responses that followed the crisis entirely renewed the way in which Asset Liability Management (ALM) is run.

In the same context, considering the current climate is loaded with regulatory and market changes, Funds Transfer Pricing (FTP) frameworks must be adapted in such a way to account for this without losing competitive edge. FTP serves as the linkage between product design and ALM.

This workshop provides the perfect balance between theory and practice, focusing on all the key methodologies employed within ALM as a discipline. It will provide a practical insight into industry standard techniques and topical regulatory issuesin line with the international best practices in general, aiming at boosting local foreign currency deposits and its reserves and strengthening profitability and capitalization of Banks.

The present workshop will provide Banks and regulators with a platform to learn from practical examples of how others are already incorporating the liquidity and capital regulations into their FTP models and within their ALM strategy as well as insight into future developments. The workshop is of great value to risk management and financial management teams, risk supervision teams and banking professionals seeking an interactive and simulations-based workshop to gain broader exposure to international best practices in ALM and FTP.

OBJECTIVES:
On completion of this workshop, participants will be able to:
Learn the concept of dynamic modeling of income statements and balance sheet, understand the key variables to model;
Learn how to assess the strengths and weaknesses in your current ALM process;
Gain understanding of the impact of Basel III, IRRBB and IFRS on ALM decision making;
Create scenarios and conduct stress testing for Asset Liability Management;
Master the way of adjusting the balance sheet to reduce exposure to liquidity risk and interest rate risk and commercial products;
Calculate FTP and profitability on the capital of a transaction under Basel II and III;
Conduct methodological reconciliation of static and dynamic gaps;
Evaluate different methods, challenges and applications of FTP;
Learn how Funds Transfer Pricing plays a key role in modern bank performance measurement, capital allocation and balance sheet management.

PREREQUISITE KNOWLEDGE:
In order to get maximum benefit from this Workshop:
Participants should have wide knowledge in Treasury Management and Profitability
Participants should also be familiar with the mechanics of the Basel requirements.
Profound English is a must.

WHO SHOULD ATTEND THIS WORKSHOP?
Bank regulators
Financial Controllers and Financial Managers in banks and their main assistants.
Treasurers and Capital Markets Managers in banks and their main assistants
Risk Managers in banks and their main assistants.
Internal Auditors in banks and their main assistants.

MAIN TOPICS:

DAY 1

The fatal impact of the financial crisis
The fundamental role of ALM
Organization and positioning of ALM
The Asset and Liability Management Committee
The major methodological principles of ALM
Investing the Own Funds of the Bank
ALM reporting in Banks
Techniques for measuring Interest Rate Risk and Liquidity Risk
Stress scenarios

DAY 2

The standard approach: static gap analysis
Dynamic gap analysis: the modern approach
Set up of a hedging policy
Liquidity Coverage Ratio (LCR) and stress tests
Net Stable Funding Ratio (NSFR)
Behavior Assumptions
Strategic Capital Management

DAY 3

Defining funds transfer pricing (FTP) and Risk- adjusted return on capital (RAROC)
Update FTP frameworks to account for new capital regulations
Establish FTP methodologies to work under different interest rates environments and forthcoming regulations surrounding interest rate risk
Full incorporation of the NSFR and LCR into FTP frameworks
Transformation and refinancing risk: immediate profitability vs. sustainability (stability)
Interest rates (foreign exchange rates) scenarios and hedging strategies
Stress scenarios
Example of a rescue operation

 

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