ALM and balance sheet management: advanced level
View AgendaKey reasons to attend
- Optimise organisational capital and liquidity
- Integrate climate risks into existing ALM frameworks
- Learn the implications of dynamic balance sheets and dynamic hedging
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About the course
In this advanced course, participants will enhance their ALM knowledge by examining key risks such as capital, liquidity and interest rate risk.
A key focus of the training is the incorporation of climate risks into ALM frameworks, including an assessment of how transition and physical risks impact credit risk. This learning event delves into interest rate risk management, highlighting non-maturity deposits and credit spread risk in the banking book. Participants will also gain insights into stress-testing the balance sheet, with an emphasis on reverse stress-testing.
Designed to provide a comprehensive overview of complex ALM topics, the course combines theory with practical application. Interactive case studies ensure participants are equipped to analyse and respond effectively to market events and regulatory shifts.
Pricing options:
- Early-bird rate: save up to $800 per person by booking in advance
- 3-for-2 rate: save over $2,000 by booking a group of three attendees
- Subscriber reward: save 30% off the standard rate if you are a Risk.net subscriber* (use code SUB30)
- Season tickets: cost-effective option for groups of 10 or more. Learn more
*The 30% subscriber reward discount is applicable only to current Risk.net subscribers. If this criteria is not met, we reserve the right to cancel the booking and issue an invoice for the correct rate. Discounts cannot be applied to already registered participants.
Learning objectives
- Determine the appropriate amount of capital on a balance sheet
- Build a robust funds transfer pricing framework
- Apply best stress-testing practices for balance sheet management
- Assess the modelling of non-maturing deposits
- Examine regulatory requirements
- Master interest rate risk management
Who should attend
Relevant departments may include but are not limited to:
- ALM
- Alco members
- Interest rate risk
- Liquidity risk
- Risk management
- Balance sheet management
- Stress-testing
Agenda
September 24–26, 2024
Live online. Timezones: Eme/Americas
Sessions:
- Interest rate risk management
- Climate-related financial risks
- Liquidity risk management
- Fund transfer pricing (FTP) and integration with ALM analyses
- Capital management
- Stress testing and balance sheet management
- Reverse stress testing
Tutors:
- Giovanni Campo, Head of asset-liability management and liquidity risk competence line international markets, Prometeia
- Tiziano Bellini, Head of risk integration and advisory international markets, Prometeia
Tutors
Giovanni Campo Risk Learning Faculty
Head of asset-liability management and liquidity risk competence line international markets
Prometeia
Giovanni is associate partner and head of asset liability management (ALM) and liquidity risk competence line for international markets at Prometeia.
Subject matter expert in balance sheet management and treasury risks, he has developed a deep experience in interest rate risk of the banking book and credit spread risk of the banking book, behavioural models, fund transfer pricing and hedge accounting.
Currently leading commercial initiatives and delivery projects of ALM and balance sheet risks solutions of the International Risk Practice.
Recent assignments include major banking groups in Germany, Luxembourg, Austria, Greece, Cyprus, Romania, Moldova and Turkey.
Tiziano Bellini
Head of risk integration and advisory international markets
Prometeia
Tiziano Bellini is a leader in the field of risk integration and advisory, currently serving as the Head of Risk Integration and Advisory for International Markets - Europe at Prometeia. His responsibilities span a broad array of business initiatives across international markets, focusing on areas such as stress testing, scenario-based financial planning, A&LM, behavioural modelling and training.
Tiziano’s illustrious career is marked by prestigious roles at global financial institutions, including BlackRock, Barclays, EY and HSBC. His passion for risk management and finance has led him to work across Europe, London, and New York.
Tiziano holds a Ph.D. in Statistics. A committed educator, Tiziano serves as a guest Lecturer at Imperial College in London and the London School of Economics and Political Science. His research and teachings focus on statistical methods, risk management, and financial applications.
Pre-reading materials
The Risk.net resources below have been selected to enhance your learning experience:
- ALM banking practices for a new era in liquidity risk
- ALM banking after the crisis: stress-testing for more robust liquidity management practices
- How higher interest rates are affecting bank liquidity
A Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two news articles a month.
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