Advanced ALM and balance sheet management
View AgendaKey reasons to attend
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Optimise organisational capital and liquidity
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Explore pricing and profitability of funds transfer pricing (FTP)
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Learn about non-maturing deposit modelling
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About the course
This comprehensive learning event equips participants with the skills to effectively address significant risk areas in ALM, including capital, liquidity and interest rate risk.
This interactive learning event will enhance participants’ knowledge of ALM by exploring the stress-testing framework within balance sheet management, including the application of warning indicators and reverse stress-testing techniques. Drawing on real-world examples from diverse financial institutions, attendees will gain valuable insights into current ALM market situations, enabling them to apply the acquired knowledge effectively.
By attending this learning event, participants will be exposed to non-maturing deposits modelling and FTP on a deeper level, enabling them to make informed decisions that optimise risk management and enhance overall organisational resilience.
Learning objectives
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Determine the appropriate amount of capital on a balance sheet
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Build a robust FTP framework
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Address liquidity and credit risk challenges
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Integrate stress-testing scenarios and forecasts into fund decisions
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Respond to risk governance failures by learning from a practical example
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Interpret the regulatory requirements regarding interest rate risk
Who should attend
Relevant departments may include but are not limited to:
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ALM
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Alco members
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Interest rate risk
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Liquidity risk
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Risk management
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Balance sheet management
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Stress-testing
Agenda
September 27–29, 2023
Live online. Timezones: Emea/Americas
Sessions:
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Interest rate risk management
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The asset-liability management (ALM) challenges set by the new IRRBB regulatory framework in Europe
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Liquidity risk management
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Fund transfer pricing (FTP) and integration with ALM analyses
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Capital management
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Stress testing and balance sheet management
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Reverse stress testing
Tutors:
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Giovanni Campo, Head of asset-liability management and liquidity risk competence line international markets, Prometeia
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Tiziano Bellini, Head of risk integration and advisory international markets, Prometeia
October 30–November 1, 2023
Live online. Timezones: Emea/Apac
Sessions:
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Capital management
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Liquidity risk management
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Stress-testing within balance sheet management
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Practical learnings and responses from risk governance failures
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Interest rate risk and ALM management
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Funds transfer pricing (FTP)
November 15–16, 2023
In-person. Location: Singapore
Sessions:
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Capital management
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Liquidity risk management
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Stress-testing within balance sheet management
-
Practical learnings and responses from risk governance failures
-
Interest rate risk and ALM management
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Funds transfer pricing (FTP)
Tutors
Giovanni Campo
Head of asset-liability management and liquidity risk competence line international markets
Prometeia
Giovanni is an esteemed expert with fourteen years of specialized experience in the field of asset-liability management and treasury risk methodologies. He currently works at Prometeia as a principal, leading the business development activities and delivery projects of ALM and treasury risk solutions of the international risk practice for the European region.
His work has been instrumental in tailoring processes to fit the unique complexity and sophistication of various banks, considering both the market and regulatory landscape. His insights into ALM risks and commitment to enhancing the comprehension and management of institutions’ interest rate risk in the banking book (IRRBB) position are driven by a strategic perspective.
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.
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