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Modeling Treasury Banking Books

Maximising customer margins and reducing market risks in tactical banking books as practiced by best in class treasurers

25 July 2012 – 26 July 2012, Singapore

Why should you attend?

This 2-day workshop aims to elucidate some of the advanced techniques used by bank treasurers but also by insurance/ re-insurance portfolio managers and in some cases hedge fund managers as they target profit realizations from modeling and in some cases arbitraging customers financial behaviour.

The case studies are derived from experiences in treasury operations of large, multi-national money center banks. The customer groups encompass retail and institutional borrowers such as mortgage holders as well as depositors. As banks attempt to maximize margin profits while transferring “model risks” to treasuries (via internal transfer pricing mechanisms), the treasuries hedge the inherited financial assets and liabilities via “model portfolios” – trying to best replicate customer behavioural elasticities with financial risk factors. These models are often parameterized and back tested by treasury analytic teams and contribute to shaping a financial institution´s risk-return profile.

The course will illustrate how such models function and will identify best industry practices in the specification and utilization of such models. You will learn from best practices global institutions about means to enhance customer margins from banking intermediation while hedging interest rate and foreign exchange risks – as practiced in some of the leading institutions in North America and Europe. Upon attending this course, you will be capable of adapting spreadsheets to the realities of your own institutions aiming to enhance income and optimize your risk profile in competitive retail and SME bankingmarkets.

Key Benefits:

  • Apply advanced techniques to control maturity and repricing gaps
  • Optimize asset / liability & liquidity management
  • Learn advanced models for understanding customer behavior
  • Measure and predict customers’ deposit stability
  • Be prepared for defaults and prepays
  • Account for “customer actions” like defaults, prepayments, withdrawals, etc. in managing banking books
  • Learn from the best practices of other banks
  • Be a successful Yield Curve Rider
  • Maximize net interest income; Stabilize Customer Margins & enhance your bank´s economic profitability

Who should attend?

Division Heads, Senior Managers, Managers and Specialist of the following:

  • Group Treasury
  • Asset Liability / Asset Management
  • Risk Management / Risk Control
  • Audit
  • Hedge Fund