Treasury & ALM Congress agenda
Day Two
8:00-8:50
Registration and breakfast
8:50-9:00
Chairs opening remarks
Day 2 Moderator: Michael Guglielmo, Managing Director, Darling Consulting Group
9:00-9:45
CAPITAL – PANEL DISCUSSION
Managing external pressures for heightened capital with market instability and regulatory change
- Reviewing the interplay of capital with risk disciplines
- Interplay with liquidity, interest rate risk, and credit risk
- Impact of credit risk on capital structure
- Risk ratings of credit modeling and activity
- Reviewing management of models and non-models for capital
- Developing appropriate reviews and challenge of models and non models
- Robust review and challenge of interplay of risks
- Instability of deposit and wholesale funding
Aleksey Leksanov, Managing Director, Head of Model Risk Management, Mizuho
Jorge Segura, Senior Director, ALM Market Risk, Santander US
Xiaowei Han, Head of ALM, TIAA
Benji Stephens, Industry Principal, Workiva
9:45-10:20
BALANCE SHEET MANAGEMENT
Sleep is overrated: If you manage a balance sheet, here are five things that should keep you awake at night
- Traditional assumptions vs. technological evolution… who ya got?
- Falling knives and fire sales… What color is your parachute?
- What hidden risks are lurking in your otherwise pristine balance sheet?
- Plumbing… is there a more surefire conversation starter?
- Rapid changes, long and variable lags – are there shoes just waiting to drop?
Oskar Rogg, Managing Director, Head of Treasury, Credit Agricole CIB; Fintech Leaders Advisory Board member, CeFPro
10:20-10:50
Morning refreshment break and networking
10:50-11:25
DRIVING BETTER DECISIONS
Maximizing the value of treasury & ALM with profitability
- Profitability
- What happened to it?
- Why now?
- Aligning decision making from top to bottom
- Synchronizing systems
- Matching accountability with authority
- Restructuring the team
- All for one and one for all
Will Newcomer, , Empyrean Solutions
11:25-12:00
FUNDING
Reviewing sources of funding in the long and short term amidst continued economic change
- Secured and unsecured funding
- Impact of stress environment on funding
- Approaches to stabilize funding
- Funding sources for capital planning
- Structuring the balance and diversifying funding sources
- Implementing contingency plans to manage funding
- Internal plans for funding outside of central banks for security
- Impact of funding market due to current economic change
Katya Ternyayeva, Managing Director, Americas Head of Liquidity and Funding, UBS
12:00-1:00
Lunch break and networking
1:00-1:35
CFP
Managing heightened alertness and awareness as a result of market events on contingency funding planning
- Operationalizing contingency funding plans
- Prioritizing contingency funding planning to comply with Fed expectations
- Lessons learned from SVB
- Monitoring collateral and testing
- Testing discount windows to access collateral
- Understanding reaction to idiosyncratic systemic events
- Early warning indicators and KRIs to monitor breaches
- Understanding requirements for testing and application to real-world scenarios
Christopher Sadej, Risk Specialist, Office of the Comptroller of the Currency (OCC)
1:35-2:10
SUPERCHRGE YOUR ALM GAME WITH MACHINE LEARNING
- Introduction to Machine Learning
- Implementing Machine Learning in ALM
- Unlocking Benefits for Financial Institutions
- Practical Applications: Interest Rate Prediction
- Example of ML in ALM – Bridging Theory and Practice.
Sergio Cardona, Quantitative Leader, Mirai
2:10-2:40
Afternoon refreshment break and networking
2:40-3:15
TECHNOLOGY
Leveraging AI and analytic capabilities and understanding associated risks
- Analyzing behavioral models in real-time
- Monitoring consumer behavior and migration
- Monitoring social media for mentions
- Impact of social media on the run on SVB
- Explainability and validation of models
- Reviewing use cases and lessons learned from implementation within treasury teams
- Monitoring outputs to ensure the accuracy of models
- Future of regulation of AI and machine learning
Armel Roméo Kouassi, Senior Vice President, Global Head of ALM, Northern Trust
Corporation; Fintech Leaders Advisory Board member, CeFPro
3:15-3:50
ENTERPRISE ALM
Integration of ALM across risk disciplines and developing effective internal reporting
- Providing management with a holistic view
- Sensitivity and scenario-based analysis complexity
- Including market changes in the analysis
- Updating tools to manage the level of risk
- Manifestation of many risks as a liquidity concern
- Reviewing interdependence of risks
- The ripple effect of risks through to ALM
- Scenario requirements for treasury teams to include all risks
Mitchell Chad, Managing Director Stress and Impairment, Modeling and Analytics, RBC
Jonathan Liu, Senior Treasury & Risk Professional, RBC
3:50-4:35
2023 CRISIS – PANEL DISCUSSION
Review of 2023 banking crisis: Lessons learnt from events leading up to multiple bank collapses
- Reviewing events leading up to each collapse
- Lessons learned to protect against future crises
- Regulatory approaches to enhance resilience
- Reviewing diversification strategies
- Concentration of 2023 collapses to tech and crypto markets
- Managing balance sheets effectively to mitigate risk
- Managing resource requirements to conduct review
- Additional changes required as a result
David Hough, Lead Advisor Balance Sheet Management, FIS
Teresa Tian, Director of Market and Liquidity Risk, Brighthouse Financial
Jianran (Jenny) Li, Managing Director ALM, Goldman Sachs
Frank Sansone, Treasurer, SVP – Head of Treasury, China Construction Bank
Charlie Peng, SVP and Head of Treasury, Bank of China
4:35-4:45
Chair’s closing remarks
4:45
End of Congress
