Course dates
Course Overview
This 3-day seminar 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 realisations from modelling and in some cases arbitraging customers financial behaviour.
The case studies are derived from experiences in treasury operations of large, multinational money centre banks.
The customer groups encompass retail and institutional borrowers such as mortgage holders as well as depositors. As banks attempt to maximise 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 elasticity’s with financial risk factors. These models are often parameterised 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 utilisation of such models.
The course covers:
At the end of this course, participants will have gained insight on most advanced models for hedging customer behavioural risks inherent in treasury banking books. Participants will develop optimal solutions specific to their own institutions and learn about best ways to back test their results.
- The treasury business remit
- Residual risks in treasury operations
- Treasury operational models
- Customer replicating investment portfolio
- Transfer pricing sensitivities
- The yield / spread trade–off in model portfolios
Who should attend?
The course will be of value to professionals in the following areas:
- Group treasurers
- Asset-liability managers
- Risk managers and risk controllers
- Auditors
- Asset managers
- Hedge fund managers
Day 1
The treasury business remit:
- The treasury 'banking books': net interest income generation (with / without customer margin)
- Liquidity risk (internal lender of last resort)
- Re-pricing risk (interest rates, FX)
- Maturity mismatch risk and the dynamics of liquidity gaps
- Case study: US mortgage bank
- ST (MT & LT) funding and securing of contingent funding / liquidity sources
- Regulatory compliance and rating safeguarding
Residual risks in treasury operations
- Counterparty default and settlement risks
- Operational Risks
Treasury operational models
- Margin stabilisation models
- Group case study in Excel
- Yield curve manager ('Yield curve rider')
Day 2
Customer replicating investment portfolios – example
Optimisation functions:
- Margin stability
- NII maximisation (with volume elasticities)
- Advanced models: dynamic customer elasticities
Historical backtesting and calibration conundrums
- Estimating customer prepayment behaviours
- Estimating deposit elasticities to st rates
- Sticky and variable deposits in low and high interest rate environments
- Group case study
Transfer pricing sensitivities
- Spot rate effects
- Moving average rate effects
- Example: treasury impacting corporate strategy
- Case study: modelling non maturing assets and liabilities
Day 3
The yield/ spread trade-off in model portfolios
- Asset liquidity risk in model portfolios
- Rollover risk
- Case study in Excel
- Dynamic vs. Static replication – minimising counterparty risk in the macro-swap portfolio
Illustrative example from a large mortgage bank
- Case study: modelling st liabilities for a retail bank
- The contribution of model portfolios to the overall ALM strategy
- Group discussion: should the treasury be run as a 'service' or 'profit' centre?
- Impact on model portfolios
Centrally located hotel in Paris, Paris, France
This programme takes place on a non-residential basis at a hotel in central Paris. Non-residential course fees include training facilities, documentation, lunches and refreshments for the duration of the programme. Delegates are responsible for arranging their own accommodation, however, a list of convenient hotels (many at specially negotiated rates) is available upon registration.
-
Andre Horovitz
In over 20 years of financial services experience, Andre Horovitz has gained insights into industry best practices of some of the leading financial institutions in the world.
Andre started his banking career at Lehman Brothers as an Investment Banking Associate in 1988. He was responsible for pricing, developing hedging strategies and marketing exotic interest rate derivatives.
He has subsequently held senior executive positions at Oliver, Wyman & Co., Commerzbank, HVB Group (currently part of Unicredit), Erste Bank, Credit Suisse and Nagler & Company.
At Erste Bank and Credit Suisse, Andre held the positions of Chief Risk Officer and was a member of the top management committees of the respective institutions.
He is a frequent speaker at various risk management conferences and a contributor to various industry journals. He has held teaching assignments in financial risk management at the Technical Universities of Munich and Vienna.
Andre has been training banking executives for over 8 years via engagements with prestigious organisations and has lectured on a variety of risk management related topics at all levels (introductory to advanced). His areas of expertise cover all classes of financial risk management, including the important link to overall institutional strategy.
As an instructor, he is known for combining the theoretical underpinnings of financial risk management methods with real life practical case studies drawn from his working experience as a risk management executive. He likes to motivate course attendees to develop practical and implementable solutions to problems via practical case studies.
Andre holds a Diploma in Hydraulics Engineering from the Technical University of Bucharest and an MBA in Finance from New York University´s Stern School of Business. He is a Licensed Professional Engineer in New Jersey and Michigan, a Registered Securities Representative in New York and a GARP (“Global Association of Risk Professional”) certified Financial Risk Manager (“FRM®”).
Courses run by this instructor
Interested in holding this course in-house? Please fill out your details and a member of our team will be in touch with more information.
Course dates