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What are Quants Hub Workshop Days?


Quantshub.com is now live!

The Quants Hub offers workshop days in London, Frankfurt and New York where the presenter will be filmed (not the audience) for the forthcoming website. The events will be "quiet" workshops with the focus being on the presenter and all questions reserved for a Q&A session included at the end of each presentation. On the Quants Hub members website you will have access to the video of the workshop and the corresponding forum!

Quants Hub delegates receive extra benefits when they attend Quants Hub workshop days:

  • Free life membership to the Quants Hub website

  • The workshop presentation video you attend

  • The specific workshop presentation slides

  • Access to the corresponding Quants Hub closed forum & Webinar for follow up questions moderated by the presenter

  • Any additional software available as part of the learning experience

For those not attending the workshop days, Quants Hub also serves as a portal for distance learning of quantitative research techniques, where you will be able to purchase our online training video products and learn at your leisure.

Quants Hub includes interactive closed individual forums for each specific workshop to include your distance learning questions going forward. Quants Hub delegates who purchase distance learning products shall automatically become a lifelong member of the Quants Hub benefiting from future webinar offers and other special events.

All this for only £799.00 + UK VAT. 

This is a new training concept in our fast moving world, give it a go!

Friday 4th April: Advanced Bank Liquidity Risk Management: Tools and Techniques for World-Class Practical Implementation by Moorad Choudhry

Advanced Bank Liquidity Risk Management: Tools and Techniques for World-Class Practical Implementation

Presenter: Moorad Choudhry is IPO Treasurer, Group Treasury at Royal Bank of Scotland and Visiting Professor at the Department of Mathematical Sciences, Brunel University. He is author of Bank Asset and Liability Management and The Principles of Banking, both published by John Wiley & Sons (Asia) Ltd.

This one-day course provides business best-practice tools and techniques for bank liquidity risk management. Aimed at senior or experienced Treasury and Finance practitioners, it is an advanced-level workshop that covers the complete spectrum from governance and policy to risk measurement and stress testing. Delegates should leave with a complete understanding of leading edge banking liquidity risk practice, delivered within the overall context of asset-liability management (ALM) and balance sheet risk management.

Key Features:

  • Board risk appetite statement of liquidity risk tolerance
  • Measuring liquidity risk: liquidity metrics suite
  • Liquidity strategy – Bank policy and risk governance
  • Liquidity policy statement
  • Stress testing, scenario analysis and planning for failure
  • Liquidity risk management: limit setting
  • Funds Transfer Pricing
  • The yield curve and internal curve setting
  • Bank Regulations, Basel III LCR/NSFR and the New Liquidity Paradigm
  • Integrated balance sheet approach: asset origination and liability raising
  • Liquidity risk and liabilities strategy


Workshop Content:

Primer on Liquidity Risk

Definitions and description
Liquidity risk in context of overall bank risk
ALM policy and strategy

Board-defined liquidity risk appetite and tolerance

Managing liquidity risk
Liquidity strategy – Bank policy and risk appetite
Liquidity risk management: limit setting
Defining liquidity limits
Liquidity policy:

  • Banking book funding policy
  • Securities funding policy
  • Derivatives funding policy

Measuring liquidity risk
Liquidity metrics: baseline metrics
Liquidity metrics: additional MI
PRA requirements

Stress testing and ILAA results + Pitts Ratio
Stress testing, scenario analysis and planning for failure
Making the management processes robust and responsive

Funds Transfer Pricing
Business best practice methodology and policy
Price setting: market implied and proxy measures

The yield curve
Business best-practice for setting the bank internal funding curve
Secured funding curve
WACF
Methodology and implementation

LAB eligible, plus LAB charge to businesses and LAB hedging

Bank Regulations, Basel III and the New Liquidity Paradigm
The regulatory focus
Liquidity and future liquidity concerns
LCR / NSFR implementation and implications for liabilities strategy

Case studies

Workshop Schedule: 09:30 – 17:30

Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30

Book the live course here!

Wednesday 30th April: Liquidity Risk Management (Part 1) by Antonio Castagna

Liquidity Risk Management (Part 1)

Presenter: Antonio Castagna, Partner, IASON

Liquidity and Banking Activity

  • The origin of the new financial environment
  • A Journey into Liquidity: Liquidity interrelations between banks and G-SIFI RegulationLiquidity interrelations between banks and G-SIFI Regulation:

                 Different types of liquidity
                 Vicious and virtuous effects
                 The role of central banks

  • Liquidity interrelations between banks and G-SIFI Regulation
  • New Regulation on Liquidity Risk

Monitoring Liquidity Risk

  • A Taxonomy of Cash-Flows
  • Liquidity Options
  • Quantitative Liquidity Risk Measures
  • The Term Structure of Expected Liquidity
  • Cash-flows-at-Risk

Liquidity Buffer and Term Structure of Funding

  • Liquidity Buffer and Counterbalancing Capacity . . . . . . 183
  • Causes of the Liquidity Buffer: Maturity Mismatch, Derivative Collateral, Off-Balance Sheet Commitments
  • Basel III Regulation and Liquidity Buffer

Workshop Schedule: 09:00 – 17:30

Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30

Thursday 1st May: Liquidity Risk Management (Part 2) by Antonio Castagna

Liquidity Risk Management (Part 2)

Presenter: Antonio Castagna, Partner, IASON

Models for Market Risk Factors

  • Stock Prices and FX Rates
  • Interest Rate Models
  • Default Probabilities and Credit Spreads
  • Expected and Minimum Liquidity Generation Capacity of Available Bonds
  • Fair Haircut for Repo Transactions and Collateralised Loans
  • Adjustments to the Value of Illiquid Bonds

Behavioural Models

  • Prepayment Modelling
  • Sight Deposit and Non-Maturing Liability Modelling
  • Credit Lines Modelling

The Links between Credit Risk and Funding Cost

  • Cash-flows Fair Values and Discounting
  • Critique of the Debit Value Adjustment
  • The DVA for Derivative Contracts
  • Dynamic Replication of the DVA
  • Accounting Standard and DVA
  • The Distinction between Price and Value

Cost of the Liquidity and Fund Transfer Pricing 535

  • Principles of Transfer Pricing
  • The Funding and the Banking Activity
  • Building the Funding Curve
  • Including the Funding Cost into the Loan Pricing
  • Monitoring of the Funding Costs and Risk Control of the Refunding Risk
  • Funding Costs and Asset/Liability Management
  • Internal Fund Transfer Pricing System
  • Best Practices and Regulation

Liquidity Risk and the Cost of Funding in Derivatives Contracts

Workshop Schedule: 09:00 – 17:30

Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30

Friday 2nd May: Bank Strategic Asset-Liability Management by Moorad Choudhry

Bank Strategic Asset-Liability Management

Presenter: Moorad Choudhry is IPO Treasurer, Group Treasury at Royal Bank of Scotland and Visiting Professor at the Department of Mathematical Sciences, Brunel University. He is author of Bank Asset and Liability Management and The Principles of Banking, both published by John Wiley & Sons (Asia) Ltd.

A high-level principles seminar for senior executives who work directly or indirectly with the ALM function and apply ALM principles at the CEO and ALCO level when determining bank strategy and risk management appetite.

Asset-liability management and liquidity management are the cornerstones of bank risk management. The premier executive challenge of the Basel III era is integrating these into bank strategy, such that they form an integrated part of every bank’s overall business model and drive customer engagement.


This advanced-level seminar is aimed at senior and experienced bankers and is of relevance to every member of a bank’s ALCO. It seeks to review key aspects of ALM and present the vital questions of how ALM, liquidity risk and ALCO governance should be set up and implemented at a bank. Delegates will be encouraged to critique different bank operating models and risk governance, with a view to determine collectively what represents business best-practice.

Key Features:

  • Strategy and capital
  • Capital structure and management
  • ALM introduction and overview
  • The risk management triumvirate: CFO, CRO and Treasury
  • Treasury operating model
  • NIM and NII: the ALM framework for the Banking Book
  • Liquidity risk management and funding policy
  • Funds transfer pricing and asset-liability origination
  • Liabilities strategy formulation
  • Credit rating agency considerations
  • Bank yield curve and asset origination pricing
  • Treasury input to strategy setting
  • Corporate governance and ALCO

Workshop Content:

Strategy and capital

  • Treatment of capital and reserves
  • Concept of no free funding and no “capital income” for business lines
  • Capital structure considerations
  • ROC and RAROC
  • Strategy setting within Basel III regime

Strategy setting

  • Pre- and post-crash models
  • Resource inputs
  • Treasury input to strategy setting

 Treasury operating model

  • Business best-practice governance and org structure

Managing NIM

  • Understanding net interest margin
  • Issues in preserving NIM: holistic balance sheet view

Liquidity risk management

  • The funding model: strategic principles
  • Liquidity policy statement and statement of liquidity risk appetite

Funds transfer pricing and asset-liability origination

  • Principles of internal funding
  • Funding policies for each business line
  • Correct FTP to ensure no disincentives in asset-liability raising
  • Interaction with NIM

Liabilities strategy formulation

  • The right funding model
  • Optimum funding strategy
  • Liabilities pricing and FTP

The yield curve

  • Understanding inputs and outputs
  • Interpolation model: not straight line!

Loan origination pricing: correct input parameters

  • Reviewing elements of loan pricing

The liquid asset buffer

  • Cash-securities mix
  • Funding principles
  • Portfolio selection for liquidity preservation not return

Managing interest rate risk in the Banking book

  • Business best-practice approach to hedging IRR
  • Hedging – not speculation!

Credit rating agency principles

  • Factors in determining the credit rating
  • Action when targeting a desired rating

Workshop Schedule: 10:00 – 17:00

Break: 11:15 – 11:30
Lunch: 12:30 – 13:30
Break: 15:00 – 15:15

Friday 2nd May: Theory and Practice for the Simulation of Credit Risk by Norddine Bennani

Theory and Practice for the Simulation of Credit Risk

Presenter: Norddine Bennani: Co-founder, BMA S.à r.l. Risk Management Solutions 

This presentation addresses the technical and practical challenges of the latest simulation techniques for Credit Risk.

It will focus first on the simulation of credit spread, default probability and default event. Then other critical elements of Credit Risk, including recovery rate and liquidity, will be reviewed in details.

The presentation takes a practical approach, taking into account market available information for calibration and benchmarking as well as implementation constraints.

Several numerical examples will be provided to illustrate model specific strengths and limitations.

1. Introduction

                1.1 Market and Regulatory Context

                1.2 Setting-up the Credit Framework

                1.3 Structural vs. Reduced Form Models

 

2. Intensity Models

                2.1 A Simple and Classical Approach

                2.2 Calibration and Simulation

                2.3 Numerical Examples

             

3. Credit Market Models

                3.1 Introducing the Survival Probability Measure

                3.2 Calibration and Pricing Examples

                3.3 Model Limitations: Default Event and Multi-Name Products

                3.4 Extended Credit Market Model

                3.5 Practical Implementation and Calibration

               

4. Advanced Intensity Models

                4.1 Limitations of Standard Intensity Models

                4.2 A Specific Form for the Intensity

                4.3 Calibration and Simulation

                4.4 Numerical Examples

               

5. Focus on Recovery Rate

                5.1 Modelling Recovery Rate

                5.2 Joint Simulation of Credit Spread, Default Event and Recovery Rate

                5.3 Coping with Systemic Risk

                5.4 Numerical Examples

 

6. Focus on Prepayment Risk and Liquidity Risk

                6.1 A Brief Overview of Prepayment Risk Modelling

                6.2 Taking into account Liquidity Risk

                6.3 Numerical Examples

 

7. Extension to Counterparty Risk

                7.1 A Brief Overview of Correlation Modelling

                7.2 Counterparty Risk, Wrong-Way and Right-Way Risk

                7.3 Numerical Examples

               

8. A Review of the Framework

                8.1 Blending Everything Together

                8.2 Simulation: A Critical Risk Management Tool


Workshop Schedule: 09:00 – 17:30

Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30

Details

Location:

Central London Hotel (venue to be confirmed)

Flight details:

All delegates flying into London on the morning of the event are reminded that they should arrive 30 minutes before the workshop starts for registration. The hotels West End location is approximately 1 hour from all 3 main London airports, Heathrow, Gatwick and City. Returning flights should equally allow for the events finishing time.

Sponsorship:

World Business Strategies offer sponsorship opportunities for all events, E-mail headers and the web site. Contact Sponsorship: +44 (0) 1273 201352

Disclaimer:

World Business Strategies command the rights to cancel or alter any part of this programme.

Cancellation:

By completing of this form the client hereby enters into a agreement stating that if a cancellation is made by fax or writing within two weeks of the event date no refund shall be given. However in certain circumstances a credit note maybe issued for future events.

Prior to the two week deadline, cancellations are subject to a fee of 25% of the overall course cost.