Moorad Choudhry's Treasury & Risk Roadshow 

ONLINE ONLY

10th - 12th November, 2020

ABOUT

Professor Moorad will host a three day session in Dubai, next June, to lead a series of workshops covering key regulatory topics surrounding treasury and risk management.

The workshops guides participants through the key areas of bank asset-liability management (ALM): capital, liquidity, leverage, RWA changes and interest rate risk in the banking book, to ensure that they are able to implement best-practice in their bank, and to optimise the “3-dimensional” balance sheet optimisation problem of meeting the differeing requirements of all stakeholders.

Interest-Rate Risk in the Banking Book (IRRBB) Best-Practice Principles will look at compliance with the Basel Committee’s standards on interest-rate risk in the banking book (BCBS 368) presents significant challenges to all banks with respect to measurement, calculation and hedging of interest rate risk, and this whole area is the subject of intense focus from the regulatory authorities. Banks need to ensure they are able to address all the requirements of the regulatory whilst ensuring regulatory capital optimisation

Finally the three day session will finish with a look at the asset-liability committee (ALCO) and why it is the primary balance sheet risk forum in a bank, and recognised as such by the Regulatory Authorities. The purpose here is to ensure the delegates understand an efficient ALCO process enables a bank to manage risk effectively and optimise its balance sheet, with resulting positive impact on profit. 

AGENDA

I. Basel III/IV - Workshop 

  • Ensure effective and best-practice ICAAP and ILAAP processes 

  • Apply strategic ALM discipline to ensure an optimised balance sheet 

  • Implement an integrated liabilities strategy that will optimise the liability structure while enabling efficient compliance with NSFR and LCR 

  • Manage the balance sheet efficiently to account for new capital regulations such as Leverage Ratio 

  • Ensure interest rate risk in the banking book is managed efficiently to minimise the regulatory capital charge 

  • Incorporate latest RWA changes into origination strategy to maintain effective balance sheet management 

  • Adopt an effective ALCO operating framework and governance mechanism that delivers an efficiently managed balance sheet 

 

 

II. Interest Rate Risk In the Banking Book - Workshop

  • Understand the value and importance of an effective IRRBB mechanism

  • Be able to ensure best-practice measurement, reporting and hedging for your bank’s IRRBB process framework

  • Understand the use, calculation and application of the two reporting measures (NII and EVE)

  • Implement a best-practice IRRBB regime in your bank

  • Operate your bank’s IRRBB process efficiently and effectively

 

III. ALCO Governance – Case Study

  • Understand the proper role of the asset-liability committee in Bank governance and risk management

  • Learn how to implement a genuinely effective and robust ALCO process

  • Become familiar with ALCO organisation and operating framework

  • Understand the ALCO as part of the balance sheet risk triumvirate

  • Draft, as part of a group exercise, the ALCO Agenda and MI Pack

 

SPEAKER

Professor Moorad Choudhry

Workshop Leader 

 

Professor Moorad Choudhry is the former Chief Executive Officer of Habib Bank AG Zurich in London, and Honorary Professor at University of Kent Business School. Prior to joining Habib Bank, Moorad was Head of Treasury at RBS Corporate Banking, Head of Treasury at Europe Arab Bank, Head of Treasury at KBC Financial Products and vice- president in structured finance services at JPMorgan Chase Bank. He began his career at the London Stock Exchange in 1989. 

Moorad is a Fellow of the Chartered Institute for Securities & Investment, a Fellow of the Institute of Directors and a member of the Board of Governors of the London Institute of Banking & Finance. He is on the Editorial Boards of the Journal of Structured Finance, Qualitative Research in Financial Markets, International Journal of Economics and Finance and American Securitization. 

Moorad has authored over 20 textbooks on finance and banking. 

 
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