How to manage liquidity risk with Basel III Hong Kong

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How to manage
liquidity risk with
Basel III
Hong Kong
28-29 March 2012
COURSE HIGHLIGHTS INCLUDE:
• How is Basel III impacting the Asian financial system
• How can data be generated? What is the cost?
• How to model and capture cash flows
• Adoption of the Basel sound practices paper
• Reasons for regulatory changes to global liquidity requirements
asiariskevents.com/liquidity_hk
BaseL III_Liquidity_HK2012_v8.indd 3
10/01/2012 4:27 PM
How to manage liquidity risk
with Basel III
Hong Kong 28-29 March 2012
About the course
Learning outcomes
Whilst Asia has weathered the financial crisis fairly
unscathed, parts of new regulation are causing
concern in the region. Most Asian banks will not
have a problem with new capital requirements
but the big challenge will be if there is a lack of
liquidity. Australia, Hong Kong and China have all
issued guidance and additional papers on liquidity
requirements. Many Asian banks should be looking
at liquidity risk as a major concern however
regulators are concerned that banks are not being
as active in this area as they could be.
• An in-depth anyalsis of the liquidity requirements
by the HKMA
• Understand how to model and capture cash
flows
• Evaluate the impact of international regulations
on Asia
• Discover how to integrate internal liquidity risk
management within the Basel III process
• Analyse the risk drivers and scenarios of stress
testing
In addition, to the recent reforms by the Basel
Committee on Banking Supervision aimed at
improving the capital and liquidity positions of
financial institutions, the HKMA issued, in April
2011, a supervisory guideline on “Sound Systems
and Controls for Liquidity Risk Management” to
provide more detailed guidance to the industry
on how banks are expected to comply with the
enhanced risk management standards set out in
the 2008 BCBS Liquidity Sound Principles. Further
guidance is expected in early 2012.
Who should attend?
As Asia seems to be setting themselves a more
advanced adoption process, Asia Risk is delighted
to present a two day focused training course
aimed at providing examples and practical
solutions for the improvement of liquidity risk
management.
To enquire about our upcoming training
courses you can email us at
[email protected]
Certificates of
attendance are available
upon request.
COMPANY TYPES:
• Local banks
• Investment banks
• Insurance firms
• Pension funds
• Hedge funds
• Regulators
• Consultants
JOB TITLES
• Head of balance sheet management
• Head of liquidity risk management
• Head of asset liability management
• Treasurers
• Head of risk management
• Analysts
• Head of investment
• Chief risk officers
• Head of global funds
• Head of market risk
• Head of credit risk
• Economic capital
• Financial stability
• Transfer pricing
Registering three or more people?
Apply for an exclusive group rate today at
[email protected].
Book now
call— +852 3411 4836
email— [email protected]
web— asiariskevents.com/liquidity_hk
BaseL III_Liquidity_HK2012_v8.indd 4
10/01/2012 4:27 PM
How to manage liquidity risk
with Basel III
Hong Kong 28-29 March 2012
Day 1 9.00
9.30
11.00
11.30
Wednesday 28 March 2012
Registration
Implications of new regulations in Asia
• How are Basel III and G20 regulatory initiatives impacting the Asian financial
system?
• What challenges will Asian financial institutions have with the Dodd Frank act?
• What impact will the Volcker rule have on Asia?
• How do you harmonise all the new regulations?
Coffee Break
Regulatory expectations for liquidity in banking
•
•
•
•
•
•
•
Reasons for regulatory changes to global liquidity requirements
Solvency versus liquidity
Managing liquidity risk
Liquidity coverage ratio
Net stable funding ratio
What constitutes an acceptable liquid asset?
Long-term funding vs. short term solutions
13.00
Lunch
14.00
Case study on HKMA and CBRC’s perspectives on Liquidity Risk
Management
•
•
•
•
15.30
16.00
17.30
Update on current timelines
HKMA requirements
CBRC requirements
Adoption of the Basel sound practices paper
Coffee Break
Practical Challenges for Implementing Basel III
•
•
•
•
How to raise liquidity in a non liquid environment
The role of capital in liquidity risk
Implications for internal analysis of liquidity risk and management
The commercial and economic implications of the new regulations End of day one
asiariskevents.com/liquidity_hk
BaseL III_Liquidity_HK2012_v8.indd 5
10/01/2012 4:27 PM
How to manage liquidity risk
with Basel III
Hong Kong 28-29 March 2012
Day 2 Thursday 29 March 2012
9.00
Registration
9.30
How to integrate internal liquidity risk management within
the Basel III process
•
•
•
•
11.00
11.30
Involved organisational units
Process between risk management and risk control
Integration of Basel III in the existing liquidity risk framework
Use of the same data for internal purposes and Basel III
Coffee Break
Stress testing liquidity
• Basel III scenarios
• The risk drivers and scenarios of stress testing
• Building scenarios to cover liquidity – incorporating the major funding and market
liquidity risk
• Backward looking versus forward looking scenarios
• Frameworks for calculating and valuing the results
• Incorporating tests into the business model and communicating results to senior
management
13.00
Lunch
14.00
Regulatory demands on modeling cash flows and data and
systems issues
•
•
•
•
•
•
•
15.30
16.00
17.30
What are the requirements under Basel III?
How can data be generated? What is the cost?
How to model and capture cash flows
How to develop characteristics of cash flow
Stress testing
Reporting across jurisdictions and issues with multi currencies
ALM systems issues
Coffee Break
Panel discussion on issues raised throughout the course
•
•
•
•
Challenges faced implementing these new requirements
Unanswered questions/unresolved issues
Maximising business benefit and operational efficiency from these changes
What is the new paradigm on liquidity risk management?
End of course
asiariskevents.com/liquidity_hk
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10/01/2012 4:27 PM
How to manage liquidity risk
with Basel III
Hong Kong 28-29 March 2012
Course tutors
Gary Melody
Partner risk consulting – Financial risk
management
KPMG CHINA
Gary has recently joined KPMG China,
based in Hong Kong, to lead the Financial
Risk management practice for Hong Kong
and China. He has been a Partner with
KPMG Australia for 6 years and spent the past 12 months
with KPMG London focused on liquidity risk management
projects. Prior to joining the Hong Kong practice, Gary has
worked in industry and advisory roles and has extensive
experience in liquidity risk management including business
case development for a strategic system solution for a large
Australian bank.
Gary has lead numerous projects on liquidity risk including
being the project lead to undertake feasibility analysis,
project plan development and integration planning for
the merger of 2 Australian banks IRRBB, FTP and liquidity
risk management capabilities. Reviewing of a liquidity risk
management framework, policy, infrastructure and reporting
for a major Australian banc assurance group post the GFC.
Advising a major banking group on strategic direction for
redevelopment of FTP capability.
Gary’s experience includes responsibility for all aspects
of global analysis and reporting of interest rate and liquidity
risk exposures for a major Australian trading bank, including
risk modeling, development of balance sheet metrics,
product profitability analysis and funds transfer pricing.
Project management on the implementation, of a market risk
engine to quantify and analyze risks across all debt capital
markets, foreign exchange and derivative products at a
major Australian trading bank. Designing a target operating
model, market risk management framework and functional
specifications for key infrastructure elements for a major
Chinese banking group.
Rita Yeung
Head of Division A in the Banking Policy
Department
Hong Kong Monetary Authority
(“HKMA”)
Rita Yeung is the Head of Division A in the
Banking Policy Department of the Hong
Kong Monetary Authority (“HKMA”). She
is responsible for the development of banking supervisory
policies relating to areas such as credit, market and liquidity
risks, and is involved in the implementation of international
capital and liquidity regulatory standards as well as the
development of regulatory regime for OTC derivatives
transactions in Hong Kong. She is currently the HKMA
representative in the Basel Committee’s Working Group
on Liquidity, and has participated in the development of
the Principles for Sound Liquidity Risk Management and
Supervision issued by the Committee in September 2008
and the proposed global liquidity standards issued by the
Committee in December 2010. She joined the former Office
of the Commissioner of Banking in December 1990, and took
up the present position in January 2000.
BaseL III_Liquidity_HK2012_v8.indd 1
Sandy Lin
Director, Risk consulting – Financial Risk
Management
KPMG CHINA
Sandy joined KPMG in 2008. She has more
than 13 years’ working experience in risk
management from both banking and
consultant industries. So she has good
understanding of the banking clients’ requirements and
concerns. She is very familiar with regulatory requirements
including guidelines issued by the HKMA, CBRC and the Basel
Committee on Banking Supervision, including the regulatory
requirements on liquidity risk management.
During the past several years, she has been in charge
of several large projects that covers risk management and
capital management under Basel II and worked together
with banks in HK and mainland China. She has been actively
involved with the discussion with regulator and industry on
the Basel III implementation and liquidity risk management,
and is currently involved in several LM-2/LCR projects for
banks in Hong Kong. She has deep insight of the Basel III
Liquidity Standards and good understanding of the liquidity
risk management framework.
Sandy has working experiences in both local banks in HK &
Singapore and European bank, covering various departments
including front office, credit policy, risk management, BII
Implementation office and risk inspection.
Sandy has been following Basel II since its first consultative
paper issued in 2001 and has 10 years BII experience,
including BII implementation under the most advanced
approaches for credit, market and operational risks in an
European banks that has obtained regulatory approval to use
these advanced approaches.
Andrew Martin
Head of funding and liquidity risk
management
DEUTSCHE BANK
Senior representative
CLIFFORD CHANCE
For full speaker bios, please visit our
website: asiariskevents.com/liquidity_hk
10/01/2012 4:27 PM
k
How to manage liquidity risk
with Basel III
Hong Kong 28-29 March 2012
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