Event Agenda


26th June 2019


Registration and refreshments


Welcome remarks: Philip Alexander, Regulation Desk Editor, Risk.net


Chair's opening remarks: Adrian Docherty, Managing Director, Head of Bank Advisory, BNP Paribas


Keynote address: Prudential bank regulation - On the benefits of flexibility

Victoria Saporta, Executive Director of Prudential Policy Directorate, BANK OF ENGLAND


Panel: Liquidity stress testing and scenario analysis

  • What are the regulators’ expectations on internal stress testing?
  •  Dealing with the unknown: Preparing assumptions for your internal stress model
  • How do internal stress tests compliment a risk management framework alongside regulatory and quantitative limits?
  • Reverse stress testing, additional stress testing, intercompany stress testing

Moderator: Dimitris Papathanasiou, Head of EMEA Treasury and Liquidity Risk, Credit Suisse

Damian Harland, Global Head of Liquidity Risk, HSBC

Dmitry Shibaev, Head of Stress Testing, Natwest Markets NV

Sebastjan Smodis, Global head of Liquidity Risk Management, State Street Global Advisors


Presentation: Cross Currency basis risk

  • What is cross currency basis risk?
  • Term structure and correlation between different currencies
  • Emerging market funding
  • What banks can do to manage the risk? Which areas can create exposure?
  • Mitigation strategies
  • Key considerations when calibrating a liquidity risk framework

Dimitris Papathanasiou, Head of EMEA Treasury and Liquidity Risk, Credit Suisse


Morning coffee and networking break


Presentation: TLAC and MREL – Impact of bail in rules on funding and liquidity management

  • What are the top regulatory requirements?

  • How does bail-in effect your balance sheet management?

  • Finding an appropriate  funding strategy – changes in the liquidity management

  • Allocating the specific funding cost to your business lines – a matter of ftp?

Christian Hasenclever, Head of Strategic ALM, Norddeutsche Landesbank 


Presentation: IRRBB in liquidity risk

  • IRRBB – how does interest rate risk management link to liquidity and funding risk

  • Status quo IRRBB regulation – required changes and impact on interest rate and liquidity risk management

  • Current market environment and challenges for IR / NII and liquidity risk

Thomas Becker, Director, Treasury CIO, Deutsche Bank


Panel: STS and the future of securitization as a funding tool in Europe

  • Examining recent STS regulatory updates

  • Best practice approaches to implementing and managing STS

  • What are the limitations?

  • Establishing and managing effective data and reporting processes

  • Interplay with other regulations; Basel III, IV, NSFR and Libor

Moderator: Philip Alexander, Regulation Desk Editor, Risk.net

Krishan Hirani, Head of Secured Funding, Treasury, Nationwide

Ian Bell, Chief Executive Officer, Prime Collateralised Securities (PCS)

Erik Parker, Executive Director, ABS Strategy, Nomura International


WAR GAMES - How resilient is your environment?

During this session, participants are presented with an unfolding liquidity risk scenario and tasked with considering the immediate steps they would advise their firm to take based on the information available at each stage

PART I: Scenario dissection and strategizing

  • Scenario one: US Treasuries shock– Led by Mihail Turlakov, Head of CVA/FVA Trading, Sberbank CIB

  • Scenario two: Managing impact of adverse news on your company’s intraday liquidity requirements – Jacek Rzeznik, Deputy Director, Balance Sheet Risk Management, mBank

  • Scenario three: Modelling of recovery and resolution planning - Ravi Savur, Former Managing Director, Head of Market Risk Portfolio Metrics, Citi 

PART II: Harvest session

Each leader will summarise their POA of the discussion and present it back to the table participants with comments


Lunch and networking break


Presentation: Implementing a robust liquidity management framework in the presence of dynamic  and variable customer behaviour

  • How are liquidity and funding models impacted by customer behaviour
  • Different behavioural models
  • leverage advanced statistical frameworks for  behavioural models
  • Stress behavioural and segmentation models
  • Behavioural models in comprehensive ALM and funding programme
  • Sources of data for behavioural and segmentation analytics  
  • Linking behavioural models to intraday liquidity

Sidhartha Dash, Research Director, Chartis Research


Fireside chat: Updates on NSFR – Preparing for 2021

  • How are firms managing NSFR and meeting compliance requirements?

  • Impact on transfer pricing

  • What are firms reporting?

  • How do you optimise across all of the metrics?

  • How do non-ring-fenced entities overcome NSFR challenges

Moderator: Philip Alexander, Regulation Desk Editor, Risk.net

Andrew Reid, Managing Director, Global Head of Liquidity Management, Deutsche Bank


Afternoon refreshment and networking break

Knowledge cafes: Grab a coffee and join a table of your choice to share ideas and network with fellow industry professionals

Roundtable 1: Libor - Ravi Savur, Former Head of Market Risk Portfolio Metrics, Citi

Roundtable 2:  Stress testing -  Dmitry Shibaev, Head of Stress Testing, Natwest Markets NV

Roundtable 3:  Liquidity modelling - Sanja Hukovic, Head of Model Risk Management, London Stock Exchange


Presentation: Managing liquidity from OTC clearing

Robert McWilliam, Managing Director, Financial Markets, ING Bank NV


Presentation: Advances in liquidity modelling – Aims, requirements and best practices

  • Regulatory requirements and investor expectations relating to liquidity risk

  • Approaches to modelling “black swan” liquidity events

  • Machine learning in liquidity risk modelling

Sanja Hukovic, Head of Model Risk Management, London Stock Exchange


Presentation: Managing the liquidity risks for banks posed by climate change

  • Regulatory expectations of how financial services firms should manage climate change risks

  • Anticipating and managing the risk associated with the transition to a low carbon economy

  • Anticipating and managing the physical risks that could arise

  • Examining BoE’s focus on disclosure, scenario analysis, governance and embedding climate change within existing risk frameworks

  • Engaging the board and taking a strategic, long-term view of climate impacts

 Bill Powell, Head of Liquidity Risk, Santander UK


Closing remarks: Adrian Docherty, Managing Director, Head of Bank Advisory, BNP Paribas