Page 9 - MONECO Financial Training Catalogue
P. 9

BANK ASSET-LIABILITY MANAGEMENT




        THURSDAY, SEPTEMBER 10              •  Managing Correlations Between      –   Bottom-up: Budget and pricing
           00
        09 – 09 15                          Products                           •  Articulating Risk and Value
         Recap                              •  IT And Data Concerns              –   Economic capital
           15
        09 –12 15                             –   Categories of IT tools used to      –   Measuring added-value
         Balance Sheet Risks Management       manage balance sheet risks       •  The Convergence of Risk and ALM
          Controlling Risks, Hedging and      –   Emerging technologies, machine   Operating Models
         Mitigation                           learning, intelligent reporting     –   Different objectives, different cultures,
         •  Tools for Risk Control and Mitigation                                 different silos
                                             15
           –   Limits, securitization and hedging  12 –13 15                     –   IFRS 9 breaks the silos
         •  Hedging                         Lunch
                                             15
           –   Interest rate and other derivatives  13 –16 30                  Current Issues
           –   Value and cash fl ow hedges   Perspectives on ALM                •  Macro-prudential Policy
           –   Micro and macro hedges       Economic Value Management          •  Sovereign and Systemic Risks
         •  Case Study: LTCM                •  The Management Mechanisms of the    •  Low Interest Rate
                                            Bank                               •  Latest Issues and the Future of ALM
         Operational Concerns                 –   Top to bottom: Capital allocation and
         •  New Production Modelling          global limits                    Seminar Wrap Up and Final Game












            Lecturer: Jean-Bernard Caen
            As a Policy Advisor within the consulting  fi rm PRNS ‘parnass’ since 2014,
            Jean-Bernard has been working on assignments for Financial Institutions in the
            areas of risk-fi nance interactions, ALM, capital allocation, risk appetite and the
            economic assessment of risks.
            Before that, as Head of Economic Capital and Strategy for Dexia group for 12
            years, he was in charge of Basel2 Pillar2 and Risk-Finance cooperation. He was
            instrumental in working out and implementing Economic Capital as the internal
            measure of risk. It was subsequently used in all risk vs. return processes across
            the group, such as Risk Appetite, Risk Budgeting, RAROC and Capital Planning.
            In 1990, Jean-Bernard founded the Management Consulting  fi rm Finance &
            Technology Management (FTM), which he ran for 12 years as the CEO. As such, he
            directed numerous assignments for European Financial Institutions in the areas of
            Shareholder Value, Risk Management, Capital Allocation and ALM.
            He is a member of PRMIA France Executive Committee, of AFGAP Management Board, and he teaches
            at the French National School of Economics and Statistics; he is also a senior lecturer and he published
            numerous articles.
            He is a French Civil Engineer and he graduated from MIT.






















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