VAL UE
C R EAT I O N
&
RISK CONTROL IN A FAST CHANGING BANKING WORLD
&
A S S ET &
LIAB I L I TY
Mexico City 23 July, 2018
MANAGEMENT
JEAN DERMINE
PROFESSOR OF BANKING AND FINANCE INSEAD, FONTAINEBLEAU FRANCE
Description Introduction, a Fast Changing Banking World Basel 4 regulations on capital, liquidity, interest rate risk and corporate structure have significant impact on strategy, long-term value creation, performance evaluation, advanced fund transfer pricing, product pricing and Asset & Liability Management (ALM). The digital revolution, competition from Fintech players, the ultra-low interest rate level in some countries and large economic and political uncertainty create headwinds. As the banking world is shifting from an overriding concern for growth to a preoccupation with long-term value creation and risk control, knowledge of drivers of Bank Valuation and Asset & Liability Management is becoming a necessity for all bankers accountable for the results of a profit center. ALM is a tool that ensures that decision making, risk-taking and performance evaluation are consistent with the corporate objectives set by senior management and the board, and the regulatory constraints imposed by central banks, such as Basel 3 or Basel 4. During the seminar, Professor Jean Dermine will discuss the content of his book Bank Valuation and Value-based Management (Mc Graw-Hill, 2nd edition, NY, 2015) and participants will apply concepts with the bank simulation ALCO Challenge.
Who should attend? Bankers, bank analysts, auditors, or central bankers involved in bank valuation, Asset & Liability Management, and value-based management in banking. Participants should have some valuation experience and be familiar with basic finance concepts, such as discounting and the cost of capital.
JEAN DERMINE
Professor of Banking & Finance
INSEAD, FONTAINEBLEAU FRANCE
Jean Dermine (Belgian) is Professor of Banking and Finance at INSEAD and director of its Strategic Management in Banking and Risk Management in Banking senior executive programs. Author of numerous articles on sustainable growth and value-based management in banking, Jean Dermine has published five books, including Bank Valuation and Value-based Management (deposit and loan pricing, performance evaluation and risk management), McGraw-Hill, NY, 2nd edition, 2015 (with translation in Chinese and Portuguese-Brazil). His work has been profiled in the international press, such as The Economist, Financial Times, New York Times or Wall Street Journal. Jean Dermine was Visiting Professor at the Wharton School, at Lausanne, Louvain and Luxembourg, at CESAG in Dakar, the Stockholm Schools of Economics, and a Salomon Center Visiting Fellow at New York University. As a consultant, he worked with international banks, auditing and consulting firms, national central banks, European Central Bank, Bank for International Settlements, HM Treasury, the OECD, the World Bank, the European Commission, and the Mentor Forum for the US Supreme Court and the European Court of Justice.
ALCO Challenge This is a user-friendly computer package created by INSEAD Professors Joe Bissada and Jean Dermine. Based on thirty years of research in the field of Asset & Liability Management and development of computer simulations, ALCO Challenge offers the unique feature of being extremely transparent. To help participants understand the outcome of their decisions and enjoy a learning experience, state-of-the-art control tools have been build in :
● Audit reports on product profitability ● Repricing and liquidity gaps ● A Simulation model ● An Economic Value of Equity-at-Risk Report ● An Option Risk Report ● A Foreign Exchange Simulation.
ALCO Challenge (Basel 3-compliant) can operate in English, French, Spanish, Portuguese and Russian.
Day One
July 23th, 2018
Pre-reading: Case Bank Valuation (by Jean Dermine) (to be read the evening before) 08:45
Registration of participants and coffee
9:00 - 9:15
Introduction
The Determinants of the Market Value of a Bank 9:15 - 10:45
A transparent Bank Valuation model provides solid foundation for bank management. Determinants of the Market Value of a Bank, Four Methods
10:45 - 11:00 Break 11:00 - 1300
The Determinants of the Market Value of a Bank (cont.) Valuation Exercises
13:00 - 14:30 Lunch 14:30 - 16:15 Group work Case: “Bank Valuation” 16:15 - 16:30 Break 16:30 - 18:00 Plenary session Case “Bank Valuation”
Day Two
July 24th, 2018
Asset & Liability Management (I) 9:00 - 10:30
Asset & Liability Management, an Introduction to Corporate Financial Goals and Value Center Management. Advanced Fund Transfer Pricing and Liquidity Risk.
10:30 - 10:45 Break 10:45 - 13:00 Introduction to ALCO Challenge. ALCO Challenge, Decision 1 13:00 - 14:30 Break 14:30 - 16:00 Basel 3-4 Capital, Value-Based Loan Pricing and Loan-Loss Provisioning 16:00 - 16:15 Break 16:15 - 18:00 ALCO Challenge, Decision 2
Day Three
July 25, 2018
Asset & Liability Management (II) 9:00 - 10:30
The Control of Interest Rate and Liquidity Risks on the ‘Banking’ book. Financial Futures, a Review.
10:30 - 10:45 Break 10:45 - 12:30 ALCO Challenge, Decision 3 12:30 - 14:00 Break 14:00 - 15:00 Aggregation of Trading Risks Fundamental Review of Trading Book Options a Review 15:30-15:45
Break
15:45-17:15
ALCO Challenge, Decision 4
17:15-17:45
ALM Summary, Results, Cheers and Sorrows
REGISTRATION E-mail:
[email protected] Telephone: (+5255) 7590 7305 & (+5255) 5669 4729 WWW.RISKMATHICS.COM Venue: UNIVERSIDAD ANÁHUAC MÉXICO SUR Trading Room Av. De las Torres No. 131 Col. Olivar de los Padres, Mexico City C.P. 01780 Price: $40,000 M.N. + IVA LIMITED OPENINGS
PAYMENT METHODS: 1. Bank Transfer and Cash Deposits (for Local Institutions) NAME: RiskMathics, S.C. BANK: BBVA Bancomer CLABE: 012180001105829640 BANK ACCOUNT: 0110582964 2. Bank Transfer in US Dollars (Foreign Institutions) Transferencia Bancaria en Dólares BANk: BBVA Bancomer BRANCH NUMBER: 0956 SWIFT: BCMRMXMM BENEFICIARY: RiskMathics, S.C. ACCOUNT: 0121 8000 11 0583 0066 3. Credit Card: VISA, MASTERCARD or AMERICAN EXPRESS IMPORTANT NOTICE: There will be no reimbursements.
