B an oo ds kb av y 1 eU 7 S $ Fe b 40 0! 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 BaseL III_Liquidity_HK2012_v8.indd 6 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 Registration & payment details I would like to book: Price Early Bird (before 17 Feb) Standard (after 17 Feb) US$2469 US$2899 * Asia Risk and Risk subscribers save 20%. 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