Funds Transfer Pricing: Risk Taking, Pricing & Transfer and the Implications for IRR, Liquidity Risk & Profitability Management 2019 | Marcus Evans | 10 September 2019 | TBA, Houston, TX USA

Banks are in the business of maturity transformation and are therefore intrinsically exposed to interest rate risk (IRR) and liquidity risk (LR). This makes FTP an essential business management process for effective and meaningful risk and profitability management: Effective risk management requires that risks be identified, priced and transferred to where they can best be managed; any meaningful analysis of bank, business unit or product profitability must follow logically from this process. To quantify profits without explicitly and accurately acknowledging the contribution of IRR and LR is to manage by fiction.

This workshop will demonstrate the role FTP plays in the measurement and management of Interest Rate Risk (IRR), Liquidity Risk (LR) and profitability management at depository institutions. In addition to describing quantitative methods for risk pricing, the workshop also addresses frequently overlooked governance considerations relating to ALCO’s responsibility for the mismatch center. FTP will not function properly without explicit ownership or risk-related earnings. The workshop also explains why regulators world-wide are increasingly interested in how a bank uses FTP to acknowledge and price risk embedded within balance sheet products.

Exercises and real-life examples are used as pedagogical aids.

Who should attend?

This course is intended to benefit all members of a depository institution’s ALM committee, ALM analysts, FTP managers, Liquidity managers, Budgeting/Forecasting managers, Marketing directors and Product Profitability managers.

Key Topics:
• Understand the fundamental purpose of FTP and how this should guide all decisions related to methodology and process design
• Appreciate the need to have a common framework for risk and profitability management throughout the organization
• Recognize how business units benefit from the use of well-functioning FTP processes
• Learn how all measures of product and business unit profitability must be immunized from the impact of IRR and LR
• Analyse why regulators are increasingly interested how banks use FTP

2019 Speaker

David Green, PhD, CFA
Founder, David Green Advisors