Following the financial crisis, banks realised the need to adopt a more holistic view of their balance sheets. The traditional ‘silo-driven’ view of Risk Management, with every department focusing on individual risk factors, revealed its structural limits: market, credit and liquidity risks represent only part of the whole picture, and institutions need to analyze risk in its entirety.
At the same time, national and international supervisors have sought to understand the impact of adverse scenarios with a broader and deeper perspective, through advanced integrated stress testing. Holistic balance sheet simulation and stress testing exercises demonstrate key methodological and IT challenges, and greatly impact the way banking groups manage their KPIs and maximize value for the business.
We’ve gathered industry experts from some of Europe’s leading banks to get their take on the challenges of holistic balance sheet management and the best practices to ensure an optimal balance sheet, before a brief overview of Prometeia’s solution to increase the effectiveness of Integrating Balance Sheet Management followed by an interactive Q&A with participants.
Christian Hasenclever - Head of Strategic ALM, Nord LB
Christian Hasenclever is the head of Strategic Asset and Liability Management (ALM) at NORD/LB's Treasury department in Hannover. He manages the strategic liquidity risk position incl. funding planning and he is in charge of the group-wide internal Funds Transfer Pricing system. That includes the constant conceptional enhancement of the liquidity risk management and of the FTP-system as well as the coverage of regulatory developments relating to liquidity management and FTP. Before he was the head of a Strategy and Modelling - a unit within Treasury, which had a special focus on developing an advanced pricing model for embedded options in wholesale loans. Prior to that he worked for Bremer Landesbank as a portfolio manager and expert within ALM.
Amit Kalyanaramun - Head of Liquidity Risk, Credit Suisse
Amit has got extensive Treasury and Risk Management experience with banks across different countries. He has worked with global banks for the last 13 years and his roles have spanned a number of functions. His expertise ranges from funding and liquidity activities at the money market desk to the development of sophisticated risk management analytics, covering Liquidity, Interest Rate Risk, Funds Transfer Pricing and Asset-Liability Management. He is a qualified Chartered Accountant, CFA Charterholder and Financial Risk Manager.
John Hoque - Head of Balance Sheet Optimisation & Solutions , RBS
John Hoque is the Head of Balance Sheet Management for NatWest Markets Treasury within RBS Group. He is in charge of Liquidity Management, Funds Transfer Pricing, Balance Sheet Optimisation and Treasury Execution for the investment bank (NatWest Markets). Prior to his role at RBS, he was at Aviva involved in Equities derivatives hedging for the Group and at Bank of America on the Money Markets desk.
Mattia Raudaschl - Senior Advisor, Prometeia
A senior advisor in Prometeia since 2014, he has been leading both financial and credit risk projects, involving CRO and CFO departments, in several major European banks. A graduate with honours in Financial Economics from the University of Brescia in 2009, he still cooperates as Assistant Professor in finance and banking training programs. Before joining Prometeia, he worked for Ernst & Young and Banco-BPM Banking Group in Milan as risk manager in financial risk department. His current business and research interests are mainly focused on risk-adjusted balance sheet simulation.
Massimo Pedroni - Head of International Business, Prometeia
A partner in Prometeia since 2015 and head of the International Business Practice since 2014, he coordinates the activities of the overseas branches of the Group based in London, Istanbul, Moscow, Beirut and Lagos. A graduate with honours in Banking Economics from the University of Modena in 2000, he completed a Master’s in Finance at London University. Before returning to Prometeia, he worked for KPMG and Lloyds TSB in London as head of the Model Governance & Validation department. His many years of experience as a Risk Management consultant have seen him work in over fifteen countries, managing major projects in Austria, Germany, Russia, Turkey, Central-Eastern Europe and the Middle East.