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Deposit Modeling Conference: New York Aug 2019

August 28, 2019 @ 08:30 - August 29, 2019 @ 17:00 EDT

I will be giving three presentations on August 28th at Risk Training’s 2-day Deposit Modeling Conference in New York.

Presentation 1:

PART ONE: The Problems of Risk and Profitability Management
  • Interest rate risk management
  • Liquidity risk management
  • Profitability and capital management

Presentation 2:

PART TWO: Funds Transfer Pricing – The Secret to a Meaningful Story of How a Bank Makes Money
  • The Solution:  Funds Transfer Pricing
    • The theory and math of FTP
    • The mismatch center explained
    • Synchronizing mismatch risk dynamics with consolidated entity risk dynamics
  •  The Winners:  Risk Management, Budgeting, Forecasting and Performance Management
    • How FTP informs and enhances risk management
    • How FTP supports meaningful and granular budgeting/forecasting exercises
    • How FTP enables accountability and enhances performance management
  • Governance and Accountability
    • Roles and responsibilities of ALCO, ALM, Finance and the business units
    • Ownership of behavioral assumptions and the role of FTP
    • Break-funding analysis and earnings management

Presentation 3:

Modeling Non-maturity Deposits to Align Risk and Profitability Management
  • NMD Behavioral Requirements of Interest Rate Risk, Liquidity Risk and Profitability Management
  • NMD Model Demonstration
    • Vintage-based modeling framework
    • Rate elasticity (beta), decay function and balance volatility (core/non-core)
    • FTP engine (MMFTP calculations)
    • Margin analytics (historical, current and pro forma)
    • Monitoring and assumption maintenance
    • Product pricing and performance management

For the full agenda, click here.


0207 316 9023


Downtown Conference Center (NYC)
157 William Street
New York, NY 10038 United States
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