• calender-icon Event
  • Prudential Regulation
  • Posted: 04 Dec 2023

Advanced treasury risk and balance sheet management


  • Calender-Icon Time: 10:00 - 16:30
  • Location-Icon Location: London
  • Admin-Icon Organised By: BSA Events
  • Currency-Icon £490 Members / £695 Non-members

Due to popular demand, we now offer three tiers of treasury management training for BSA Members, Associates and Non-members. The courses will be repeated throughout the year and are to be booked individually via the booking form on the relevant event page:

  • An introduction to treasury management
  • Treasury risk and balance sheet management
  • Advanced treasury risk and balance sheet management (see below for details)

The objective of this course it to take a deep dive into liquidity risk and interest rate risk using practical workshop sessions. We will also analyse the output from management information and see how to read and understand key reports.

The course will be built around three key treasury areas of liquidity risk, interest rate risk and ALCO reporting. Following each session understanding of the subject content will be cemented in key breakout sessions.

Topics covered:

Recap on key principles
    - Maturity transformation and Net Interest Income
Introduction to the three key areas
    - Liquidity & liquidity risks
    - Interest rate risk (in the banking book)
    - ALCO and treasury risk reports

Session 1:
Measuring and managing liquidity risks 
    - ILAAP: Regulation and what is it trying to achieve?
    - Bank of England, role and current risks
    - Setting risk appetite
    - Risk drivers, scenarios and stress testing
    - Liquidity risk metrics

Breakout sessions: Risk appetite, key risk drivers; scenarios; understanding liquidity levels

Session 2:
Measuring and managing financial risks
    - Interest rate risk 
    - The impact of the interest rate cycle
    - Off balance sheet and embedded options
    - GAP sensitivity and reading the balance sheet
    - Hedging strategy and re-pricing/NII risk
    - Basis risk

Breakout session: Reading the balance sheet; interest rate changes, re-pricing risk, basis risk and earnings at risk

Session 3:
Governance and reporting framework 
    - Board, Risk, EXCO, ALCO and weekly operations
    - Joining up the relevant business functions
    - Making sure management has the right reports and understands the overall risks
    - ALCO pack and management/committee reporting
    - Example ALCO pack; detailed breakdown and discussion

Breakout sessions: Understanding Key Risk Indicators, reading the ALCO reports and challenging the output 

Who should attend?
The course will be useful for those who attend ALCO/Risk Committees, or work in related areas who require detailed understanding of treasury operations. 
It’s aimed at:
- those who work in first line lending and savings functions;
- executive and non-executive directors;
- senior management;
- second-line directors;
- managers and officers;
- auditors. 

This course can be booked in conjunction with the risk course that’s taking place the previous day, or as a stand-alone course for those who already have a good basic understanding of this subject matter. It’s also ideal for those who have previously attended the treasury risk course and wish to deepen their understanding in this area.

sessions.png  Timings:
  10:00am - 4:30pm (registration from 9:30am)

places.png  Venue:
  BSA offices, 23 Kingsway, London WC2B 6UJ

Currency-image.png  Cost:
  £490 per person (VAT exempt) - BSA Members & Associates
         £695 per person (VAT exempt) - Non-members 

contact.png  Contact:
  Please direct any enquiries to: events@bsa.org.uk

Course trainer:
Dean Carter is an experienced bank and building society balance sheet and risk professional having worked in both London and Paris. He has helped four firms gain their banking licences and specialises in strategic balance sheet management. This includes developing and integrating teams across the business, including savings, regulatory reporting and treasury teams. He has recently returned to consultancy and specialises in Treasury and balance sheet training, having left Recognise Bank where he was Group Treasurer.  He also lectures for the BTRM faculty and has started writing a book on Treasury and Balance Sheet Management aimed at non-banking professionals.

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