Developing institution-specific assumptions during this prolonged low rate environment can be a difficult process - but very doable. ALCOs must understand the critical model assumptions that drive sensitivity results, and take a quantitative as well as qualitative approach in developing these assumptions. This process will allow you to defend the model assumptions to your stakeholders and provide the confidence you need to truly understand your risk position.
During this webinar, Joe Kennerson will present ideas on how you can implement institution-specific assumptions as they relate to non-maturity deposit sensitivity (betas, decay rates, average lives and "non-core"), prepayment speeds, and loan pricing - and how to effectively stress test these assumptions. He will also share ideas on how this diligent process naturally transitions into strategic balance sheet discussions.
Highlights of this webinar will include:
• Best approach in developing institution-specific assumptions
• Identifying the critical assumptions that impact interest rate risk sensitivity
• Creating the balance between regulatory appeasement and strategic development
• How and why to stress test the assumptions
Managing Director, Darling Consulting Group
Joe Kennerson is a Managing Director at Darling Consulting Group. In this capacity, he works directly with financial institutions by providing solutions for their asset liability management process in the areas of interest rate risk, liquidity risk management, ALM modeling, regulatory compliance and executive-level education. He is a frequent speaker and author and directly advises clients in all aspects of ALM. Joe has been with DCG since 2005, where he began his career as a financial analyst and worked as product manager for DCG's contingency liquidity model, Liquidity360°.
Registration to the live session includes:
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- CPE credit for registrant
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Instructions for viewing the on-demand session will be emailed to you at the conclusion of the live
|| Earn up to 1.5 hours of CPE
- Level: Basic to Intermediate
- Prerequisites: None
- Advance preparation: None
- Field of Study: Finance
- Instructional Method: Live-Group
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