Don’t Assume Your ALM Modeling Assumptions Are Right

Don’t Assume Your ALM Modeling Assumptions Are Right
Thursday, March 23, 2017
2:00 PM EDT, 1:00 PM CDT, 12:00 PM MDT, 11:00 AM PDT

How well do you trust the assumptions that feed into your risk models? Are the assumptions institution-specific or industry standard? Are they built to take a conservative stance to appease regulators? An institution’s interest rate risk position is only as good as the data and the assumptions that feed into the model. In a time in which industry standard assumptions are no longer accepted, it is vital that ALCO truly understands and develops effective assumptions in their risk models.

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

Faculty

Joe Kennerson
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:

  • One online connection
  • CPE credit for registrant
  • Permission to reproduce the handouts and other written material for additional attendees at your location

Only registered attendees of the live session can obtain CPE credit. Attendees of FMS live webinars also receive two views of the On-Demand version of the program they attend. Use this bonus feature to share the program with colleagues or as a refresher at a later date. Instructions for viewing the on-demand session will be emailed to you at the conclusion of the live event.


Credit Hours

Earn up to 1.5 hours of CPE credit.
  • Level: Basic to Intermediate
  • Prerequisites: None
  • Advance preparation: None
  • Field of Study: Finance
  • Instructional Method: Live-Group

For more information regarding administrative policies such as concerns or refunds, call 800-ASK-4FMS (800-275-4367). FMS is registered with the National Association of State Boards of Accountancy as a sponsor of continuing professional education on the National Registry of CPE Sponsors. State boards of accountancy have final authority on the acceptance of individual courses. Complaints regarding sponsors may be addressed to: The National Registry of CPE Sponsors, 150 Fourth Avenue, North, Suite 700, Nashville, TN 37219-2417 Web: www.nasba.org.


Fees

Member: Complimentary 
Non-member: $295  


When
3/23/2017 - 3/23/2017
Where
United States

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