Recorded Webinar: USD Libor transition update and impact on Bank ALM Policy
About this Event
TPG-BTRM Webinar: USD Libor Transition Update and Impact on Bank ALM Policy
Join TPG Software and The BTRM for a discussion on the latest developments in USD Libor transition and what this means for US banks adapting to the changeover to SOFR. The BTRM Faculty panel will address latest issues including:
- Latest fallback definitions and impact
- Adjusting hedging policy and impact on banks funds transfer pricing (FTP)
- Impact on legacy banking book
- Term SOFR likelihood and update
- Possible alternatives to SOFR
- How to adjust ALM policy to the post-Libor era
- Professor Moorad Choudhry, Founder The BTRM & Independent Non-Executive Director, Recognise Bank
- Kevin Liddy, Solum Capital, Faculty BTRM
- Periklis Thivaios, True North Partners LLP, Faculty BTRM
- Patrick Carey, Independent Market Risk Consulting, Faculty BTRM
- Rick Schnitger, TPG Software, Inc
- Benny Tjahjono, Director, Senior Balance Sheet Quantitative Analyst, Federal Home Loan Bank of Chicago
BTRM Designer and Founder
Moorad Choudhry is an independent non-executive director at Recognise Bank Limited in London, a non-executive director at the Loughborough Building Society and a non-executive director at Wandle Housing Association. He is Honorary Professor at University of Kent Business School. He was latterly Treasurer, Corporate Banking Division at The Royal Bank of Scotland. He began his career at the London Stock Exchange in 1989.
Moorad is a Fellow of the Chartered Institute for Securities & Investment, a Fellow of the London Institute of Banking and Finance, a Fellow of the Global Association of Risk Professionals, a Fellow of the Institute of Directors and a Freeman of The Worshipful Company of International Bankers. He is author of The Principles of Banking (John Wiley & Sons 2012).
Moorad was born in Bangladesh and lives in Surrey, England. He was educated at Claremont Fan Court school, the University of Westminster and the University of Reading. He obtained his MBA from Henley Business School and his PhD from Birkbeck, University of London.
Kevin Liddy is a consultant with Solum Financial and has 30 years of experience in investment bank trading and risk management. Prior to joining Solum Financial he held trading positions at Chase Manhattan, Bear Stearns, Nat West and Royal Bank of Scotland. At Royal Bank of Scotland he was Global Co-Head of Counterparty Exposure Management responsible for the pricing, management and trading of all counterparty risk activities; in addition Kevin was Deputy Head of Delta Trading and Global Head of STIRT, responsible for all Delta trading products. Kevin holds a BSc. Hons in Applied Science from Kingston University.
Periklis Thivaios is a founding partner of True North Partners LLP, a boutique advisory firm headquartered in London. He was previously lecturing on Counterparty Credit Risk and XVA at the Department of Computational and Applied Mathematics, University of the Witwatersrand in South Africa and is currently an external lecturer and supervisor for the Department of Actuarial Science at the University of Cape Town. He also lectures on “Emerging Topics in Fintech” at the University of Nicosia in Cyprus. Periklis has a doctoral degree in Finance from IE Business School in Spain (with Distinction Cum Laude), a Masters degree from the London School of Economics (with Distinction) and is a Chartered Financial Analyst (CFA), an accredited Financial Risk Manager (FRM) and a holder of the Bank Treasury Risk Management (BTRM) accreditation with distinction.
Patrick Carey has worked at all levels of market risk management from executive-level policy and governance to quantitative modelling and the hands-on management of complex positions. A former Head of Group Market Risk for the Bank of Ireland, he was responsible for ensuring that the bank identified, measured, managed and controlled the full range of market risks – trading, IRRBB and structural – to which it was exposed.
He was a member of Bank of Ireland’s executive Asset and Liability Committee and chair of the Bank’s Market Risk Committee and Structural Risk Committee.
He is a specialist in Interest Rate Risk in the Banking Book (IRRBB). Up to December 2017, he was a member of the European Banking Federation’s Committee on Interest Rate Risk in the Banking Book (IRRBB) and chairperson of the Banking and Payments Federation of Ireland’s working group on IRRBB.