Liquidity Risk Modelling: Current challenges and new insights through AI

Summary

Join us as we explore two pressing topics in liquidity risk modelling: Intraday Liquidity Risk and Deposit Outflows—both critical to ensuring robust liquidity management and preventing bank failures.

With faster news cycles, shorter settlement times, instant payments, and evolving regulations, managing intraday liquidity becomes more challenging than ever. We dive into advanced modelling, quantitative analysis, and backtesting techniques, highlighting practical implications and challenges.

Modelling deposit stability is another cornerstone applied in both, liquidity risk modelling and interest rate risk in the banking book (IRRBB). Does Machine Learning have the potential to unlock advanced capabilities to predict client behaviour, compared to traditional approaches based on deposit categories and client classes? Insights from a practical use case reveal how innovative techniques can more effectively integrate client information, account details and the macroeconomic environment.

Be part of the discussion exploring innovative strategies and stay ahead in the evolving world of liquidity risk modelling!

Presenters

• Elena Centin, Head of Financial Risk Management at SIX Group
  Elena Centin is responsible for developing concepts and models to manage financial risks, including market, liquidity, and credit risks for the whole SIX Group. She oversees and establishes default management processes and enhanced stress resilience strategies.
  Elena is also member of the Board of Trustees SIX Pension Fund and member of the Investment Committee and lead of the Group Insurance Management SIX Group across all locations.
  Her previous roles, she worked as Liquidity Risk Expert and Modelling Specialist at Credit Suisse, and as a Market and Liquidity Risk Expert at UniCredit.
• Martijn Wycisk, Partner at Zanders Group
  Martijn Wycisk has been part of Zanders, Zürich since 2014 and became a Partner in 2022. He is responsible for the Risk Advisory Group in the DACH region. Prior to joining Zanders, he worked 15 years for UBS AG in various Treasury/ALM related roles.
  Over 20+ years, Martijn gained in-dept expertise in behavioural modelling of banking products, interest rate risk in the banking book (IRRBB), liquidity & funding risk modelling, funds transfer pricing (FTP) and balance sheet management.
  He holds a Master of Science degree (MSc) in Financial Economics, a master’s in financial management as well as an Executive MBA, all from Erasmus University Rotterdam and Rotterdam School of Management.

Moderation by Robert Maringer, an experienced leader in UBS Treasury Risk Control, with a strong emphasis on Data Science and on developing advanced monitoring and analysis systems. Prior to this, he worked in Quantitative Analysis, ALM Scenario Reporting and Consulting.
Robert acts as an advisor to the Liquidity Risk Chapter of the Swiss Risk Association and is a trainer in the Swiss Risk Curriculum.

Agenda

17:45 Arrival and Name Tag Collection
18:00 Welcome and Introduction (Robert Maringer)
18:05 The challenge of Intraday Liquidity Risk (Elena Centin)
18:45 Applying Machine Learning in behavioural modelling of deposits (Martijn Wycisk)
19:25 Closing Remarks (Robert Maringer)
19:30 Networking Drinks
20:30 End

Chapter Event

This Chapter Event is available to members and free. We will be presenting one or more speakers to share their knowledge, updates and best practices on a specific risk topic. Within the small groups of risk professionals you can exchange thoughts and test ideas. This event is hosted by chapter Liquidity Risk.