Marije Elkenbracht-Huizing (editor) - The Handbook of ALM in Banking

The Handbook of ALM in Banking

Second Edition

The Handbook of ALM in Banking

Second Edition

Managing New Challenges for Interest Rates,
Liquidity and the Balance Sheet

Edited by Andreas Bohn and
Marije Elkenbracht-Huizing

Published by Risk Books

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Contents

Andreas Bohn is the topic leader for market risk management at The Boston Consulting Group (BCG). Prior to his position at BCG, he was managing director for asset and liability management balance-sheet strategy at Barclays treasury. Before joining Barclays, he ran asset and liability management for global transaction banking at Deutsche Bank. Andreas started his career in quantitative research at Deutsche Bank, where he worked as a market risk manager for interest rates as well as a market maker for interest rate derivatives. He is a graduate of the University of Mnster and holds a PhD from the University of Augsburg.

Marije Elkenbracht-Huizing is managing director (risk modelling) at ABN AMRO Bank. Prior to this position she was managing director (market and ALM/treasury risk) at ABN AMRO after having performed a similar role at NIBC Bank. Early in her career she performed various roles at ABN AMRO in the areas of derivative valuation, risk management models and strategy. She has published and presented papers at various international conferences. She is a member of the Board of the Royal Dutch Mathematical Society and of the Supervisory Board of the ABN AMRO Mortgage Group. Marije has a PhD degree in mathematics from Leiden University.

Maria Adler works in the ALM department of the global transaction banking division of Deutsche Bank AG, and is responsible for managing interest rate and liquidity risk in the divisions European business locations. She specifically focuses on regulatory developments, such as Basel III, and is involved in assessing the impact of new regulations on banks liquidity risk management, participating in working groups and lobbying activities. Maria joined Deutsche Bank in September 2008, and spent a year as a trainee in global transaction banking before joining the ALM team. She holds a diploma in business mathematics from the University of Kaiserslautern.

Massimo Baldi is the head of bank resource management of Banca IMI, where he oversees treasury and counterparty risk management. He has been with Banca IMI since 2008. Previously, he worked in various front-office roles for the Intesa Group, both in Milan and in London. He holds an MSc in economics from the London School of Economics.

Thomas Becker is director, head of the Frankfurt central investment office and risk team at Deutsche Bank treasury, responsible for analysing and optimising market risks, while also assessing cross-dependencies of model, regulatory, accounting and earnings risks of the treasury functions. Thomas started his career at Deutsche Bank in the global markets trading and structuring divisions in 2005. He moved to the treasury in 2013, where he had leading roles in ALM and modelling. He is the main point of contact with regulatory bodies for IRRBB. Thomas holds a BSc in business administration from the Frankfurt School of Finance and Management.

Matthias Bergner heads the ALM department of the global transaction banking division at Deutsche Bank AG, where he is responsible for balance-sheet management including interest rate and liquidity risk management. He joined Deutsche Bank AG in August 1998 and worked in different client-facing roles for eight years. Since joining ALM in 2006 he has worked for Deutsche Bank AG in Frankfurt, New York and London. Matthias is a graduate of the University of Jena, with a diploma in business administration, and a CFA charter holder.

Dick Boswinkel is head of mortgage model development at Wells Fargo, the largest mortgage originator and servicer in the US. He has been working in quantitative modelling since 1994, and, in addition to ALM, has worked extensively on modelling derivatives and market risk.

Raquel Bujalance is the head of the ALM risk models department of Santander Group, responsible for the modelling of IRRBB, liquidity and FX structural risks in the risk methodology area. Before that, she led the quantitative market risk department developing models related to market risk trading activities. Raquel joined Santander in 2012, having previously worked for BBVA in the risk methodology department. She studied economics and holds a PhD in quantitative finance from Complutense University.

Raphael Bulut works in the treasury central investment office and risk team at Deutsche Bank, analysing financial risks from a treasury point of view. He joined Deutsche Bank in 2007, initially working in the retail area, and then seven years in ALM and other treasury functions. He holds a BSc in business administration from the Frankfurt School of Finance and Management.

Oliver Burnage is head of the quantitative risk group for Santander UK in London, responsible for developing methodology for banking and trading market risk areas in the UK, building balance sheet models, valuation adjustments, profitability metrics, capital requirements and stress testing. Oliver joined Santander UK in 2007, having previously worked for Barclays Capital in their global financial risk management division for the equity derivatives desk. He studied mathematics and finance at Imperial College London.