Behind the Balance Sheet Part 1: Integrated Balance Sheet Management in the Current Banking Climate

GARP Risk Podcast

Hear from Dr. Donald van Deventer, Managing Director--Risk Research and Quantitative Solutions at SAS, and Professor Robert Jarrow of Cornell University’s SC Johnson College of Business as we continue our discussion of the current banking climate as it relates to integrated balance sheet management — and specifically asset and liability management (ALM).

This special two-part podcast series will explore conditions under which a bank is at risk of a “run” by looking internally at their assets and liabilities. We will also consider how to model simulations to project when assets will become negative relative to liabilities and determine how to ensure resiliency within financial institutions.

Part 1 of this series will tackle the following topics:

• Introduction to deposit models for FDIC insurance
• How to handle hedging and mismatched balance sheets
• Determining what analytical methods are essential to "doing it right"
• An introduction to non-maturity demand deposit runoff that will be a key component for part 2 of this series

Speaker Bios

Dr. Donald van Deventer, Managing Director--Risk Research and Quantitative Solutions @ SAS

He joined the Risk Research and Quantitative Solutions group at SAS Institute, Inc. in June 2022 through SAS’ acquisition of his previous firm, the Kamakura Corporation. He founded Kamakura in 1990 and served as Chairman and Chief Executive Officer until the acquisition. Dr. van Deventer's emphasis at SAS Institute, Inc. is enterprise-wide risk management and modern credit risk technology. His primary financial consulting and research interests involve the practical application of leading-edge financial theory to solve critical financial risk management challenges.

Robert Jarrow is the Ronald P. and Susan E. Lynch Professor of Investment Management at Cornell University’s SC Johnson College of Business. He is a co-creator of the Heath-Jarrow-Morton (HJM) model, the reduced form credit risk model, and the forward price martingale measure, the standards for pricing and hedging derivatives at major financial institutions. Jarrow is a pioneer of arbitrage-pricing theory and has written seven textbooks and over 225 pieces for academic journals.

Jarrow is on the advisory board of numerous academic journals including the Frontiers of Mathematical Finance. His research has won many awards, and he was named IAFE Financial Engineer of the Year in 1997. Jarrow is in the Fixed Income Analysts Society Hall of Fame, Risk Magazine’s 50-member Hall of Fame, is listed in the Who’s Who of Economics, and received Risk Magazine’s Lifetime Achievement Award in 2009. He is currently an IAFE senior fellow and serves on various industry advisory boards.

Over the years, GARP and SAS have worked together to bring risk practitioners unique insights on a variety of topics related to risk management. This time, we are partnering on a brand-new podcast, Risk and Resiliency to take a closer look at ways to face the challenges ahead, to be more agile, vigilant, and quickly adapt to shifting market conditions.

About SAS

As a leader in analytics, SAS’ award-winning capabilities in analytics, risk management, and other technology areas have helped customers across the globe solve their toughest and ever-evolving business problems. Its unrelenting commitment to innovation enables organizations across financial services to modernize and sustain a competitive edge. Through the latest developments in machine learning, natural language processing, forecasting, and optimization, SAS supports diverse environments and scales to meet changing needs. Learn more about how SAS is driving innovation and business value for risk and finance professionals at www.sas.com/risk