Strengthening Asset-Liability Management: Lessons from Bank Failures

Dr. Donald van Deventer 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.

Sid is the Chief Researcher at Chartis Research with more than 25 years of experience in the financial, energy and commodities markets in various functions across the trade and software development lifecycles. He has held various roles in product development, trading, risk management, software development and consulting in banks, hedge funds, and risk advisory and software firms, including Standard Chartered Bank, TCG Group, HCL and Cognizant.

Sid’s specific areas of interest and research include risk data, model risk management, quantitative models in illiquid markets, high-performance analytics, energy and commodity trading risk, market structure design, new computational models, and the use of innovative mathematical methods in various emerging areas of risk management .He has a MBA from the Indian Institute of Management and is a qualified Chartered Alternative Investment Analyst CAIA, Financial Risk Manager (FRM), Energy Risk Professional (ERP), Member of GARP and CIPM from the CFA institute.

Bryan Feierstein joined GARP in 2015 as part of the GARP Benchmarking Initiative team. Prior to that he spent 30 years as a risk practitioner on the banking and insurance sides along with several years working in the risk technology space.

Bryan recently co-authored a technical paper, "Calculating the Regulatory Surcharge for US G-SIBs" that steps through the mechanics of the regulatory capital buffer-setting mechanism using publicly available bank data.

Martim Rocha is the Global Head of the Risk Banking Solutions, as such he manages a team of global experts on banking risk management, defining roadmaps and priorities for SAS solutions and supporting customers all over the world on their journey to take the best of the SAS solutions, from scoping and defining the best approach for each business case to helping customers taking the SAS solutions through implementation to be live as a production system.

Martim has published several papers and has spoken at several conferences around the world on the topics of Risk Management in Banking, Risk and Finance Integration, IFRS9/CECL, Regulatory Risk Management, ALM, Capital Planning , Scenario Based Analysis and Stress-testing. With SAS for more then 17 years, he played the role of Strategic Advisor and Solution Designer on projects such as Stress-testing on a G-Sib based in London; IFRS9 and Stress-testing at G-SIB bank covering more than 60 locations worldwide; IFRS9 impairment at a couple of Top 5 Nordic Bank covering 5 countries; IFRS9 full-scope at Top banks in UAE; and IFRS9 impairment at more than a Top 5 South African Bank.

Martim has more than 25 years of experience in the financial services industry on the topics of risk management, business analytics and data management. He has designed and managed projects for banks, insurance firms and other financial services companies in areas such as financial management, risk management, predictive analytics, financial and sales performance, strategy management, and customer analysis and segmentation. In addition, he was a lecturer for courses on advanced decision support systems, data warehousing and data mining at the Autonomous University of Lisbon and at the ISCTE Business School. Before joining SAS, Martim was a partner on the Business Analytics focused consulting firm, Noscitare where he led the delivery of many IT projects in financial services companies. Martim has a post-graduate degree in Business Administration from Nova SBE and has an undergraduate degree in Computer Science from ISIG.