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SUERF/OeNB/BWG Conference

Asset-liability management with ultra-low interest rates

11 March, 2015

Kassensaal, OeNB, Otto-Wagner-Platz 3, A-1090 Vienna

In reply to the financial crisis, “Great Recession” and sovereign debt crisis, many central banks have pursued ultra-easy and far reaching unconventional monetary policies for several years. Yields on various bond classes – including euro area sovereign bond yields since the sovereign debt crisis has subsided - have reached very low levels. Prices on stocks and real assets have soared. In several countries, markets have been expecting a reversal of the interest rate cycle for some time now. As a result the risk of – possibly substantial - price corrections in all these asset classes may be seen to have increased. This environment poses challenges for banks’ asset liability and risk management as well as earnings. Institutional investors facing yield pressure may resort to more risky strategies, established forms of investment strategies may no longer be viable. This conference brings together financial practitioners, academics, supervisors and policy makers to jointly discuss relevant challenges, scenarios, options and risks in this situation. Lessons from history are explored, a bird’s eye perspective from academia and international institutions as well as inside views from industry practitioners are provided. Possible consequences for financial stability, the macroeconomy at large as well as adequate policy responses are discussed.

Wednesday, 11 March 2015
09:00 Opening

Andreas Ittner, Vice Governor, Oesterreichische Nationalbank

Urs Birchler, SUERF President and Professor of Banking, University of Zürich

09:30 Session 1 - Overview and historical perspective

Chair: Doris Ritzberger-Grünwald, Director, Oesterreichische Nationalbank

Interest rate cycles and implications for the financial sector – a long term view
Richard S. Grossman, Professor of Economics at Wesleyan University in Middletown, CT and a Visiting Scholar at the Institute for Quantitative Social Science at Harvard University
Richard Grossman_Vienna 2015Richard Grossman_Vienna 2015

10:15 Coffee
10:45 Session 2 - Banking perspectives

Chair: Otto Lucius, Bankwissenschaftliche Gesellschaft (BWG)

Banking - conceptual and related issues
Philip Molyneux, Professor of Banking and Finance Bangor University
Philip Molyneux_Vienna 2015Philip Molyneux_Vienna 2015

Effects of ultra-low interest rates and unconventional monetary policy on bank profitability, risk-taking and soundness
Frederic Lambert, IMF
Frederic Lambert_Vienna 2015Frederic Lambert_Vienna 2015

The perspective of a large global bank
Claude Moser, Head of Group Asset Liability Management, UBS
Claude Moser_Vienna 2015Claude Moser_Vienna 2015

The perspective of an Austrian internationally diversified universal bank
Paul Kocher, Chief Treasury Officer, Raiffeisenbank International
Paul Kocher_Vienna 2015Paul Kocher_Vienna 2015

12:30 Lunch
13:15 Session 3 – Institutional investors’ perspectives

Chair: Ernest Gnan, Secretary General, SUERF, and Head of Division, OeNB

Institutional investors’ perspectives overview
Helmut Gründl, Professor, Goethe University Frankfurt
Helmut Gruendl_Vienna 2015Helmut Gruendl_Vienna 2015

The fund manager perspective
Antti Ilmanen, AQR Capital Management
Antti Ilmanen_Vienna 2015Antti Ilmanen_Vienna 2015

The official institutional investors’ perspective
John Nugée, Laburnum Consulting Ltd.
John Nugée_Vienna 2015John Nugée_Vienna 2015

(Life) insurance perspective
Dario Focarelli, Direttore Generale Associazione Nazionale fra le Imprese Assicuratrici
Dario Focarelli_Vienna 2015Dario Focarelli_Vienna 2015

14:45 Coffee
15:15 Session 4 – Policy perspectives

Chair: Andreas Ittner, Vice-Governor, Oesterreichische Nationalbank

Bubbles and central banks - historical perspective
Isabel Schnabel, Chair of Financial Economics Gutenberg School of Management and Economics Universität Mainz; Sachverständigenrat
Isabel Schnabel_Vienna 2015Isabel Schnabel_Vienna 2015

Microprudential bank supervisor’s perspective
Korbinian Ibel, Director General, Micro-Prudential Supervision IV, SSM

Asset liability management at insurance companies: A supervisor’s perspective
Wolfgang Herold, Austrian Financial Market Authority (FMA)
Wolfgang Herold_Vienna 2015Wolfgang Herold_Vienna 2015

Ultra-easy monetary policies: Risks and benefits for the financial system
Olivier Garnier, Group Chief Economist of Société Générale
Olivier Garnier_Vienna 2015Olivier Garnier_Vienna 2015

17:00 End of Conference

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