Agenda

Agenda

Agenda: Advanced Liquidity Risk Management - Online course

Timings for the two days are in BST (British Summer Time)

Day one: Monday, June 29, 2020

13:0014:00

Types of liquidity risk

14:00 - 15:00

  • Asset liquidity v business liquidity

  • Maintaining a stock of liquid assets

  • Impact of interest rate risk on liquidity management

  • Impact of foreign exchange risk on liquidity management

  • Measuring and managing liquidity risk

  • Cash Management v liquidity management

  • Behavioural data analysis

  • How does liquidity really vary? 

14:0014:15

Break

12:00 - 12:15

14:1515:15

Liquidity management and regulation

15:15 - 16:15

  • Role and structure of liquidity management functions with a bank

  • The role of ALCO

  • Remuneration policies for treasury

  • Overview of relevant liquidity regulation 

  • Introduction to measuring and managing liquidity:

    • VaR

    • EVE

    • NII

    • Curvature

  • Contractual v Behavioural data

  • Information requirements for liquidity risk management

15:1515:30

Break

12:00 - 12:15

15:3016:30

Identifying liquidity risks

15:30 - 16:30

  • Business uncertainty

  • Encumbered assets

  • Rules and regulations

  • Political uncertainty

  • Capital expectations

  • Raising capital

  • Yield curves

  • Forward curves

  • Credit ratings

16:3016:45

Break

12:00 - 12:15

16:4517:45

Balance sheet management

16:45 - 17:45

  • What is balance sheet optimization?

  • How does it operate in practice?

  • How to model the balance sheet for liquidity purposes

  • Which assets remain liquid

  • Repos and the repo market

  • Liquidity impediments 

17:4517:45

End of day one

17:45 - 17:46

Day two: Tuesday, June 30, 2020

13:0014:00

Measuring and managing liquidity risks

13:00 - 14:00

  • Contractual v behavioural data

  • Cash-flow matching

  • Excess liquidity    

  • Borrowing and lending

  • Securities lending

  • Derivative hedging

  • Liquidity gap analysis

  • Volatilities

  • Duration analysis

  • Credit risk

14:0014:15

Break

12:00 - 12:15

14:1515:15

Monitoring and controlling liquidity risks

14:15 - 15:15

  • Investment and Debt Policies

  • Asset correlation

  • Hedging Policies

  • Treasury Liquidity Management function

  • Day-to-day operations

  • Quantity and Quality of Liquidity Risk Indicators 

  • Stress testing and liquidity

  • Contingency planning

  • Performance Measurement

  • Inter-company Funding

  • Crisis Management

  • Regulatory Environment

  • Changing rules and regulations

  • Relationship to the CCAR

  • Capital Adequacy

15:1515:30

Break

12:00 - 12:15

15:3016:30

Liquidity risk management

15:30 - 16:30

  • Liquidity sound practices

  • Behavioural data for products including loans and deposits

  • Liquidity coverage ratio (LCR) – what this means for a bank

  • Net stable funding ratio (NSFR) – what this means for a bank

  • How might this change business?

  • Dealing with cyclicality

  • Intraday day liquidity management – challenges and opportunities

  • Dealing with systems constraints

  • The impact of excess intraday liquidity on borrowing requirements and costs

  • Optimization of LCT and NSFR

  • Best practice solutions to behavioural issues

  • Using standardized solutions, validation and backtesting

  • Contingency funding plans

  • Alternative liquidity approaches that will be effective in an interest rising environment

  • The impact of collateral margining on liquidity including encumbered assets rules

16:3016:30

End of course

16:30 - 16:31