Agenda

Agenda

Agenda: Advanced Liquidity Risk Management - Online course

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Live virtual course | Agenda timing is in HKT/SGT

Respective time in AEST:
Start: 17:00pm
Break: 19:00pm
Finish: 20:15pm
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Day one: Wednesday, June 9, 2021

14:0015:00

Key Concepts for Liquidity Risk

14:00 - 15:00

  • Definition and types of liquidity risk
  • How do liquidity and capital withstand the economic crisis
  • Bank failure: risk factors that trigger liquidity shortfalls and problems
  • Funds Transfer Pricing Problem (LFTP)
  • Impact of financial risks on liquidity management

15:0016:00

Regulation Requirements

15:30 - 16:30

  • LCR / NSFR requirements
  • Key regulatory requirements for liquidity risk: LCR, NSFR, and Leverage Ratio
  • Collateral requirements
  • The interaction between LCR, NSFR, and Leverage ratios
  • Unforeseen interactions
  • Deleveraging short-term business
  • The liquidity of assets under stress
  • The hazards of overreliance on ratios

16:0016:15

Break

15:15 - 16:15

16:1517:15

Building the effective Liquidity Risk Management framework

16:45 - 17:45

  • Liquidity Risk – in Practice
  • Liquidity Risk – in Theory
  • Liquidity Portfolio Management & Funding
  • Deleveraging short-term business
  • The liquidity of assets under stress
  • The hazards of overreliance on ratios
  • Stress Testing
  • Pricing of Liquidity Risk & FTP
  • Liquidity Risk – Governance and the ALCO

17:1517:15

End of day one

17:45 - 17:46

Day two: Thursday, June 10, 2021

14:0015:00

Strategic Balance Sheet Management – Optimising the Balance Sheet

14:00 - 15:00

  • Addressing the 3D balance sheet optimisation problem; meeting the competing needs of regulators, customers and shareholders
  • Removing silos
  • Liquid vs illiquid assets
  • Breakdown of liabilities; retail deposits, wholesale funding & capital
  • Tactics for maintaining a standby liquidity reserve
  • Syndication, sales and securitisation
  • Tactics for liability diversification
  • Other liability management tactics

15:0016:00

Liquidity Stress testing – Part 1

12:00 - 12:15

  • Interaction between liquidity and other risks: market and credit risk, interest rate, legal, operational and reputation risks
  • Early warning signals: illiquidity spirals, institution specific and market wide stress scenarios
  • Stress-tests: key scenarios relating to business activities, products and funding sources

16:0016:15

Break

15:15 - 16:15

16:1517:15

Liquidity Stress Testing – Part 2 The importance of liquidity buffers

15:30 - 16:30

  • Rate, legal, operational and reputation risks
  • Systemic risk and impact on market and funding liquidity
  • Trigger events: rating changes, market disruption, trigger events in a securitisation

17:1517:15

End of course

16:30 - 16:31