Agenda

Agenda

Stress Testing against Liquidity Risk | Agenda

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Course Tutor: Dennis Cox, Founder and Chief Executive, Risk Reward

Live virtual course | Below agenda timing is in GMT.

Respective time in HKT:
Start: 8:30am GMT | 4:30pm HKT
Break (1): 9:30am GMT | 5:30pm HKT
Break (2): 10:45am GMT | 5:45pm HKT
Finish: 12pm GMT | 8pm HKT

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08:3009:30

Liquidity Risk and How it Impacts the Region

08:00 - 09:00

  • Liquidity risk main concepts and sources
  • Introduction to understanding the expectations of the regulators
  • Examining the current regulations beyond the Global Crisis and its impact in Asia
  • Trends within liquidity management and their impact on the global markets

09:3009:45

Break

10:15 - 11:15

09:4510:45

Regulatory Liquidity Stress Testing Requirements

09:00 - 10:00

  • Regulatory authorities stress-testing methods and models explained
  • Understanding Liquidity Coverage Ratio (LCR) and calculations
  • In-depth examining Net Stable Funding Ratio (NSFR) for banks and NSFR calculations examples
  • The implications of LCR and NSFR- funds transfer pricing, funding mix, liquid assets buffer management and business model choices

10:4511:00

Break

10:15 - 11:15

11:0012:00

Building a Practical Stress Testing Framework- Governance

10:15 - 11:15

  • Establishing a strong stress testing framework and understanding the principles that underpin the approach
  • Implementing and optimising the stress testing processes
  • Key components of an effective stress testing programme
  • Case studies

08:3009:30

Understanding the Interest Rate Risk in the Banking Book (IRRBB) Framework

11:15 - 12:15

  • IRRBB introduction
  • Regulatory requirements

09:3009:45

Break

10:15 - 11:15

09:4510:45

Implementation for Contingency Planning and Funding

08:00 - 09:00

  • Stress scenarios
  • Planning for the stress scenarios
  • Creating the Contingency Funding Plan
  • Testing the plan

10:4511:00

Break

10:15 - 11:15

11:0012:00

Stress-Testing Scenario Development

09:00 - 10:00

  • Liquidity stress events – real life examples
  • Lessons to be learned
  • Develop stress scenarios
  • Test of the scenarios

08:3009:30

Liquidity Stress Testing and Balance Sheet Optimisation

10:15 - 11:15

  • Liquidity risk pricing and funds transfer pricing. Examples of FTP calculation and implementation
  • Liquidity/credit facilities, derivatives collateral posting
  • Case studies to demonstrate the practical application of liquidity and stress testing processes for financial organisations
  • Balance sheet management and optimization techniques

09:3009:45

Break

10:00 - 10:15

09:4522:45

Embedding Stress Testing and Liquidity Risk into Your Organisation

11:15 - 12:15

  • Metrics needed to manage Liquidity Risk
  • Understanding roles and responsibilities
  • How to communicate the stress testing results effectively within the organisation