Agenda

Agenda

Stress Testing: Liquidity Risk | Agenda

09:0009:30

Registration & Refreshments

09:00 - 09:30

09:3011:00

Liquidity Stress Testing: a view of the regulatory approach and how it impacts the region

09:30 - 11:00

  • Liquidity risk main concepts and sources 
  • Introduction to understanding the expectations of the regulator’s 
  • Examining the new regulations beyond the Global Crisis and its impact in Asia
  • Overview of the differences in regulatory approaches in Europe v Asia 
     

11:0011:30

Morning break

11:00 - 11:30

11:3013:00

Deep Dive into Regulatory Liquidity Stress Testing Requirements

11:30 - 13:00

  • 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 
     

13:0014:00

Lunch

13:00 - 14:00

14:0015:30

Embedding Stress Testing and Liquidity Risk into Your Organisation

14:00 - 15:30

  • Understanding the basic liquidity metrics 
  • Insights into the role of liquidity department – how does it fit into an organisation
  • ALM and liquidity functions
  • Introduction to liquidity risk and what it means for a bank
  • Explore the application of liquidity stress testing 
     

15:3016:00

Afternoon break

15:30 - 16:00

16:0017:30

Stress Testing: Understanding the Principles and Practical Steps of Building a Framework

16:00 - 17:30

  • 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 
     

17:3017:30

End of Day 1

17:30 - 17:31

09:0009:30

Registration & Refreshments

09:00 - 09:30

09:3011:00

The Liquidity Stress Test

09:30 - 11:00

  • Learning the balance sheet liquidity stress tests to allow accurate forecasting 
  • Assessing liquidity stress scenario construction and linkage to capital stress scenarios
  • Understanding the analyses of stress test data to exploit results to the benefit of organisations
  • Explaining the liquidity stress test reporting and current best practice within businesses
  • Learning how we should be placing the liquidity function as a strategic objective to define it importance at all levels 
  • Case studies
     

11:0011:30

Morning break

11:00 - 11:30

11:3013:00

Implementation for Contingency Planning and Funding

11:30 - 13:00

  • Examining the partnership between stress tests and contingency planning
  • Key risk indicators
  • Balance sheet risk, credit risk and funding risk
  • Understand the escalation process and involvement of the crisis management committee
  • Practical steps in making sure Contingency Planning and Funding is part of your business
  • Examples of contingency funding plan
     

13:0014:00

Lunch

13:00 - 14:00

14:0015:30

Deep Dive into Stress-Testing Scenario Development

14:00 - 15:30

  • Consider the importance of realistic mock stress testing scenarios to optimise the process
  • How to design scenarios from different perspectives to ensure an effective process is implemented
  • Multiple examples of effective stress testing scenarios
     

15:3016:00

Afternoon break

15:30 - 16:00

16:0017:30

Liquidity and Stress Testing Practical Application. Balance Sheet Optimisation

16:00 - 17:30

  • Liquidity risk pricing and funds transfer pricing. Examples of  FTP calculation and implementation
  • How to price contingent liquidity risk – 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 
     

17:3017:30

End of course

17:30 - 17:31