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Agenda
Agenda
Stress Testing: Liquidity Risk | Agenda
09:00 – 09:30
Registration & Refreshments
09:00 - 09:30
09:30 – 11:00
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
11:00 – 11:30
Morning break
11:00 - 11:30
11:30 – 13:00
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
13:00 – 14:00
Lunch
13:00 - 14:00
14:00 – 15:30
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
15:30 – 16:00
Afternoon break
15:30 - 16:00
16:00 – 17:30
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
17:30 – 17:30
End of Day 1
17:30 - 17:31
09:00 – 09:30
Registration & Refreshments
09:00 - 09:30
09:30 – 11:00
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
11:00 – 11:30
Morning break
11:00 - 11:30
11:30 – 13:00
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
13:00 – 14:00
Lunch
13:00 - 14:00
14:00 – 15:30
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
15:30 – 16:00
Afternoon break
15:30 - 16:00
16:00 – 17:30
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
17:30 – 17:30
End of course
17:30 - 17:31