Liquidity Risk 1: Principles and Methods

Introduction
  • Classification of operational and strategic risks
  • Evolution of the banking environment
  • Daily management of liquidity: optimal use of reserves and optimal risk allocation
Liquidity risk
  • Quantifying liquidity risk
  • Monitoring bodies: financial division/risk management division
  • Reporting frequency
  • Economic and accounting analysis criteria
  • Definition of strategic risk
  • Regulatory and operational time horizon
  • Valuing the gap
  • Dealing with elements of undetermined maturities
  • Pricing and charging for liquidity: an element of risk management
  • The various degree of liquidity of banking assets
  • Settlement systems and liquidity risks
  • Use and management of collaterals
  • Interaction with other risks (credit, market, reputation...)
  • Practical workshop
  • Gap calculation in Excel™
Liquidity risk before and after the crisis
  • Basel II and mandatory reserves
  • The unfolding of the crisis in 2007 and the drying of liquidity for banks and corporate
  • Contextual analysis of 2008
  • Funding solutions in times of crisis
Basel III evolutions

  • Quantify and manage all the risks attached to liquidity
  • Understand the impact on financial products of a liquidity crisis
  • Understand the economic, accounting and regulatory background of ALM
  • Acquire the fundamental concepts to analyse liquidity risk
  • Real case study of ALM in a banking environment
  • Learn from the recent liquidity crisis
  • Refer to the seminar “Liquidity risk 2: impacts of Basel III” for more advanced training
  • Middle office
  • Internal control / Audit / Inspection
  • Treasurers
  • Traders
  • Risk managers
  • Financial division
  • People looking to understand the impacts of the liquidity crisis in capital markets
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