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This course will provide course participants with an overview of the applications of techniques used to address liquidity risk management and stress testing at banks. Common liquidity risk governance frameworks informed by regulatory guidance and best practices are reviewed. The issues associated with obtaining the necessary data and making reasonable assumptions to calculate regulatory ratios and develop sources and uses of funds models are explored. Contingency funding strategies will be discussed and evaluated. The specific liquidity risks associated with wholesale funding strategies will also be reviewed.
Course Objectives
By the end of the course, the participants will be able to:
- Discuss the current regulatory requirements and guidance for liquidity risk management
- Describe at a high level the data necessary to calculate LCR and NSFR
- Assess the key factors involved in developing, implementing, and using forecasting models for liquidity stress testing
- Evaluate common issues with collateralized wholesale borrowing sources
- Explain the critical components of a Liquidity Contingency Plan
- Describe the use of liquidity transfer pricing in the context of overall FTP
Suggested Prerequisites:
- Liquidity Risk Management or equivalent knowledge
Program Level:Intermediate
Advance Preparation: None
Computers and Financial Calculators: Computers