This is a three-day in-depth course on best practice liquidity management for banks.

Liquidity stress testing forms the backbone of measuring liquidity risk. In this programme, participants will develop a complete liquidity stress testing framework. Particular emphasis is placed on stressed modelling of behavioural elements of the on- and off-balance sheet, namely non-maturity liabilities, prepayment risks and liquidity/credit facilities. Derivatives collateral posting requirements are also modelled under stressed conditions.

The liquidity risk measurement through stress testing is then related to the bank’s liquidity buffer to give a survival horizon, which is in turn linked to the contingency funding plan. Finally, liquidity funds transfer pricing techniques for the full range of banking activities are explained as a means to instil the correct pricing of liquidity risk throughout the bank.

Detailed case studies and workshops are provided throughout, drawing on the experiences of a range of US and European banking groups.


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