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Liquidity Risk Management - The supervisory requirements and industry practice

by Gary Dunn

Languages: English

Price (from): €2,000 / day

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About the trainer:

Gary now works as a consultant and trainer in bank risk and regulatory capital modeling but has an extensive track record as a practitioner having worked in the market, credit, operational and liquidity risk management. Gary has considerable experience with central counterparties, having sat on a number of CCP risk committees and carried out stress testing reviews. Over the years, Gary has worked both on the regulatory side (Bank of England, FSA and on Basel working groups) and for industry (HSBC, Morgan Stanley) toward shaping the new regulatory landscape.

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Liquidity Risk Management - The supervisory requirements and industry practice by Gary Dunn

About the training

Arguably, loss of liquidity rather than capital inadequacy was the primary driver of failure of financial institutions during the 2008 financial crisis. Regulators have responded with guidance on best practice in the form of principles; new quantitative requirements, for example, LCR and NSFR; and a revised and deeper liquidity review process. This course provides a comprehensive overview of the current regulations in place including BCBS documents, supervisory statements, and legislative revisions primarily for Europe. These requirements will be compared with industry practice and also other regulatory initiatives, e.g. IRRBB and FRTB. Since stress testing has become an important tool for risk management and a key part of the regulatory framework the course also spends time discussing the application of stress testing techniques. A particular area of focus will be on approaches to assigning probabilities to stress scenarios in order to deliver a coherent stress-testing framework and an economic capital number. Participants will engage in spreadsheet-based exercises that will give them practical experience in calculating LCR and NSFR and explore the interaction with interest rate risk in the banking book (IRRBB) requirements. They will also participate in a role-playing exercise where they practice responding to regulatory scrutiny.

Learning outcomes

Revised standards

An understanding of the revised standards

Liquidity risk management

Gain a theoretical and practical understanding of liquidity risk management

Liquidity risk management and other regulatory initiatives

Understand links between liquidity risk management and other regulatory initiatives such as IIRBB and FRTB

Risk transfer

Understand risk transfer, fund transfer pricing

The regulatory challenge

Gain experience of facing the regulatory challenge

Program

  • Introduction

  • Regulatory Requirements

  • Role-Playing Exercise

  • NSFR (net stable funding ratio)

  • Intraday liquidity risk management (BCBS 248)

  • ILAAP

  • Other relevant topics (Time permitting)

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