Liquidity Risk Training Programme

RiskMathics Financial Innovation
En Benito Juárez

US$ 2,000 - ($ 40,880)
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Información importante

  • Curso
  • Para profesionales
  • Benito juárez
  • 16 horas de clase
Descripción

Objetivo del curso: The effects of liquidity risk on securities pricing and funding. The challenges of building a successful framework for liquidity risk management. The regulatory requirements for liquidity. Effective liquidity stress testing and contingency planning. Destinatarios del curso: Liquidity risk is fundamental to the management of every financial operation. This ground-breaking course will teach you the best proactive methods for measuring and managing liquidity risk in today’s turbulent market environment. Attend this two day course and gain a comprehensive understanding of the liquidity risk dynamics, the process that is followed in the best organizations, market and funding liquidity, liquidity contingency planning, and the incorporation of credit in the liquidity framework:

Información importante
Instalaciones

Dónde se imparte y en qué fechas

Inicio Ubicación
Consultar
Benito Juárez
Dakota, 95, Col. Nápoles, 03910, Ciudad de México, México
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Profesores

Suresh Sankaran
Suresh Sankaran
Director Strategic Consulting Services

Hasta Noviembre de 2010, Suresh fue Vice Presidente y Director de consultoría Estratégica para IPS-Sendero, unidad que pertenece a Fiserv Inc. (NASDAQ ticker: FISV). Actualmente encabeza, desarrolla y provee de servicios de consultoría sobre Enterprise Risk Management (ERM) y Basilea II y III para clientes de IPS-Sendero KRM a nivel mundial. Alrededor de 30 personas le reportan los proyectos que se están ejecutando en diferentes países.

Programa académico

Understanding the nature of liquidity risk

•The universe of investable instruments

•Pools of liquidity, and illiquid assets

•Market conventions

•Repo and the funding of illiquid instruments

•Liquidation and “fire-sales”

•Liquidity risk in banking, securities trading and insurance

Building a framework for liquidity management

•Mismatch approach

•Foreign currency liquidity management

•Internal controls for liquidity risk management: stress testing

•Internal controls for liquidity risk management: scenario analysis

•Double default and the analysis of collateralized transactions

•Basel and liquidity risk

Liquidity contingency planning

•The need for contingency planning

•Written contingency plans

•Crisis management plans for assets

•Crisis management plans for liabilities

•Internal and external communications

•Other crisis management issues

Liquidity stress-testing

•Why stress test liquidity

•General considerations

•Empiricism versus rocket science

•Current stress test priorities

•Assumption sensitivity

•Additional considerations

Liquidity risk in the context of an active Treasury

•Metrics and measures of liquidity risk

•Liquidity gap analysis and the bank’s liquidity profile

•Expected and unexpected loss analysis in the presence of illiquidity

•Liquidity management policy

•Regulatory requirements for liquidity management

•The use of conduits

Measuring market risk – Liquidity adjusted Value at risk (LVOR)

•Definitions

•Using liquidity-adjusted VAR to manage risk

•Limitations of standard VAR measures to assess liquidity

The incorporation of credit in the liquidity risk framework

•Cash-flows adjusted for credit

•The recovery process

•Credit in funding and market liquidity

•Credit-adjusted liquidity analytics

Northern Rock – A case study on liquidity

•What caused the failure of Northern Rock

• The structure of syndication, securitisation, and so many other ions


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