Liquidity Risk Training Programme

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