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UK Europe EMEA GCC Time Zones
CPEs: 40
Instructor: Dennis Cox
Level: Advanced
Tuition: £4,995.00
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NEW Liquidity Risk Management, Treasury and Stress Testing RM064

Location: UK Europe EMEA GCC Time Zones

First Date: March 13 - 14, 2024

Duration: 5 days

Programme Director: Dennis Cox / Dr Howard Haughton

All Dates & Locations
Venue Details

Experience the highly-interactive expert-led social learning through Virtual Classroom via Cisco WebEx from Risk Reward.

All our 2024 Live, on-site and Live Virtual Classroom events feature shared (or discrete) live chat between delegates and the expert, participate in topical surveys, polling questions, group exercises and case studies for a tried -and- true engaging and gratifying learning experience.

Need to bring this course in house, train your team or 1:1? Simply contact us for significant cost savings and dates best suited to meet your specific needs.

Agenda Highlights

Session 1: The Treasury – Identifying, Analysing and Managing Risk

Session 2: Bank capital management

Session 3:  Understanding interest rate risks

Session 4: Foreign exchange risk management

Session 5: The tools of interest rate risk management

 Session 6:  The Trading Room

Session 7:  Introduction to Liquidity Risk Management in Financial Institutions

Session 8:  Measuring Liquidity Risks – Key Measures

Session 9:  Liquidity Risk Regulation

Session 10:  Managing Liquidity Risks

Session 11:  An Introduction to Stress Testing

Session 12:  Market Risk and Liquidity Risk Stress Tests

 

Overview

This five-day course for supervisory and management staff covers the theory and practical aspects of the identification, measurement, monitoring, management and control of treasury and liquidity risk management within financial institutions.

Who Should Attend

Senior to middle management within, Treasury Asset and Liability Management, Treasury, Accounting and Finance, Legal and business departments, Middle and back-office supervisors and management supporting trading operations of financial institutions. The course would also be useful for junior and middle-ranking internal audit and compliance officers and executives although it is designed for staff with more than three years of relevant experience.

Additional Course Information

What Does It Cover?

Session 1: The treasury – identifying, analysing and managing risk

  • Outline of a treasury function
  • The treasurer’s role
  • Risk versus return
  • Finance versus business risk
  • Types of risk
    • Credit
    • Market
    • Operations
    • Other risks
  • Identification, analysis & control of risks
  • VAR, back testing and simulation

 Session 2: Bank capital management

  • ALCO
  • Managing cash & working capital
  • Forecasting cash flows
  • Financing with debt versus equity
  • Maturity profiles
  • Fixed versus floating
  • The question of mismatches
  • Hedging approaches and costs

 Session 3:  Understanding interest rate risks

  • Liquidity
  • Gap analysis
  • Types and uses of gap analysis
  • Rate shocks
  • Simulation approaches
  • Discount window operations and lender of last resort facilities
  • Duration
  • Modified duration
  • Convexity
  • Repo – financing and liquidity operations
  • High-yield bond markets

 Session 4: Foreign exchange risk management

  • Types of transaction
  • Spot, forward and FX Swap transactions
  • Translation exposure
  • Economic exposure
  • Currency options
  • Put / call parity explained
  • Hedging decisions

 Session 5: The tools of interest rate risk management

  • Forward transactions
  • Forward Rate Agreements (FRAs)
  • Financial futures
  • FRAs versus futures
  • Interest rate & currency swaps
  • Interest rate options
  • Swaptions
  • The impact of changing regulation

 Session 6:  The trading room

  • The nature of the team dynamics
  • Governance and structure
  • Ethics and compliance
  • The trading cycle
  • Trading intention
  • Monitoring and measurement
  • Errors and omissions
  • Limits and excesses

 Session 7:  Introduction to Liquidity Risk Management in Financial Institutions

  • Defining Liquidity Risk and its importance to the banking system.
  • Asset & Liability Management
  • Roles
  • Functions
  • Objectives

Session 8:  Measuring Liquidity Risks – Key Measures

  • Liquidity Gap Analysis
  • Volatilities
  • Duration Analysis
  • Credit Risk
  • Yield Curves
  • Forward Curves
  • Counterparty Risk
  • Credit Ratings
  • Market Dealing Practices

 Session 9:  Liquidity Risk Regulation

  • The liquidity sound practices paper from the BIS
  • The importance of a stock of high-quality liquid assets
  • The liquidity coverage ratio
  • The Basel paper on LCR and monitoring tools (2013)
  • Liquidity coverage disclosure standards (2014)
  • Net stable funding ratio (2014)
  • The impact on liquidity risk management

Session 10:  Managing Liquidity Risks

  • Asset and Debt Management Structures
  • Cash-flow Matching
  • Dealing with Excess Liquidity
  • REPO
    • Borrowing and Lending
    • Fixed income inventory management
    • Stock lending
  • Derivative Hedging
  • Historical case studies to illustrate liquidity risk issues
  • Basel sound practises paper
  • Treasury Liquidity Management function
  • Day-to-day operations management
  • Quantity and Quality of Liquidity Risk Indicators
  • Contingency planning
  • Crisis Management

Session 11:  An Introduction to Stress Testing

  • What is stress testing?
  • What is the difference between scenario modelling and stress testing
  • Confidence Levels
  • Types of stress tests
  • The relation between distributions and stress testing
  • Scenario modelling, sensitivity analysis, historical vs. models
  • BIS Principals of sound stress testing
  • Other regulatory papers

Session 12:  Market Risk and Liquidity Risk Stress Tests

  • Types of market risk stress tests
  • How markets move under stress
  • Risk mitigation strategies
  • Linkage to credit stress tests
  • How to develop typical stress tests
  • How to build market risk stress modelling into a risk framework
  • Types of liquidity risk stress tests
  • Reserve funding lines
  • How to build liquidity risk stress modelling into a risk framework
  • Contingency funding plans and stress tests
Learning Objectives
  • By the end of this course participants will have an understanding of the nature of liquidity risk. They will appreciate its impact upon bank strategies and the trading and non-trading operations of financial institutions and will possess knowledge of the approaches taken to measure, manage and control liquidity risk within financial institutions.

Delegates who complete the course will receive a Certificate with equivalent CPD/CPE credits via email; and for those who require an assessment as a demonstration of competency via training a 20 multiple-choice questions and answers quiz, remotely invigilated with results report and 1 resit, is available at no additional charge when requested at time of reservation.

Social Learning & Methods

Highly interactive expert-led intensive presentation, Q&A, group real-time in-depth case studies, regulation and discussion supported by key principles and theory. The virtual learning platform uses safe, industry preferred encrypted Cisco WebEx to optimize live face-to-face visual interaction, discrete chat, for polling and quizzes.

(An invitation via email with access link is included for all participants.)

Registration

NEW Liquidity Risk Management, Treasury and Stress Testing

Course Fee

Apply 10% discount code RISK10 by December 15, 2023 at check-out

Course Fee (per person):
GBP £4,995.00 (+ UK VAT when applicable)

Number of delegates:

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