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Advanced Bank Liquidity Management - Stress-Testing, Contingency Planning, and FTP

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 program, participants will develop a complete liquidity stress testing framework. Particular emphasis is placed on stressed modeling of behavioral elements of the on- and off-balance sheet, namely non-maturity liabilities, prepayment risks, and liquidity/credit facilities. Derivatives collateral posting requirements are also modeled 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.

  • Date:
  • 18th - 20th April 2018
  • Venue:
  • Manhattan - New York
  • Fee:
  • US$1565 per day


  • You might be eligible for preferential rates. Please contact us to check if your company is a member of the LFS Global Client Programme.

This course is also available in London and Singapore

Who The Course is For

  • Liquidity risk analysts and liquidity risk modelers
  • Liquidity risk managers
  • ALCO and risk committee members
  • Treasurers and treasury staff members
  • FTP managers and staff members
  • Internal audit or risk control
  • External auditors and regulators

Learning Objectives

  • Learn how to implement a state-of-the-art liquidity stress-testing model, capturing the most challenging to model stressed behavioral drivers, including non-maturity liabilities, prepayments, liquidity/credit facilities, and derivatives collateral posting requirements
  • Review and implement a best-practice liquidity funds transfer pricing framework spanning the full range of banking activities
  • Learn how to manage liquidity through a crisis - recognizing crisis onset early on through key risk indicators and activating a well-designed contingency funding plan

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Prior Knowledge

  • Basic understanding of financial risks
  • Familiarity with liquidity risk is recommended
  • Microsoft Excel

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