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

• Liquidity risk analysts and liquidity risk modellers
• 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 behavioural 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

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