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 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.
Recommend to a Colleague- Date:
- Please contact us
- Venue:
- Central London
- Fee:
Who The Course is For
- 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
Prior Knowledge
- Basic understanding of financial risks
- Familiarity with liquidity risk is recommended
- Microsoft Excel
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Course Details
- Date:
- Please contact us
- Venue:
- Central London
- Duration:
- Please contact us
- Fee:
- Please contact us

Call now for more information on this course or to book:
EMEA +44 (0) 20 7378 1050
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