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Liquidity Risk Measurement and Management
Liquidity Risk Measurement and Management
Training Activity Rate
Trainer/s
اسامة الكيلاني
Training activity Hours
15
Training activity Date
-
Training Activity Days
Monday
Tuesday
Wednesday
Thursday
Start and End Time
16:30 - 20:15
Training Activity Classification
Risk
Course Language
English
Methodology
In class
City
Amman
Type of Training
short courses
Deadline for registration
Price For Jordanian
120 JOD
Price For Non Jordanian
300 US$
Outcomes

By the end of this training course, trainees will be able to :

-    Differentiate between sources of liquidity risk and describe specific challenges faced by different types of financial institutions in managing liquidity risk.

-    Identify liquidity funding risk, funding sources, and lessons learned from real cases: Northern Rock and Lehmans.

-    Calculate a bank’s liquidity needs through three methods (sources and uses of funds, structure of funds, and liquidity indicators).

-    Interpret the term structure of expected cash flows and cumulative cash flows.

-    Evaluate Basel III liquidity risk ratios.

-    Identify and explain the uses and sources of intraday liquidity.

-    Discuss liquidity stress test design issues such as scope, scenario development, assumptions, outputs and governance.

-    Learn the importance of maintaining a cushion of unencumbered, high quality liquid assets.

-    Identify the principles of collateral management.

-    Evaluate the key design considerations of a sound contingency funding plan.

-    Identify the importance of establishing a liquidity risk tolerance.

-    Identify the necessity of allocating liquidity costs, benefits and risks to all significant business activities.

Target Group

-  Professionals working in:

-       Treasury .

-       Risk .

-       Finance .

-       Capital management.

-       Regulatory compliance.

-       Audit.

General Goal

This module focuses on methods to measure and manage liquidity risk. The broad knowledge points covered in the Liquidity Risk Management section include the following:

-       Liquidity Risk Drivers and Principles .

-       Liquidity Risk Metrics.

-       Liquidity Stress Testing.

-       Funding Strategy .

-       Contingency Funding Plan.

-       Funds Transfer Pricing.

Contents

-    Introduction to liquidity risk :

-       The concept of liquidity in banks.

-       Definition: funding and liquidity risks .

-       Liquidity risk drivers .

-       Liquidity risk management framework within the overall risk management of a bank.

-       Inter-relationship between liquidity, credit, market, operational, legal and reputation risks.

-       The financial crisis: lessons to be learnt.

-    Liquidity risk measurement :

-       Projecting cash flows arising from assets, liabilities and off-balance sheet items.

-       Short term liquidity risk metrics – survival horizon, short term liquidity ratio.

-       Concentration metrics: funding, counterparty and currency.

-       Basel III metrics:

-    Liquidity coverage ratio.

-    Net stable funding ratio.

-    Other monitoring tools.

-    Liquidity stress testing.

-    Practical exercises .

-    Management of liquidity risk :

-    Funding strategy .

-    Liquidity cushion and counterbalancing capacity .

-    Management of intraday liquidity positions.

-    Management of collateral positions.

-    Contingency funding plan (CFP):

-    Governance.

-    Early warning indicators (EWIS).

-    Management actions.

-    Governance of liquidity risk management :

-       Liquidity risk tolerance.

-       Strategy, policies and procedures to manage liquidity risk in accordance with the risk tolerance.

-       Liquidity funds transfer pricing

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