Managing Liquidity Risk

London

9 & 10 September 2010

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Course Highlights:

  • Addressing the impact of market and regulatory change on liquidity risk management
  • The management of collateral - the impact on funding liquidity risk
  • Risk governance: adding discipline to liquidity management
  • Calculating an effective liquidity buffer
  • Developing robust and multifaceted contingency funding plans
  • Enhancing liquidity stress testing and scenario analysis
  • Practical issues in Funds Transfer Pricing

Course dates & venues

London 9 & 10 September 2010

VENUE DETAILS

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Course tutors

Carlo Acerbi, Analytics Research, MSCI RISKMETRICS

Sander Boogmans, Head of ALM Netherlands, ING BANK

Matthew Foss, Head of Liquidity Policy, THE ROYAL BANK OF SCOTLAND

Gaspare La Sala, Head of Liquidity Management, UBS AG

Michael Daniels. Director, International Liquidity Risk Management, BANK OF AMERICA MERRILL LYNCH

Mario Onorato, Senior Director, Head of Balance Sheet & Capital Management, ALGORITHMICS

Rüdiger Sandvoss, Department Head Risk Control Treasury / Strategic Risk Control, HELABA LANDESBANK HESSEN-THURINGEN

Learning Outcomes

  • Assess the challenges of implementing the new liquidity rules
  • Explore how the crisis influenced the level of funds and liquidity on financial markets
  • Classify and integrate liquidity risk in the overall ERM framework
  • Determine the size and composition of your buffer
  • Indentify the main factors that affect your ability to raise funds
  • Examine the risk drivers and scenarios of stress testing
  • Assess governance challenges during a crisis