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Day one - Thursday 9th September 2010
08.30 Registration and coffee
09.00 Addressing the impact of market and regulatory change on liquidity risk management
- Coverage ratio and net stable funding ratio
- Challenges to implementing the new liquidity rules
- The role of the central bank
- Incorporating the new regime
Gaspare La Sala, Head of Liquidity Management, UBS AG
10.30 Morning break
11.00 The management of collateral - the impact on funding liquidity risk
- Collateral management: recent trends and developments
- Interbank collateral vs. client collateral
- How the crisis influenced the level of funds and liquidity on financial markets
- Developing tools and techniques used to manage collateral
- Finding a way to manage the limitation of funds and liquidity in the financial market
- Understanding the value of collateral change over time
- Understadning the term structure for secured finance
Speaker to be confirmed.
12.30 Lunch
13.30 Risk governance: adding discipline to liquidity management
- Risk perception and consistency
- Stakeholder involvement and participation
- What and whom
- How to select
- Risk committee structures
- Technical competence of risk committees
- Renumeration policy
- Evaluation of performance
- Governance challenges during a crisis
Michael Daniels, Director, International Liquidity Risk Management, BANK OF AMERICA MERRILL LYNCH
15.00 Afternoon break
15.30 Calculating an effective liquidity buffer
- Links between liquidity buffers and the overall framework
- Assessing inherent liquidity risk
- Determining the size and composition of your buffer
- What constitutes a liquid asset?
- Determining your risk appetite
- Necessary actions to carry out
Ruediger Sandvoss, Department Head Risk Control Treasury/Strategic Risk Control, HELABA LANDESBANK HESSEN-THURINGEN
17.00 End of day one
Day two - Friday 10th September 2010
08.30 Registration and coffee
09.00 Developing robust and multifaceted contingency funding plans
- Integrating liquidity risk into the operating model
- Is there a trade-off between risk and cost?
- Developing an integrated contingency plan - strategies and methods
- Managing the transition from going concern to contingency
- How do supervisory changes impact liquidity contingency plans?
Matthew Foss, Head of Liquidity Policy, THE ROYAL BANK OF SCOTLAND
10.30 Morning break
11.00 Enhancing liquidity stress testing and scenario analysis
- The risk drivers and scenarios of stress testing
- Building scenarios to cover liquidity - incorporating the major funding and market liquidity risks
- Backward looking vs. forward looking scenarios
- The importance of the involvement of senior management in designing effective scenarios
Mario Onorato, Senior Director, Head of Balance Sheet & Capital Management, ALGORITHMICS
12.30 Lunch
13.30 Mark-to-Liquidity: a new paradigm to quantify liquidity risk
- Formalisation of liquidity risk in standard portfolio theory: problems and paradoxes
- The microstructure of illiquid financial markets
- The role of portfolio constraints
- The value (MtL) of a portfolio when liquidity risk is taken into account
- Granularity effects and the concavity of value maps
- Quantifying the value of liquidity injections
- Liquidity heat maps of a portfolio
- Coherent risk measures and liquidity risk measures
Carlo Acerbi, Analytics Research, MSCI RISKMETRICS
15.00 Afternoon break
15.30 Practical issues in Funds Transfer Pricing
- How to apply FTP for different products
- FTP governance
- Contingency liquidity charge/benefit
Sander Boogmans, Head of ALM Netherlands, ING BANK
