Liquidity Risk Measurement and Management
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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.


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.


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


Type of Traning

Short Course

Training Activity Rate
Trainer/s
Osama Kilani
Training activity Hours
15
Training activity Date
11/12/2022 - 15/12/2022
Training Activity Days
Sun- Mon- Tue- Wed- Thu
Start and End Time
17:00 - 20:00
Break Time
18:20 - 18:40
Training Activity Classification
Risk
Language
English
Methodology
In class
City
Amman
Deadline for registration
11/12/2022
Price For Jordanian
120 JOD
Price For Non Jordanian
300 US$

* Will be given discounts for groups