Liquidity stress-testing
View AgendaKey reasons to attend
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Design effective liquidity stress tests for risk management
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Apply best practices for liquidity stress-testing models
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Understand the integration of solvency and liquidity stress-testing
Customised solutions
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About the course
With poor liquidity risk management contributing to sizable bank failures in 2023, stress-testing is more important than ever. This course explores the value of liquidity stress-testing alongside capital stress-testing and examines how to construct a robust liquidity stress-testing framework that incorporates solvency considerations.
The effectiveness of the liquidity coverage ratio and the net stable funding ratio will be analysed, along with a session dedicated to ILAAP. Participants will also develop an understanding of how low capital from stress scenarios can trigger funding liquidity problems.
Attendees will leave the course with the tools to embed a liquidity stress-testing framework and leverage the results from stress-testing analyses in decision-making processes.
Flexible pricing options:
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Early-bird rate: book in advance and save $200
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3-for-2 group rate: book three delegates for the price of two and save more than $2,000
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Season tickets: book a team of 10 or more and save up to 50%
Learning objectives
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Analyse the value of liquidity stress-testing
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Consider recent bank failures and regulatory requirements
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Learn how to design a scenario for liquidity stress-testing
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Determine adequacy of liquidity buffers in different stress events
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Examine key data challenges of quality and prioritisation
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Identify strategies to control risks associated with funding liquidity
Who should attend
Relevant departments may include but are not limited to:
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Stress-testing
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Liquidity risk management
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Regulatory compliance
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The internal liquidity adequacy assessment process (ILAAP)
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Risk analysis
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Audit
Agenda
November 20–22, 2023
Live online. Timezones: Emea/Apac
Sessions:
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Introduction and regulatory standards
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Embedding a liquidity stress-testing framework
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Validation of stress-testing models
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Liquidity stress-testing
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Integration of solvency and liquidity stress-testing
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The internal liquidity adequacy assessment process (ILAAP) and stress-testing
Tutors:
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Oivind Andresen, principal, BDO
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Fitzarnaz Drummond, executive manager, Westpac Group
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Stratos Nikolakakis, managing director and founder, Neon-Advisory
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Christopher Skak Nielsen, liquidity management specialist, Nordea
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Nabeel Latif, director of treasury - middle east, Standard Chartered Bank
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Naji Freiha, senior consultant, Konsilium
Pre-reading materials
The Risk.net resources below have been selected to enhance your learning experience:
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US regional banks hold smaller proportion of high quality assets
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Why tougher liquidity rules may not reduce the risk of bank runs
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Risk modellers navigate fearful new world of depositor behaviour
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Stress Testing (2nd Edition). Approaches, Methods and Applications
A Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two news articles a month.
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