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Liquidity Risk has always been the ultimate risk for financial institution, although in times of financial stability ongoing growth and ample cash liquidity supply between banks, it has not been at the forefront of perception. Other than market and credit risk, and even operational risk, its methods have not been that far developed and moreover, regulators have been a bit reluctant to explicitly deal with it.

During the Financial Crisis 2007-2008, however, esteemed institutions like Lehman Brothers, Merrill Lynch, AIG, Freddie Mac, Fannie Mae, HBOS, Royal Bank of Scotland, Fortis, Dexia, Hypo Real Estate etc. became unable to raise sufficient cash for the ordinary course of their business and went into bankruptcy or had to be saved by their governments. This completely changed the picture: the top banks have developed and implemented sophisticated liquidity methodologies and the regulators followed with according standards (Basel 3).

After this course the attendants will understand the roots of liquidity risk and its effects on their business model. They will be able to distinguish economic and regulatory measures for liquidity risk and learn how to optimize their balance sheet accordingly.

• Measuring Illiquidity Risk
• Analyzing the Interplay of PLE and CBC
• Regulatory Requirements
• Liquidity Generating Strategies
• Liquid Assets
• The CounterBalancing Capacity (CBC)
• Liquidity Risk Management (LRM) vs.
• Liquidity Management (LM)
• Regulatory Requirements
• Typical Issues in Intraday Liquidity Management
• Integration of Intraday Issues into Liquidity Risk Methods
• Best Practice (Funds) Transfer Pricing Methods and Processes
• Transfer Pricing in a World with no Uncertainty
• Integrating the Uncertainties of the Originated Transaction
• Integrating Regulatory Cost (from Basel II)

• Learn from the best practice within leading international banks
• Identify the nature of liquidity risk and how to distinguish its different types
• Develop an economic methodology to measure, monitor and manage illiquidity risk
• Learn to model liquidity risk exposures and their mitigating strategies
• Understand, implement and learn how to manage the impacts of regulatory liquidity related requirements such as Basel III, BCBS 248, CEBS’ Guidelines on Liquidity Cost
Benefit Allocation
• Understand the role of liquidity risk in the bank’s transfer pricing process and quantify its direct and indirect costs

CEOs, CFOs, CROs; MDs, VPs, Directors, Division Heads, Senior Managers and Executives responsible for:
• Liquidity Management / Liquidity Risk Management / Liquidity Transfer Pricing
• Treasury / ALM / Money Markets / Repo Trading / ALM Risk
• Balance Sheet Management / Business Planning
• Funds Transfer Pricing / Origination
• Risk Management / Model Risk
• Finance and Accounting
• Auditors (Internal & External)