Liquidity Risk

IFF Training

How long?

  • 2 days
  • online, in person

IFF Training

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About the course

The fundamentals of a liquidity risk management framework are presented in the context of contemporary regulatory requirements and firm-wide liquidity management techniques are considered. The course discusses the effects of liquidity squeezes and the availability of risk capital on the broad market. You will cover:

  • The effects of liquidity risk on securities pricing and funding
  • The relationship to Funds Transfer Pricing (FTP)
  • The impact on derivative pricing and hedging
  • The challenges of building a successful framework for liquidity risk management
  • The regulatory requirements for liquidity including Basel stress tests
  • Effective liquidity stress testing and contingency planning
  • The techniques for modelling liquidity risk within a treasury framework
  • The impact of liquidity in the failure of LTCM hedge fund
  • The role of liquidity risk in the downfall of a major Wall Street firm

How You Will Learn

Our experienced trainer uses exercises to bring the theory to life

Computer-based exercises include: Modelling the impact of liquidity risk on securities/derivatives prices; Designing Liquidity Stress Tests

Case studies include: Liquidity risk in the failure of long-term capital management; Liquidity risk and Lehman Brothers – how LR brought down a major Wall Street firm

Agenda Summary

  • Securities Pricing in the Presence of Illiquidity
  • Building a Framework for Treasury Liquidity Risk Management
  • Contingent Liquidity Risk
  • Liquidity Stress Testing
  • Liquidity Risk in the Balance Sheet Framework
  • Measuring Market Risk: Liquidity-Adjusted Value-at-Risk
  • Systemic Changes in Liquidity and Volatility
  • Systemic Changes in Liquidity and Volatility

Workshops and Case Studies

  • Computer-based exercises modelling the impact of liquidity risk on securities/derivatives prices
  • Designing Liquidity Stress Tests
  • Capital Management
  • Liquidity Risk and Lehman Brothers

Experts

Andrew Street

Andrew Street was formerly Executive Director - Head of Arbitrage & prior to that, Director - Head of Equity & Commodity Derivatives at Mitsubishi Finance International (now bank of Tokyo-Mitsubishi). He has been a senior financial regulator including being Head of Traded Risk at the Fin...

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Liquidity Risk at IFF Training

From  2159 GBP$2,827

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