Course Agenda

Agenda

Agenda

Day One, 21st November

08:30

Registration and refreshments

09:00

Pre-crisis Behaviours and Regulations; What is Liquidity Risk?     

  • Liquidity risk vs. solvency risk
  • Bank behaviours and business models
  • Pre-crisis liquidity regulatory requirements
  • What went wrong?
  • Case study: pre-crisis bank balance sheet structure

10:30

Morning break

11:00

Basel Committee on Banking Supervision Response: Qualitative & Quantitative

  • Principles for sound liquidity risk management and supervision
  • Focus on stress testing and contingency planning
  • Basel III – Liquidity Coverage Ratio (LCR)
  • Purpose and overview
  • Basel III – Net Stable Funding Ratio (NSFR)
  • Purpose and overview
  • NSFR case study
  • How the regulatory response has impacted banks business models

12:30

Lunch

13:30

EU Implementation

  • Capital Requirements Directive (CRD IV) – liquidity risk aspects
  • Capital Requirements Regulation (CRR) Liquidity Delegated Act
  • EBA Technical Standards and Guidelines
  • LCR case study

15:00

Afternoon break

15:30

Liquidity Risk Appetite, ILAAP and Liquidity SREP

  • Banks’ internal risk appetite approaches and metrics
  • EBA Guidelines on ILAAP
  • EBA Guidelines on SREP Methodologies

17:00

End of Day One

Day Two, 22nd November

08:30

Refreshments

09:00

PRA Pillar 2 Liquidity     

  • Objective of Pillar II Liquidity
  • Cash flow mismatch risk
  • Franchise viability risk
  • Calibration between internal and external stress testing 

10:30

Morning break

11:00

Stress Testing Liquidity

  • Funding obligations under stress
  • Cost of funding risk – regulatory requirements
  • The importance of liquidity buffers
  • Using historical scenarios
  • Understanding interactions with other risk types
  • Contingency plans for asset liquidation
  • Incorporating resolution measures to stress tests
  • Best practice

12:30

Lunch

13:30

Managing Intraday Liquidity  

  • What is intraday liquidity risk?
  • Sources of intraday liquidity
  • Measuring intraday liquidity and stress testing it
  • Key challenges
  • Consequences of not addressing intraday liquidity
  • Optimising your position 

15:00

Afternoon break

15:30

Interplay of LCR, NSFR & Leverage Ratio

  • Can LCR and LR/NSFR interact with unintended consequences for systematic risk?
  • Unforeseen interactions   
  • Deleveraging short-term business
  • Assets turning illiquid under stress

17:00

End of course