Course Agenda

Agenda

Agenda

Day One, 21st November

Day One delivered by Patricia White, Independent Consultant and author, mentor and tutor for ALMA's Certificate in Bank ALM (CertBALM) qualification 

08:30

Registration and refreshments

09:00

What is Liquidity Risk?     

  • Liquidity risk vs. solvency risk
  • Bank behaviours and business models
  • Basic liquidity metrics
  • What went wrong during the global financial crisis 

10:30

Morning break

11:00

Regulatory Standards Post-Crisis

  • Post crisis regulatory response
  • LCR 
  • NSFR
  • ILAAP
  • L-SREP & Pillar 2 Liquidity 
  • ECB stress test 2019
  • Asset encumbrance

12:30

Lunch

13:30

Risk Management & Governance

  • Risk appetite
  • Risk governance
  • Internal stress testing 
  • FTP

15:00

Afternoon break

15:30

Recovery & Resolution 

  • Contingency funding plans
  • Funding in resolution 

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 

Speaker: Richard Burrows, Head of Treasury, Bank of China 

10:30

Morning break

11:00

Liquidity Stress Testing  

  • 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 

Speaker: Pete McIntyre, Financial Services Director, Planixs 

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