Liquidity stress-testing
View AgendaKey reasons to attend
- Design effective liquidity stress tests for risk management
- Apply best practices for liquidity stress-testing models
- Understand the integration of solvency and liquidity stress-testing
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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 focuses on liquidity stress-testing in banking, exploring the value of liquidity stress-testing and capital stress-testing, and examines how to construct robust liquidity stress-testing frameworks that incorporate 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.
Pricing options:
- Early-bird rate: save up to $800 per person by booking in advance (refer to the booking section for the deadline)
- 3-for-2 rate: save over $2,000 by booking a group of three attendees (applicable to this course)
- Subscriber reward: save 30% off the standard rate if you are a Risk.net subscriber (use code SUB30)
- Season tickets: save over $1,000 per person by booking 10 or more tickets (available on selection of courses)
*The 30% subscriber reward discount is applicable only to current Risk.net subscribers. If this criteria is not met, we reserve the right to cancel the booking and issue an invoice for the correct rate. Discounts cannot be applied to already registered participants.
Learning objectives
- Analyse the value of liquidity stress-testing
- Address the effect of capital ratios on the balance sheet and revenues
- Learn how to design a scenario for liquidity stress-testing
- Implement liquidity-stressing effectively
- Identify and manage stress-testing metrics
- Maintain compliance with regulatory requirements such as LCR, NSFR and ILAAP
Who should attend
Relevant departments may include but are not limited to:
- Stress-testing
- Liquidity risk management
- Regulatory compliance
- The internal liquidity adequacy assessment process
- Risk analysis
- Audit
- Asset-liability management
Agenda
November 25–27, 2024
Live online. Timezones: Emea/Apac
Sessions:
- Introduction and regulatory standards
- Integrating solvency and liquidity stress-testing
- Best practices in model validation for liquidity (stress-testing) models
- Implementing liquidity stress tests
- Embedding a liquidity stress-testing framework
- The internal liquidity adequacy assessment process (ILAAP) and stress-testing
Pre-reading materials
The Risk.net resources below have been selected to enhance your learning experience:
- Bank-Level Liquidity Stress-Testing
- How higher interest rates are affecting bank liquidity
- ALM banking after the crisis: stress-testing for more robust liquidity management practices
- 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.