Liquidity stress-testing
View AgendaKey reasons to attend
- Explore the regulatory framework and guidelines for liquidity stress-testing
- Gain expertise in designing and implementing effective liquidity stress tests
- Learn to interpret liquidity stress-testing results to identify vulnerabilities within a bank
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About the course
In light of last year’s bank failures, which were largely due to inadequate liquidity risk management, stress-testing has become more important than ever. This course offers an in-depth exploration of the design and implementation of liquidity stress tests for banks. Participants will learn how to calibrate stress scenarios, apply simulation techniques and adhere to best practices for data collection, as well as interpret the outcomes.
Industry experts will discuss the expectations for ILAAP and provide an example of a stress-testing programme that aligns with the approach suggested by the European Central Bank (ECB). Attendees will also explore case studies that illustrate how to integrate climate risk into the liquidity stress-testing measurement framework, covering both counterbalancing capacity and outflows.
Pricing options:
- Early-bird rate: save up to $800 per person by booking in advance*
- 3-for-2 rate: save over $2,000 by booking a group of three attendees*
- Subscriber reward: save 30% off the standard rate if you are a Risk.net subscriber*
- Season tickets: cost-effective option for groups of 10 or more. Learn more
*T&Cs apply
Learning objectives
- Review examples of reserve stress-testing designs
- Examine the integration of funds transfer pricing
- Learn about the liquidity coverage ratio (LCR) and the net stable funding ratio (NSFR)
- Understand how climate risk can be incorporated into the liquidity stress-testing framework
- Explore how stress-testing results are used to set risk appetite and limits
- Analyse the role of the internal liquidity adequacy assessment process (ILAAP)
Who should attend
Relevant departments may include but are not limited to:
- Liquidity risk management
- Stress-testing
- Asset-liability management
- Compliance
- Risk analysis
- Audit
- Treasury
Agenda
June 17–19, 2025
Live online. Timezones: Emea/Americas
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
- ALM banking after the crisis: stress-testing for more robust liquidity management practices
- One year on, regulators still want a cure for bank runs
A Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two news articles a month.
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