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Managing Liquidity Risk in Financial Institutions A Review of Industry Best Practices


Day 1

  • Definition of Liquidity
    • Funding Liquidity vs. Market Liquidity
    • Dovetailing into the Enterprise Risk Management Framework:
      • Market Risk
      • Default Risk
      • Credit Migration Risk
      • Operational Risk
      • Business Risk
  • Liquidity and Financial Operations
    • Operating Requirements for Banks, Investment Funds and Insurance Companies
    • General Approaches to Liquidity Management
    • External Requirements
    • The Liquidity Risk/ Return Trade-off
    • Endogenous vs. Exogenous Liquidity
    • Case Study : a typical Liquidity Profile
  • Sources of Liquidity
    • Liquid Assets
      • Cash and Marketable Securities
      • Receivables
      • Inventories
    • Fixed Assets and Intangibles
    • Sources of Funding Liquidity
      • Short Term Funding Markets
        • CP, ECP
        • Short Term Bank Facilities
        • Payables
        • Deposits and Repurchase Agreements
      • Medium & Long Term Funding Markets
        • MTNs & Euro-note Facilities
        • Funding Agreements and GICs
        • Long Term Bonds
        • Loans
      • Equity Capital
      • Off Balance Sheet Liquidity
        • Securitisation
        • Contingent Financing
        • Leases
        • Derivatives

Day 2

  • Funding Liquidity Risk
    • Unpredictable Cash flows
    • Unfavourable Legal / Regulatory Actions
    • Mismanagement
    • Negative Perceptions/ Market Actions
  • Exogenous Considerations
  • The Funding Problems in Practice
    • Rollover Issues
    • Lack of Market Access
    • Commitment Withdrawal
    • Excessive concentrations
  • Case Studies: The Effects of Funding Liquidity Risk: HVB, DEPFA
  • Asset Liquidity Risk
    • Sources
    • Exogenous considerations
    • Asset Issues:
      • Lack of Marketability
      • Lack of Unencumbered Assets
      • Excessive Concentrations
      • Mis-valued Assets
      • Insufficient Collateralization
    • Case Study: Bayern LB
  • Financial Distress – Lessons from the Crisis of 2007-2009
    • Joint Asset and Funding Risk
    • The “Liquidity Spiral”
      • Debt Investors Viewpoints
      • Rating Agencies
      • Management
    • The Crisis from a Liquidity Viewpoint
  • Famous Pre-Crisis Cases:
    • Drexel Burnham Lambert
    • Askin Capital
    • Orange County
    • LTCM
    • Swissair
    • Enron
  • The “Post Lehman Brothers” Crisis: Causes vs. Effects: Depfa Plc, Bayern LB, Commerzbank/ Dresdner, Northern Rock, RBS
  • Measuring Liquidity Risk
    • Liquidity Ratios
    • Liquidity Gaps
    • Relationship to Re-pricing Gaps
    • Financial Instrument Liquidity Measures: VAR & LVAR
    • Haircuts
    • Stress Tests
      • Market Parameters
      • Cash Flows
      • Asset disposals & Pledging
      • Funding
      • Covenants & Terminations
      • Collateral
      • Currency Exposures
      • Event Risks & Joint Scenarios
      • Risk Plan
      • Resources: Budgets, HR
      • Duties & Responsibilities

Day 3

  • Liquidity Risk Control
    • Governance Structure

Mandate

    • Asset Liquidity Control
      • Limits on Liquid & fixed Assets
      • Collateral / Pledging Limits
    • Funding Liquidity Control
      • Diversified Funding Limits: Example -  Credit Suisse
      • Committed Facility Limits: Example –  Credit Suisse
    • Joint Liquidity Control
      • Cash Flow Gap Limits: Example HVB (Unicredit)
      • Balance sheet Target Limits
      • Hybrid Ratio Limits
    • Off Balance Sheet Control
      • Forward Commitments & Contingencies
    • Other Safeguards for Liquidity
      • Reserves
      • Mark & Model Verification
      • Penalty Systems
    • Liquidity Risk Monitors
      • Asset & Funding Portfolios
      • Off-Balance Sheet Commitments & Contingencies
      • “Forward Balance Sheet”
      • Stress Tests
      • General Indicators
  • Crisis Management
    • Ex Ante Market Access
    • Defensive Measures
      • Recentralisation
      • Funding Management
        • Prioritising Funding Draw-downs
        • Extending Liabilities Maturities
        • Suspending Cash Flows
      • Risk Hedging
  • Managing Liquidity Risk in “non Maturing Assets and Liabilities” (advanced)
    • General Principles
    • Replicating Portfolios
      • Example – Savings Accounts
      • Example – Demand Deposits
    • Stochastic optimization
    • Option Adjusted Spread Methods
      • The Jarrow-van Deventer Model
      • Other Advanced Models applied by financial Institutions
    • Model Review – Comparison
  • Liquidity Management at a large Swiss Universal Bank – Case Study
  • Discussion and Q&A

     

 

 

 

 

 

Код курса Дата начала Длительность
Liquidity_Risk 3 дня

 

 
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