2012/11/12-13, London: Workshop "Liquidity Risk"

Conducted by Robert Fiedler

This course will pinpoint the diverse types of liquidity risk and walk through a methodology for measuring and managing illiquidity risk. There will be an important focus on overcoming the difficulties of cash flow forecasting and dealing with uncertainties in general. As illiquidity risk is not a value risk, it cannot be mitigated by capital; as a substitute for capital the counterbalancing capacity of the bank’s liquidity buffer is described and examined. As a tool for managing the development of the balance sheet, the role of liquidity risk costs in transfer pricing will be analysed. Finally Basel III is discussed, its impacts on bank’s business models are qualified and possible ways to manage the adherence to the rules are developed.

Learning outcomes:

- Identify what liquidity risk is and how its different types can be distinguished
- Hear about the best practice within leading international banks
- Develop a consistent methodology to measure, monitor and manage illiquidity risk
- Understand the role of liquidity risk in the bank’s transfer pricing process and quantify its direct and indirect costs
- Understand the requirements and impacts of liquidity regulations such as Basel III and learn how to manage them
- Learn to model liquidity risk exposures and their mitigating strategies.