2013/12/11-12, Amsterdam: Presentation "Liquidity Scenario Analysis in Transfer Pricing"

Robert Fiedler will give a presentation at the IIR conference "on Funds Transfer Pricing (FTP)" in Amsterdam on the 11th and 12th of December:

• Expected Return, Uncertainty and Risk
• Why Stress Tests are Compulsory for Value Risks (Market- & Credit Risk)
• Why Stress Test are Part of Illiquidity Risk Models (and thus Redundant)
• Idealized Transfer Prices for Financial Transactions with ‘Scheduled’ Cash Flows
• The Price of Uncertainty: Aberration of Real from Scheduled CFs
• Expected Deviations are (Expected) Costs
• Value Risks: Unexpected Aberrations (Losses) Need to be Covered by Capital
• Illiquidity Risks: Unexpected Aberrations (Unanticipated Liquidity Deficits) Need to be Protected with Liquidity Portfolios
• The Cost of Capital
• The Cost of a Liquidity Portfolio
• How Much ‘Unexpected’ can be Expected
• The Bank’s Required Resilience Against Uncertainty
• The Cost of Resilience