2014/06/17-18 Helsinki, Finland: 2-day workshop on "Liquidity and FTP"

Robert Fiedler will run this workshop at the
Scandic Grand Marina Hotel, Katajanokanlaituri 7, Helsinki, Finland.

Goals of the Course

This workshop reveals best practice knowledge about bank’s (funds) transfer pricing processes (FTP), the methodological thinking behind it and how they are implemented in reality. In the light of recent events, a second focus is set on liquidity risk measurement - economic and regulatory view - and its integration into FTP.

The course examines current best practice approaches and the role of the bank’s central replication department (treasury). Starting from an ideal world without uncertainties the technical concepts like yield curves and spreads, value and earnings hedges are developed. Then modifications to integrate the cost of uncertainty are introduced and a proper differentiation between fixed, expected and unexpected cost elements is elaborated. Next, the principles of liquidity risk measurement are developed and applied to the funds transfer pricing process.
Expected and unexpected costs of liquidity risk are determined and incorporated. The Basel III liquidity ratios are examined, strategies how to comply with them and how the resulting costs can be distributed within the bank are developed. Finally dynamic transfer pricing methods are introduced and the treatment of non-maturing assets/liabilities and ‘trading book assets’ is investigated.

... fore more details contact:

robert@liqrisk.com