2014/06/23-25 Lagos, Nigeria: 3-day workshop on "Market and Liquidity Risk"

Conducted by Robert Fiedler

2014/06/18 London: talk on "Pricing of Non-Maturing Accounts"

Robert Fiedler talks on 

„Pricing of Non-Maturing Accounts"

- overview: popular models / latest developments

- interest rate vs. Liquidity risk

- the bank’s FTP approach

- the cost of expected and unexpected deviations

at the

3rd Edition Retail Deposit Optimisation and Management Conference
Optimise deposits, pricing, and strategy to create the best products and generate funding in a competitive market 

Crowne Plaza London, The City London, UK
18th – 20th June 2014

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

2014/06/14-15 Amman, Jordan: In-house Course "Liquidity Risk"

in-house Course with Robert Fiedler.

Please contact me, if you are interested in a similar course or workshop:

robert@liqrisk.com

2014/06/09-11 Dubai: 3-day workshop on "Liquidity Risk Measurement and Management"

Key Objectives and 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

What Will Participants Learn? 
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 analyzed. 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.

http://www.euromoneytraining.com/Course/6762/Financial-Training-Middle-East/CourseInfo.html

2014/04/7-8 Dubai: course "Fund Transfer Pricing"

2014/03/24-26, London: 3-day workshop on "Liquidity Risk Measurement and Management"

Key Objectives and 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

What Will Participants Learn? 
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 analyzed. 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.

http://www.euromoneytraining.com/Course/1653/Financial-Training-UK-Ireland/CourseInfo.html

2014/03/10-11, Kuala Lumpur: 2-day workshop on "Liquidity Risk Measurement and Management"

2014/02/11, Helsinki: "Reporting and Managing Liquidity Risk" at the Likviditeetin Hallinta:

Reporting and managing liquidity risk with the LCR

•Economic liquidity risk: illiquidity risk and liquidity induced value risks
•Illiquidity risk: uncertainty and term-structuredness of cash flows and inventories
•The substitute for capital: the CounterBalancing Capacity (CBC)
•Regulatory view: the LCR of Basel III as a simplified measure for illiquidity risk
•The mechanics of the Total Net Cash Outflows of the LCR
•The High Quality Liquifiable Assets and the cost of the liquidity portfolio
•Economic and regulatory (LCR) liquidity risk as elements of internal transfer prices
•Managing the LCR: Current-, Forward- and Future-LCR
•Simulating the balance sheet from a liquidity risk perspective

2014/01/16, Basel: Financial Stability Institute at the BIS: "Seminar on Liquidity Risk"