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.

2012/07/20, Basel: Research Task Force of the BCBS "Liquidity Stress Testing"

LRC presents its Liquidity Stress Testing Methodology

The Research Task Force (RTF) of the Basel Committee on Banking Supervision (BCBS) recently mandated its Subgroup on Liquidity Stress Testing (RTF LST) to take stock of the current practices used to measure and stress test for liquidity risk. The RTF LST members are delegates of supervisory authorities and / or national banks of about 20 jurisdictions.

As a first step the group aims to compile a taxonomy of the approaches available for liquidity stress testing including a technical overview and assessment of the strengths and weaknesses of current practices.

This taxonomy could then be used to develop improvements for liquidity stress testing processes.

As one of the inputs, the RTF LST surveys existing liquidity stress testing approaches applied by banks themselves including vendors' solutions offered to banks to carry out liquidity stress tests

internally.

2012/05/1-2, London: Conference "Transfer Pricing for Liquidity Risk"

Robert Fiedler Chairing 

2012/04/30, London: Seminar "Transfer Pricing for Liquidity Risk"

Robert Fiedler Conducting Pre Conference Seminar on Transfer Pricing for Liquidty Risk 30 April 2012

2012/02/27-28, Singapore: Asian Banker Diploma "Liquidity Risk Management"

Robert Fiedler is giving a seminar on Liquidity Risk at the Asian Banker Diploma in Singapore.

2012/02/20-23, London: Basel3 Implementation Conference

Dr Robert Fiedler speaks at The 3rd Annual Practicioners' Summit on Basel3 Implementation for Banks.   The conference takes place in London 20-23 February 2012.

Basel III Implementation - Event Home