Liquidity Risk Management - Supervisory Requirements and Industry Practice
Location: Prague, NH Hotel Prague
Lecturer: Gary Dunn
How you will benefit:
An understanding of the revised standards
Gain theoretical and practical understanding of liquidity risk management
Understand links between liquidity risk management and other regulatory initiatives such as IIRBB and FRTB
Understand risk transfer, fund transfer pricing
Gain experience of facing regulatory challenge
Course Overview and Objectives:
Arguably, loss of liquidity rather than capital inadequacy was the primary driver of failure of financial institutions during the 2008 financial crisis. Regulators have responded with guidance on best practice in the form of principles; new quantitative requirements, for example LCR and NSFR; and a revised and deeper liquidity review process.
This course provides a comprehensive overview of the current regulations in place including BCBS documents, supervisory statements on approaches to the review process, existing CRR requirements and draft revisions to CRR published in November 2016. These requirements will be compared with industry practice and also the interaction of these regulations with other regulatory initiatives, e.g. IRRBB and regulatory capital requirements (particularly under the revised market risk rules - FRTB).
Participants will engage in spreadsheet-based exercises that will give them practical experience in calculating LCR and NSFR, explore the interaction with interest rate risk in the banking book (IRRBB) requirements. They will also participate in a role-playing exercise where they practice responding to regulatory scrutiny.