Liquidity Risk

The fundamentals of a liquidity risk management framework are presented in the context of contemporary regulatory requirements and firm-wide liquidity management techniques are considered. The course discusses the effects of liquidity squeezes and the availability of risk capital on the broad market. You will cover: ï The effects of liquidity risk on securities pricing and funding ï The relationship to Funds Transfer Pricing (FTP) ï The impact on derivative pricing and hedging ï The challenges of building a successful framework for liquidity risk management ï The regulatory requirements for liquidity including Basel stress tests ï Effective liquidity stress testing and contingency planning ï The techniques for modelling liquidity risk within a treasury framework ï The impact of liquidity in the failure of LTCM hedge fund ï The role of liquidity risk in the downfall of a major Wall Street firm Agenda Summary ï Introduction ï Securities Pricing in the Presence of Illiquidity ï Building a Framework for Treasury Liquidity Risk Management ï Contingent Liquidity Risk ï Liquidity Stress Testing ï Liquidity Risk in the Balance Sheet Framework ï Measuring Market Risk: Liquidity-Adjusted Value-at-Risk ï Systemic Changes in Liquidity and Volatility ï Systemic Changes in Liquidity and Volatility Workshops and Case Studies ï Computer-based exercises modelling the impact of liquidity risk on securities/derivatives prices ï Designing Liquidity Stress Tests ï Capital Management ï Liquidity Risk and Lehman Brothers