Liquidity Risk Measurement and Management
This course reviews fundamental concepts of liquidity risk measurement and management, covers the public policy responses to these prior failures (such as the Basel III liquidity metrics, contingency funding plans and liquidity transfer pricing, the novel requirement of an Internal Liquidity Adequacy Assessment Process or ILAAP to complement the Internal Capital Adequacy Assessment Process or ICAAP, and the growing use of liquidity stress testing), and views liquidity risk management from the bankers’ point of view as well as the supervisors’, and from a macro as well as a micro perspective.
Objectives
- will be able to explain how and why banks fail because
of inadequate liquidity risk management; - distinguish between market liquidity risk and funding liquidity risk;
- understand both the rationale and the mechanics of the liquidity coverage ratio, the net stable funding ratio, survival horizon analysis, and other contemporary metrics and tools of liquidity risk management;
- know how to assess the adequacy of a contingency funding
plan and an ILAAP; and understand the basics of liquidity transfer pricing and liquidity stress
testing.