WorldBusiness
Training
Posts: 35
Joined: Jan 2003
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Wed Jan 09, 13 02:06 PM
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Liquidity Risk Master Class: Modelling and Managing Liquidity Risk by Rama Cont & Liquidity Risk Management by Moorad Choudhry
London: 25th & 26th April
Download Pdf
Discount Structure:
Register to both days of the workshop and receive a £200 discount
Book before 22nd February 2013 to receive a 20% early bird discount
Book before 22nd March 2013 to receive a 10% early bird discount
Day1, Thursday 25th April: Modelling and Managing Liquidity Risk by Rama Cont
Liquidation Risk vs Mark-to-Market Risk
What is liquidation value?
Liquidation value vs. mark-to-market value
Price impact and the 'optimal execution' of trades
Why risk management should focus more on liquidation value rather than mark-to-market value
Taking liquidity risk seriously: consequences for pricing and risk management
Liquidation of Complex Portfolios
"Closing out": orderly liquidation of complex multi-asset portfolios
The need for contingency plans for orderly liquidation
A quantitative framework for assessing close-out risk
Hedging in illiquid markets
Running for the Exit: Distressed Selling and Endogenous Risk
Distressed selling and fire sales
A model of price impact from distressed selling
How distressed selling distorts portfolio volatility and cross-asset correlations
A quantitative model for assessing distressed close-out risk
Case study: the Great Deleveraging of Fall 2008
Case study: the Quant Crash of August 2007
The concept of endogenous risk
Spillover effects from liquidation of large portfolios: how exposed are you?
Integrating Liquidity and Market Risk
How liquidity risk and market risk are intertwined, and what you can (and should) do about it
A quantitative framework for integrating liquidity and market risk
Designing joint stress scenarios for market risk and liquidity
Strategy crowding as a risk factor
Day 2, Friday 26th April: Liquidity Risk Management by Moorad Choudhry
Key Features:
Measuring liquidity risk: liquidity metrics
Liquidity strategy ? Bank policy and risk appetite
Liquidity policy:
Stress testing, scenario analysis and planning for failure
Liquidity risk management: limit setting
Funds Transfer Pricing
The yield curve and internal curve setting
Bank Regulations, Basel III and the New Liquidity Paradigm
Primer on Liquidity Risk
Definitions and description
Liquidity risk in context of overall bank risk
ALM policy and strategy
Managing Liquidity Risk
Liquidity strategy ? Bank policy and risk appetite
Liquidity policy:
Banking book funding policy
Securities funding policy
Derivatives funding policy
Measuring Liquidity Risk
Liquidity metrics: baseline metrics
Liquidity metrics: additional MI
FSA requirements
Liquidity risk management: limit setting
Defining liquidity limits
Stress Testing and ILAA Results + Pitts Ratio
Stress testing, scenario analysis and planning for failure
Making the management processes robust and responsive
Funds Transfer Pricing
Business best practice methodology and policy
Price setting: market implied and proxy measures
The Yield Curve
Business best-practice for setting the bank internal funding curve
Secured funding curve
WACF
Methodology and implementation
LAB eligible, plus LAB charge to businesses and LAB hedging
Bank Regulations, Basel III and the New Liquidity Paradigm
The regulatory focus
Implications for liability strategy
Recent Liquidity Stress Events and their Outcomes
Northern Rock, the subprime crisis and the credit crunch, quantitative easing and others
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Edited: Wed Jan 09, 13 at 02:14 PM by WorldBusiness
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