E:\marcusevansassets\Doc\Events\ Global Financial Markets Intelligence conferences | Excellence in Liquidity Risk Management

Global Financial Markets Intelligence

Global Financial Markets Intelligence

Excellence in Liquidity Risk Management

The supervisory requirements and industry practice, including the latest NSFR and LCR requirements

14-15 May 2002
London, United Kingdom

Why You Should Attend

Excellence in Liquidity Risk Management

How will you benefit?

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.

About your expert trainer:

Gary Dunn started out life as a statistician at the Bank of England in 1977 and after a 16-year career there ended up as a senior manager within UK foreign currency reserve management with responsibility for interest rate risk strategy and liquidity management. To aid liquidity management Gary created an internal market for funding between fixed income portfolio managers and the FX desks.

Gary ventured into the private sector where he spent a further10 years as a proprietary trader. Gary joined the FSA in 2005 where his main responsibility was reviewing regulatory market risk models (CAD models including VaR and IRC). Whilst at FSA Gary attended the AIG/TBG, a BCBS working group responsible for technical design of proposed market risk regulatory capital rules. Gary contributed to the design and calibration of IRC for Basel 2.5 and also wrote internal working papers on VaR, ES and other spectral risk measures which contributed to a review of the academic literature on market risk measures, the first in a long series of FRTB papers from BCBS and industry. Then, as a senior manager at HSBC, Gary participated in many dialogues between industry and regulators covering topics such as FRTB, central clearing, margining, liquidity risk and IRRBB (interest rate risk in the banking book), as well as working on internal projects such as stress testing, IRC development, regulatory interactions and CRD IV submissions. Finally, before moving into consultancy and training, Gary took on an MD role at Morgan Stanley where he was head of risk analytics for the EMEA region.

Pre-course questionnaire:

A detailed questionnaire will be sent to all course participants to establish exactly where the group training needs lie. The completed forms will be analysed by the course leader/trainer and followed by telephone if further clarification is required. As a result we can guarantee that the course is pitched at exactly the right level and that the issues that you regard as relevant are addressed. The course material will reflect these issues and will enable you to digest the subject matter after the event in your own time.

Who should attend?

Analysts, Vice Presidents, Directors, Senior Managers in:

  • Treasury Functions
  • Capital Management
  • Regulatory Compliance
  • Governance
  • Audit
  • Risk Analytics
  • Liquidity Risk Management

Key Topics

  • 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 IRRBB and FRTB
  • Understand risk transfer, fund transfer pricing
  • Gain experience of facing regulatory challenge

  • Why Choose GFMI marcus evans?

    marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

    Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.

    Voice of Our Customers
    • “Interesting, complete, and challenging.” BNP Paribas
    • “Gary was very flexible in delivery of content when faced with knowledgeable participants” BNP Paribas
    • “Very kind, knowledgeable, and inclusive. Managed difficult conversations well” RBC
    Join the Discussion

    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Kamelia S. Simeonova

    101 Finsbury Pavement
    London EC2A 1RS

    0044 20 3002 3172
    Email: kamelias@marcusevansuk.com