E:\marcusevansassets\Doc\Events\ Global Financial Markets Intelligence conferences | Live Online Workshop: Liquidity Risk Management

Global Financial Markets Intelligence

Global Financial Markets Intelligence

Live Online Workshop: Liquidity Risk Management

A 12 hour online programme delivered live across 4 three hour daily modules

11-14 May 2021
Online, United Kingdom


Why You Should Attend

Live Online Workshop: Liquidity Risk Management

To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop style set

This live online program has been created in order to enable executives from financial institutions to experience the benefits of a live course from their office or home. Discussion will be encouraged between participants, and this will be facilitated by spreadsheet-based examples giving practical experience in calculating LCR and NSFR, and exploring the interaction with IRRBB requirements. They will also participate in a role-playing exercise which involves practicing responses to regulatory scrutiny.

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, and legislative revisions primarily for Europe. These requirements will be compared with industry practice and also other regulatory initiatives where liquidity is a factor, e.g. IRRBB and FRTB.

Since stress testing has become an important tool for risk management and a key part of the regulatory framework the course also spends time discussing the application of stress testing techniques. A particular area of focus will be on approaches to assigning probabilities to stress scenarios in order to deliver a coherent stress-testing framework and an economic capital number.

About your expert trainer:

Gary Dunn started out life as a statistician at the Bank of England in1977 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 further 10 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 the FSA Gary conducted a thematic review of the management of interest rate risk in the banking book (IRRBB) across London based banks. He also 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.

From 2010, 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.

Now Gary works as a private consultant and trainer, and has been delivering public and in-house courses with marcus evans for several years. As a result of the 2020 Coronavirus pandemic Gary has also successfully transitioned to delivering his courses online, ensuring that banking professionals continue to benefit from his insights.

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

Capital Management

Regulatory Compliance

Governance

Audit

Market Risk Analytics

Liquidity Risk Management

Asset & Liability Management (ALM)

Balance Sheet Management

Funds Transfer Pricing (FTP)


Key Topics

  • Review the revised BCBS standards and regulatory metrics
  • Gain theoretical and practical understanding of liquidity risk management
  • Look at practical applications of stress testing for liquidity risk
  • Understand links between liquidity risk management and other regulatory initiatives such as IRRBB and FRTB
  • Introduction to risk management tools: transfer pricing, simulation techniques, applications of Monte Carlo and Bayesian techniques

  • 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
    • “Good course with inspirational teacher, open minded approach to discussions and knowledge-sharing. Relevant subject” Danske Bank
    • “Very informative and interesting, the material received was very detailed” APS Bank
    • “Good and learned a lot, the trainer knew a lot about the subject and could answer all questions” Synechron
    • “The use of online mini-games and simulations was very engaging. I have enjoyed the interaction with the rest of the learners in the sessions” European Central Bank
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    Event Contact

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

    Kamelia S. Simeonova


    101 Finsbury Pavement
    London EC2A 1RS


    Telephone:
    0044 20 3002 3172
    Fax:
    Email: kamelias@marcusevansuk.com