Liquidity & Market Risk: Hands-on Analysis and Stress Testing
2-Day Training | Live Online | Excel-Based | Case Study-Based | Intensive & Interactive
You will be equipped to perform liquidity and market risk analysis yourself with confidence and precision. The course is designed for professionals that want more than theory!
Topics include Value at Risk (VaR) models, stress testing, regulatory metrics like LCR/NSFR, and the Internal Liquidity Adequacy Assessment Process (ILAAP). Participants will develop practical insights through real-life case studies, Excel-based exercises, and mini-case analysis related to Asset Liability Management (ALM), currency and interest rate risks.
- Risk Managers and Analysts – Monitoring and mitigating liquidity and market risks
- Treasury Professionals – Managing cash flow, funding, and liquidity risk
- ALM Specialists – Optimizing balance sheet structure and financial stability
- Regulatory Reporting & Compliance Teams – Ensuring adherence to LCR, NSFR, ILAAP
- Internal Auditors – Reviewing risk frameworks and compliance practices
- Finance Executives – Strategic oversight of risk exposure in banks and financial institutions
- Investment & Portfolio Managers – Evaluating market risks in portfolio decisions
- Graduate Students in Finance/Risk/Banking – Gaining practical, career-enhancing skills
Objectives
By the end of this course, participants will be able to:
- Identify the sources and types of liquidity risk in both banks and corporations.
- Analyze the interplay between liquidity risk, market microstructure, and funding strategy.
- Use tools like VaR and stress testing to quantify and manage risk exposure.
- Apply knowledge and insights through real-life case studies and Excel-based simulations.
- Develop practical understanding of regulatory reporting frameworks like ILAAP, LCR, and NSFR.
Methodology
This course is highly interactive and structured around real-life and Excel-based case studies, supported by engaging PowerPoint presentations. A variety of practical illustrations, real scenarios, and hands-on simulations will help participants master both the technical and soft skills required in today’s risk and treasury functions.
Day 1: Liquidity Risk Fundamentals
– Exploring Liquidity and Liquidity Risk
– Types of Liquidity Risk: Market Liquidity Risk vs. Funding Liquidity Risk
– Causes and Indicators of Liquidity Stress
– CAMELS Framework: Overview of Bank Operations and Risk Profiles
– Market Microstructure and Liquidity Channels
– Case Study: Analyzing a Real-Life Liquidity Event
Day 2: Funding Strategy & Regulatory Tools
– Designing a Funding Strategy
– Diversification of Funding Sources
– Contingency Funding Plans (CFP)
– Stress Testing Liquidity
– Stress Scenarios and Assumptions
– LCR (Liquidity Coverage Ratio) and NSFR (Net Stable Funding Ratio)
Market Risk, ALM & ILAAP
– Deep Dive into Market Risk & Value-at-Risk (VaR)
– VaR Models and Excel-Based Calculation
– Case Study: Market Risk Simulation
– Liquidity Risk and ALM (Asset-Liability Management)
– Asset-Liability Mismatch
– Mini Case Study: Interest Rate and Currency Risk
– ILAAP (Internal Liquidity Adequacy Assessment Process)
– Roles and Responsibilities
– Key Elements of ILAAP Reporting
– Real-World Report Walkthrough – Interpreting Data
Key Takeaways
– Excel templates for VaR, LCR/NSFR, and liquidity gap analysis
– Practical case studies with insights from banking and treasury environments
– Exposure to regulatory compliance tools with a focus on ILAAP
George Skordis - an experienced professional, currently a Group CFO of 15 companies and conducting Finance projects for the EY Academy’s clients. For specific projects in Advisory and Training, George collaborates with EY Academy to serve key clients.
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