ILAAP & Liquidity Risk Management

Course Overview

The course is designed to familiarize the participants with the current regulatory issues in liquidity risk, including Liquidity Risk Management, Asset-Liability Management, Internal Liquidity Adequacy Assessment Process (ILAAP) and the Supervisory Review and Evaluation Process (SREP) for ILAAP. This workshop will provide an understanding of liquidity risk management practices and the application of the new ILAAP framework.

Who Should Attend ?

  • Head of Liquidity Risk
  • Head of Treasury/Balance Sheet Management
  • Asset-Liability Management
  • Head of Market Risk
  • Head of Finance, Business Heads
  • Risk Management Professionals
  • Head of compliance/Regulation
  • Program Directors/Project Managers for ILAAP
  • many more

Training Takeaways :

  • Overview for better understanding of the Liquidity Risk landscape
  • Fundamentals of Balance Sheet Asset-Liability Management (ALM)
  • Implementing and understanding ILAAP requirements and reporting
  • LCR (Liquidity Coverage Ratios) requirements
  • NSFR (Net Stable Funding Ratios) requirements
  • Ensuring an understanding of LCR and NSFR
  • Intraday Liquidity requirements and operationalising in practice

Trainer Profile

The trainer is a full-time Risk Management Consultant who currently resides in London UK and who periodically takes time out to teach Risk Management courses world-wide, including Liquidity Risk, Asset-Liability Management and Treasury Risk Management.
His courses focus on the practical and the important elements that are essential to achieve success. It’s not just about textbook learning. Originally from North America, Mark has worked extensively in Toronto & New York & other major financial centres around the globe.

He has worked in financial services organisations of all types and sizes and, including small and large. He has led major Risk-related transformation programmes using his subject matter expertise for Institution-wide Risk Management and corporate governance initiatives.
He is an experienced Subject-matter Programme Director with a successful track record in implementing regulatory initiatives to establish industry-leading standards in Risk and Governance. He is most often accountable for programme reporting to the Board and Executive Management. He has led programmes and projects involving multidisciplinary teams across different geographies involving various regulatory authorities.

Schedule

• What has changed from ILAA to ILAAP?

• Liquidity risk identification & quantification
• Managing bank liquidity in the context of business goals and financial policies
• Risk balancing
• The banking landscape

• Liquidity at Risk
• Integrating liquidity and risk management

• Liquidity strategy - proactive/reactive/supine
• Liquidity policy elements
• Making the management processes robust & responsive

• Liquidity flows
• Transfer pricing
• Defining liquidity limits
• Liquidity pitfalls

• The Basics of Cash Management
• Budget v. Actual v. Forecast & variance
• Revenues, Costs and the Breakeven Point
• Risk versus Return
• Types of Risk
• Hedging Approaches and Costs

• Implementing an Effective Approach
• Modern Philosophies
• What Drives You?
• ALCO Composition & Objectives
• Effective Data Collection
• Interest rate risks
• Foreign currency exposures

• Transfer Pricing as a Tool
• Implementation Issues
• Setting Transfer Rates
• Using an Internal Funding Centre
• Accounting Problems
• Asset & Liability Pricing Implications

• Introduction to Intraday Liquidity Risk Management.
• Measuring Intraday Liquidity Risks.
• Monitoring Intraday Liquidity Risks.
• Managing Intraday Liquidity Risks.
• Intraday Liquidity Risk Management Issues
• Controlling Intraday Liquidity Risk

• Explanation of Liquidity Coverage Ratio
• Criteria for inclusion as High Quality Liquid Assets
• Categories of HQLA – Level 1, Levels 2A and 2B
• International framework for liquidity risk management
• Liquidity risk identification and quantification
• Liquidity at Risk
• Integrating liquidity and risk management
• International framework for liquidity risk management
• BCBS sound practices for liquidity risk
• The liquidity coverage and net stable funding ratios (LCR & NSFR)
• Monitoring tools and techniques
• What impact will LCR and NSFR have on bank’s business model and ROE

• A Global Liquidity Standard
• Liquidity Coverage Ratio (LCR)
• Liquidity Coverage Ratio - Criteria
• LCR Criteria & Net Stable Funding Ratio (NSFR)
• Net Stable Funding Ratio - Criteria
• Available Stable Funding (ASF)
• Required Stable Funding (RSF)
• Early implementation experience
• Management and supervision of liquidity risk
• Managing liquidity and operational risks from a bank’s perspective
• Supervisory frameworks for assessing the management of liquidity and operational risks in banks
• Managing liquidity and operational risks from a bank’s perspective
• Supervisory frameworks for assessing the management of liquidity and operational risks in banks
• Challenges in implementation

• The approaches – quantitative and qualitative
• Why it is necessary
• Framework for stress testing, scenario modelling and sensitivity analysis
• Benefits of stress testing
• What can go wrong in the practice

• Introduction and Overview of ILAAP in advanced market
• Objectives of ILAAP
• Major components of the ILAAP
• Major challenges in building an ILAAP
• The ILAAP Process

• Summary of Bank's Strategies
• Liquidity Adequacy and ILAAP
• Approach and Methodology and details on models emp.
• Internal Models: Pillar 1 and ILAAP comparisons
• Stress Testing and Scenarios Applied
• Liquidity Transferability Between Legal Entities
• Aggregation and Diversification

• The key principles
• Suggested framework, content and layout
• Prudence and conservatism
• Period to be covered
• Proportionality
• The ILAAP process from preparation to Board approval
• Challenge and independent review
• Liquidity position – suggested content and layout
• The process of creating the ILAAP
• ILAAP ‘Hot Buttons’ and regulatory concerns

• Introduction
• Overarching principle
• Governance
• Fund Transfer Pricing
• Identifying, measuring and managing liquidity risk
• Intra-group liquidity risk management
• Funding strategy and market access
• Intraday liquidity risk management
• Collateral management
• Stress testing
• Contingency funding plan
• Liquidity buffers
• Public disclose information
• Conclusion

• Questions & Answers
• Conclusion

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