Liquidity Risk

Em London (Reino Unido)

£2.199 - (R$8.454)

Informação importante

  • Curso
  • London (Reino Unido)
  • Quando:
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The course provides a detailed introduction to the measurement and management of liquidity risk. In the first part, liquidity risk is introduced and its impact on the pricing and funding of individual securities is explained.

Informação importante

Instalações e datas

Início Localização
13 março 2017
18 setembro 2017
6th Floor, 29 Bressenden Place, SW1E 5DR, London, Reino Unido
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O que se aprende nesse curso?

Risk Management
Hedge Fund
Capital Management
Contingency planning
IT risk
Market Risk
IT Management


The fundamentals of a liquidity risk management framework are presented in the context of contemporary regulatory requirements and firm-wide liquidity management techniques are considered. The course discusses the effects of liquidity squeezes and the availability of risk capital on the broad market. You will cover: ï The effects of liquidity risk on securities pricing and funding ï The relationship to Funds Transfer Pricing (FTP) ï The impact on derivative pricing and hedging ï The challenges of building a successful framework for liquidity risk management ï The regulatory requirements for liquidity including Basel stress tests ï Effective liquidity stress testing and contingency planning ï The techniques for modelling liquidity risk within a treasury framework ï The impact of liquidity in the failure of LTCM hedge fund ï The role of liquidity risk in the downfall of a major Wall Street firm Agenda Summary ï Introduction ï Securities Pricing in the Presence of Illiquidity ï Building a Framework for Treasury Liquidity Risk Management ï Contingent Liquidity Risk ï Liquidity Stress Testing ï Liquidity Risk in the Balance Sheet Framework ï Measuring Market Risk: Liquidity-Adjusted Value-at-Risk ï Systemic Changes in Liquidity and Volatility ï Systemic Changes in Liquidity and Volatility Workshops and Case Studies ï Computer-based exercises modelling the impact of liquidity risk on securities/derivatives prices ï Designing Liquidity Stress Tests ï Capital Management ï Liquidity Risk and Lehman Brothers

Informação adicional

Practical course