Dates
10th - 11th May, 2012
Value Drivers
This program focuses primarily on measuring how illiquidity affects the banking and the trading book management.
We first find out how the liquidity risk influences the negotiability of banks and financial firms treasurers. We examine the liquidity risk for the banking book, with a look to the metrics aimed at estimating the risk within interbank and other money markets. Best practices from the banking sector and from data providers will be presented.
We then find out how liquidity affects the trading book. We present the models aimed at estimating the “fair value” of financial assets by taking into account a premium for the risk that is in keeping with explanatory factors of market liquidity.
Special emphasis will be placed on the experiences of leading companies that have invested in projects for measuring liquidity risk.
Participants will be able to closely examine the problems of identifying risk factors, supervisory implications, models for mapping financial portfolios, the metrics put forward to measure liquidity risk and the effect on absorption of banking capital.
The program will also allow participants to develop the knowledge needed to closely examine the factors that create liquidity risk in portfolio positions.
The purposes are:
- to identify the regulatory framework;
- to analyze measurement methodologies and discuss their advantages and limits;
- to assess the impact of liquidity risk in order to reach an accurate valuation of assets, distinguishing between securities and derivatives;
- to manage the funding liquidity risk;
- to identify the relationship with other risks (risk integration) and capital management.
Participants
The program is aimed at those who work (or wish to work) in the areas of risk management and capital management, as well as financial brokers, treasurers and operators dealing with trading and banking books.
Contents
Definitions of liquidity risk
- Integrating funding liquidity risk and market liquidity risk.
- The regulatory context of measuring liquidity risk and the proposals of Basle III.
Optimizing funding management within banks and financial firms
- Models based on stocks.
- Models based on cash flows.
- An integrated view.
- Financial and Technological Solutions to manage the funding risk .
Static and dynamic models for measuring the liquidity risk
- The idiosyncratic factors of liquidity risk.
- Risk factors for bonds.
- Risk factors for equities.
- Risk factors for derivatives.
- Models based on asset volume (volume models).
- Models based on bid-ask spread.
- Models based on execution lag.
Asset pricing and liquidity risk
- The liquidity risk premium.
- Market risk assessment adjusted for liquidity risk.
- The impact of liquidity risk for treasury management.
- Measuring the liquidity constraints for financial institutions.
- Controlling the risk within treasuries.
- Managing the liquidity risk in money markets.
Practitioners’ experience
- Experts from financial intermediaries and information providers.
Faculty
- Francesco Cuccovillo: SDA Professor of Banking and Insurance. Head of Credit and ABS Structuring (Europe, Middle East and Africa), Nomura, London.
- Giampaolo Gabbi: Full Professor of Financial Investments and Risk Management, University of Siena. SDA Professor of Banking and Insurance. Visiting Professor of “Financial Regulation” at City University London.
- Andrea Sironi: Full Professor of Risk Management, Università Bocconi, Milan. SDA Professor of Banking and Insurance.
- Giovanna Zanotti: Associate Professor of Financial Markets and Institutions, Bergamo University.
SDA Professor of Banking and Insurance. Visiting Professor at Calgary University and Simon Fraser University.
