Module Four: Bank liquidity risk management
Module four is perhaps the most arcane and technical, and yet easily up there with the most important, of all the BTRM modules. It covers all aspects of liquidity risk management and how this vital function should be carried out in order to ensure continuous through-the-cycle survivability. Related topics such as yield curve construction and stress testing, an essential part of the Basel III regulatory regime, are covered in depth.
14. Liquidity risk management I – Lecturer: Jamie Paris
15. Liquidity risk management II: Risk metrics and limits; Collateral management and XVAs pt.1 (CVA, FVA) – Lecturers: Chris Westcott, Stephen Laughton
16. Liquidity risk management III: optimum liabilities strategy and managing the liquidity (HQLA) buffer; XVAs pt.2 – Lecturers: Jamie Paris, Stephen Laughton
17. Constructing the bank internal funding curve – Lecturers: Polina Bardaeva, Moorad Choudhry
18. Internal funds transfer pricing (“FTP”) and funding policies. FTP in frontier markets – Lecturers: Engelbert Plassmann, Massimo Pedroni
19. Liquidity reporting, stress testing and ILAAP. Intra-day liquidity risk. Asset encumbrance policy – Lecturers: Chris Westcott, Enrique Benito
20. Collateral management: Bilateral Margin Rules and Central Clearing for OTC Derivatives. Impact of CCPs on ALM – Lecturer: Kevin Liddy
Online multiple-choice test to obtain Award in this module.