Liquidity Risk Management (Part 1) by Antonio Castagna & Francesco Fede

Liquidity and Banking Activity
Presented by Francesco Fede, Head of Treasury, Banca IMI and Antonio Castagna, Partner, IASON

  • The origin of the new financial environment
  • A Journey into Liquidity: Liquidity interrelations between banks and G-SIFI RegulationLiquidity interrelations between banks and G-SIFI Regulation:

                 Different types of liquidity
                 Vicious and virtuous effects
                 The role of central banks

  • Liquidity interrelations between banks and G-SIFI Regulation
  • New Regulation on Liquidity Risk

Monitoring Liquidity Risk

  • A Taxonomy of Cash-Flows
  • Liquidity Options
  • Quantitative Liquidity Risk Measures
  • The Term Structure of Expected Liquidity
  • Cash-flows-at-Risk

Liquidity Buffer and Term Structure of Funding

  • Liquidity Buffer and Counterbalancing Capacity . . . . . . 183
  • Causes of the Liquidity Buffer: Maturity Mismatch, Derivative Collateral, Off-Balance Sheet Commitments
  • Basel III Regulation and Liquidity Buffer