Liquidity Risk Management (Part 2) by Antonio Castagna

Liquidity Risk Management (Part 2)
Presenter: Antonio Castagna, Partner, IASON

Models for Market Risk Factors

  • Stock Prices and FX Rates
  • Interest Rate Models
  • Default Probabilities and Credit Spreads
  • Expected and Minimum Liquidity Generation Capacity of Available Bonds
  • Fair Haircut for Repo Transactions and Collateralised Loans
  • Adjustments to the Value of Illiquid Bonds

Behavioural Models

  • Prepayment Modelling
  • Sight Deposit and Non-Maturing Liability Modelling
  • Credit Lines Modelling

The Links between Credit Risk and Funding Cost

  • Cash-flows Fair Values and Discounting
  • Critique of the Debit Value Adjustment
  • The DVA for Derivative Contracts
  • Dynamic Replication of the DVA
  • Accounting Standard and DVA
  • The Distinction between Price and Value

Cost of the Liquidity and Fund Transfer Pricing 535

  • Principles of Transfer Pricing
  • The Funding and the Banking Activity
  • Building the Funding Curve
  • Including the Funding Cost into the Loan Pricing
  • Monitoring of the Funding Costs and Risk Control of the Refunding Risk
  • Funding Costs and Asset/Liability Management
  • Internal Fund Transfer Pricing System
  • Best Practices and Regulation

Liquidity Risk and the Cost of Funding in Derivatives Contracts