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Liquidity Risk Management (Part 2)


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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


Liquidity Risk

Published date

11 August 2014



Presenter Bio

Antonio Castagna

Related workshops

Moorad Choudhry

Bank Liquidity Risk Management

17 April 2014

Francesco Fede

Liquidity Risk Management (Part 1)

30 July 2014

Related books

No books found for presenter