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