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Finance Training Course – Course Outline – Liquidity Management: Tools, Measures and Red Flags

This advanced level workshop serves as a refresher to liquidity management, with an emphasis on traditional models including gap analysis andearnings at risk, stress testing, scenario planning, policy making and simulations.

1. COURSE OBJECTIVES

At the end of this workshop the participants will be able to:

  1. Measure liquidity and quantify the effectiveness of traditional measurement tools.
  2. Use scenario based methods, stress testing and simulations to highlight your liquidity risk profile.
  3. Develop assumptions for testing liquidity risk for Internal Capital Adequacy Assessment.
  4. Assess and evaluate existing liquidity policies and contingency plans.

2. TRAINING COURSE LEVEL

Intermediate and advance users. This advance level workshop is aimed at individuals responsible for asset liability management and risk managementwithin banks, insurance companies and mutual funds.

3. TRAINING COURSE PREREQUISITES

Familiarity with basic liquidity concepts, local markets, portfolio management and the Basel II framework.

4. COURSE OUTLINE

Session & TitleTopics
Session One – Liquidity and ALM ModelsOverview and introduction.Key terms and concepts.

Basic tools – Price and Maturity GAP, MVE and NPV Analysis, Net Interest Income, Earnings at Risk,Cost to Close and Liquidity.

Session Two – Liquidity Management IStructure, Policies, Tools, Stress tests, ICAAP and Scenario analysis for Liquidity.
Session Two – Liquidity Management IIHands on simulation and exercises.
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