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Basel III – Liquidity Framework
About this course
The Basel III – Liquidity Framework course describes how the supervisory liquidity ratios, Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR) are calculated. 5 metrics for monitoring liquidity risk are then discussed. This is followed by a framework for estimating liquidity risk capital for a bank. Real world liquidity risk case studies for Bear Stearns, Lehman Brothers, AIG are presented.
After taking this course you will be able to:
- Outline the Basel III capital adequacy regulation
- Compute LCR & NSFR
- Describe 5 risk metrics used for monitoring liquidity
- Summarize a framework for estimating liquidity risk capital
- Identify real world cases of liquidity risk management failures
The candidate should have some familiarity with debt, equity & FX markets and risk management frameworks. They should also be comfortable with basic mathematics, statistics, probability and EXCEL.
The course is aimed primarily at banking professionals and individuals responsible for risk management within banks who need to review or refresh their understanding of Capital Adequacy regulations for work, professional review, audit or personal development.