The Asian Banker Diploma in Liquidity Risk Management
27-28 January 2012, Singapore

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Ensure the financial security and stability of your organisation through watertight liquidity risk mitigation and management

The post-financial crisis environment is one where the whole theme of liquidity risk is at the forefront of finance industry strategy and concern. Industry preoccupation with liquidity has been crystallised with the introduction of the Basel III guidelines, much of which focuses on ensuring that financial institutions are as well protected as possible against liquidity risk.

The Asian Banker has designed a comprehensive training programme to equip senior bank management with the information necessary for effective implementation of an effective framework for liquidity risk mitigation and management.

Amongst the various particular issues to be addressed, we will have an important focus on overcoming the difficulties of cash flow forecasting, with particular attention given to identifying correlations and managing volatility. Of ever-increasing importance as a tool for managing liquidity, Funds Transfer Pricing will come under the scrutiny of participants and how best to utilise it for maximum competitive advantage. Liquidity risk modelling and stress testing will also be an important feature as will be the incorporation of liquidity risk into product pricing.

The format of this 3-day intensive training course will be an integrated mixture of interactive exercises and scenarios, group discussions, real case studies, focused tuition, and practical problem-solving.

Effectively and efficiently managing and mitigating liquidity risk has been pushed to the forefront of industry attention as a vital regulatory requirement within Basel III. Moreover, the leading financial institutions with expertise in managing liquidity are finding it an extremely important tool for competitive advantage through optimal cash flow forecasting, product pricing and risk modelling techniques.

Never has the question of liquidity been of greater concern than now!
• Each section of this comprehensive programme will be supported by individual and group exercises and case   studies

• Limited class size: Class size is limited to 30 delegates to ensure effective one-to-one interactivity
This important training is designed to mobilize a wide range of senior professionals whose collective skills are vital for effective liquidity risk management in the financial institution including:
Directors, Heads and Managers responsible for:
•Liquidity Management
•Treasury
•Liquidity Risk
•Balance Sheet Management
•Cash Management
•Transfer Pricing
•ALM
Dr. Robert E. Fiedler studied Mathematics, Computer Sciences and Philosophy at the Universities of Heidelberg and Darmstadt. He started to work in banking at Banque Nationale de Paris in Frankfurt as a cash, money market and derivatives trader, later heading up the asset/ liability management division. In 1997 he headed the treasury and liquidity risk methodology in Deutsche Bank’s Group Risk Management where he developed the Deutsche Bank’s methodological framework for liquidity risk and implemented this approach as a firm-wide liquidity risk solution called LiMA – Liquidity Measurement & Analysis. Subsequently, in 2000 he became an Executive Director for Algorithmics’ ALM and Liquidity Risk Solutions. Since 2008 he focuses on Liquidity Risk in his own firm, Liquidity Risk Corp. (LRC) where he advises private banks, central banks and regulators on liquidity risk methodologies and helps to build software solutions to implement the resulting policies and also, since summer 2008 until now: he has been involved in planning and building a fully-fledged liquidity risk measurement and reporting system (FORLIS) for BNP Paribas Fortis Group in Brussels.
•Explore and prepare for the challenges in effectuating a holistic implementation of Basel III requirements across your organisation
•Examine the introduction of countercyclical capital buffers and the implications for your financial institution
•Implement the Basel III international framework for liquidity risk measurement, standards and monitoring
•Successfully develop your risk modelling methodologies in compliance with Basel III
•Strengthen your counterparty risk mitigation framework through implementation of the Basel III guidelines
•Scrutinise the new Basel III definitions of capital and capital quality and the implications for your institution’s capital   allocation and management framework
Day 1 - 27 February 2012, Singapore
8.30-9.00 Registration
9.00am Building a holistic liquidity risk management framework across your organisation
• Determining your institution’s liquidity profile
• Quantifying liquidity
• Criteria and tools for measuring liquidity risk
• Establishing Key Risk Indicators
• Trigger points
• Identifying liquidity black holes
• Internal controls and reporting mechanisms
• Managing FX threats to your liquidity position
• Liquidity gap analysis
• Liquidity-adjusted VaR
• Contingent liquidity
• Embedding liquidity management awareness into the DNA of your institution
  Coffee break
  ...continued
• Collateral management as a liquidity management tool
   - Aligning collateral management with liquidity management
   - Managing collateral as a liquidity buffer
   - Identifying and mitigating double default risk
• Mitigating silo-thinking: Integrating your liquidity risk management with your market and   credit risk strategies
   - Dissecting the inter-relationships between liquidity and other types of risk
   - Why do we need to bridge the gap between the credit, market and liquidity risk functions?
   - Facilitating cooperation and communication between risk functions and lines of business
   - Hedging and managing liquidity as a tradable asset class
Best-practice case studies of liquidity management framework  implementation
12.30 Lunch
2.00pm Implementing the Basel III guidelines for liquidity risk measurement, standards and monitoring
 • Examining the implementation timeframe globally
   - Identifying the challenges
• Methodologies for calculating your Liquidity Coverage Ratio (LCR)
• Determining the composition and your stock of ‘high quality liquid assets’
• Establishing your total net cash outflows
• Implementing and calculating the Net Stable Funding Ratio (NSFR)
• What exactly constitutes ‘stable funding’
• Stress testing your liquidity framework
• Managing contractual maturity mismatch
• Accurately pricing your liquidity needs
• How will banks be appraised by ratings agencies in the new Basel III environment?
   - Capital
   - Risk management
   - Liquidity and funding
• Examining the implications of Basel III on your organisation’s funding requirements and   activities
• Making the most effective use of collateral for funding
• Hedging refinancing risk
• Funds Transfer Pricing strategies
• Effectively mitigating the risk of concentration of funding
Case studies and practical exercises:
Determination and identification of ’high quality liquid assets’
Determination and identification of ‘stable funding’
Calculation of Liquidity Coverage Ratios
Calculation of Net Stable Funding Ratios
  Tea break
  Establishing and implementing a funds transfer pricing framework
• Principles of FTP and benefits for liquidity management in the organization
• Establishing an FTP framework tailor-made to the needs of your particular organization
• Integration of FTP into your liquidity management strategy
• Importance of buy-in across the organization
• Selecting the yield curve
• Price structuring and components
• FTP modeling and risk profiling
• FTP to support business decision-making
   - Budgeting and planning
   - Profitability and performance analysis
   - Product pricing
   - Analysis of shareholder value
Practical exercises: How to implement and calculate FTP for the specific profile of your organisation
5.00pm End of Day One

Day 2 - 28 January 2012, Singapore
9.00am

Liquidity risk modelling
• Establishing your organisation’s liquidity risk exposure
• Creating and structuring liquidity risk models tailored to your organisation’s specific risk   profile
• Developing your liquidity models in compliance with developing regulatory demands
• Data gathering and usage
• Reporting
• Determining model reliability through the use of appropriate validation techniques
• Model risk mitigation
• Software solutions
• Overcoming the difficulties in developing forward-looking models
Practical exercises: Liquidity risk modelling

  Coffee break
  Liquidity stress testing and scenario analysis
• Determining the most appropriate scenarios for your institution’s risk profile
• Setting parameters
• How far do we set the parameters?
• Assumption sensitivity
• Integrated credit, market and liquidity risk scenarios
• Undertaking a tailored as opposed to a standardized approach: Developing internal   methodologies and stress-tests
• Interpreting and integrating the stress test results into a liquidity management framework
• Acting on the results
Practical exercises for stress testing liquidity risk models
12.30 Lunch
2.00pm Cash flow forecasting strategies for liquidity management
 • Accurately establishing the maturity profile of your products across your balance sheet
• Determining reasonable assumptions in cash flow projection
• Establishing appropriate time lines for projection of cash flows
• Benchmarking liquidity across your product groups
• Identifying and evaluating vulnerabilities to developing liquidity requirements
• Accurately assessing liquidity risk for assets, liabilities and off-balance sheet positions
• Identifying and managing correlations for liquidity risk
• Managing the threats of volatility to your liquidity
     - Maintaining your risk capital levels
     - Predicting volatility changes
     - What good are volatility models?
Incorporating liquidity risk in product pricing
• Determining the cost of liquidity
• Impact on pricing of credit and derivatives
• Pricing risk premiums
• Incorporating funding costs into the pricing of derivative contracts
• Managing and hedging liquidity cost
• How important is liquidity for a bank’s ratings?
Practical exercises for accurately forecasting cash flow
  Tea break
  Determining the most appropriate funding strategies for your organisation’s liquidity needs
• Enhancing funding structures
• Establishing the ideal funding mix for your organisation
• Long-term funding
• Determining the most appropriate sources, forms and levels of funding
     - Short term
     - Medium term
     - Long term
• Mitigating reliance on certain sources and types of funding
• Managing intraday liquidity
• Contingency funding
     - Early warning indicators: Moving beyond emergency funding
     - Strategies for sizing liquidity buffers
     - What types of assets to include in the liquidity buffer?
Practical case-studies: Optimal funding mixes
5.30pm End of Day Two

This is one of the best-designed diploma programmes to provide Asian financial institutions with the tools and expertise necessary to effectively structure and trade their FX and interest rate derivative offerings for maximum competitive advantage.

Register today by completing the registration form below or contact Mr Gerald Rubio tel: +65 6236 6514 or email grubio@theasianbanker.com for more information.