Workshop Introduction

This case study based workshop will provide a practical introduction or refresher on key liquidity risk regulatory and industry developments.

Through a mixture of interactive presentations, case studies and facilitated group discussion delegates will gain a comprehensive understanding of key business challenges and their solutions from a technical and strategic perspective.


Workshop Agenda

Background and Objective of Liquidity Management
This extended session will review the varying objectives of liquidity management and the appropriate measures used for each objective. This will include:

• Definitions of liquidity
• Levers of control in an organisation
• Objectives of liquidity management by different
stakeholders, including hedge funds, traders,
brokers, banking and the regulator


Case Study: LTCM
This case study will look at different views of the LTCM crisis considering the real issues and how they may have been avoided.


Review of Previous Liquidity Crisis
Liquidity issues arise surprisingly frequently. This session will examine the typical characteristics, warning signs and actions of the key stakeholders.

• Previous liquidity crises and the warning signs
• Observed behaviour of stakeholders
• Summary of 2008 liquidity crunch
• Role of central banks and their likely actions
• An overview of quantitative easing


FSA Consultation Papers on Liquidity and the Individual Liquidity Adequacy Standards (ILAS)
This session will review the FSA’s evolving guidance on liquidity. In particular:

• Relationship to the ICAAP
• Governance
• Monitoring and reporting
• Reporting groups


Case Study: Northern Rock
This case study will review the Northern Rock liquidity crisis, comparison with other Financial Institutions and the FSA investigation.


Examining Management Actions and Liquidity
This session will cover the management issues around liquidity. This will include:

• Governance and management issues in practice
• Macro-economic early warning indicators
• Monitoring liquidity
• Crisis management
• Capital structures and insurance
• Communication with investors


Resource Allocation, Pricing and Strategic Impacts
The liquidity regulations are very likely to make liquidity issues a biting constraint on Financial Institutions in the same way as regulatory capital or risk concentrations. This session will consider the implications and how this may be managed within the organisation.

• Resource allocation and optimisation
• Strategic issues
• Transfer pricing issues


Stress Testing and Scenario Analysis for Liquidity Issues
This session will look at the modelling aspects of liquidity analysis, in particular the issues surrounding the quantification of the stress tests and scenarios. It will include some additional case studies on specialised areas of liquidity analysis including:

• Stress testing models and assumptions
• Scenario analysis – how to generate good scenarios
• Credit card securitisation and off balance sheet issues
• Leveraged finance


Addressing Market Risk Measures
Risk measures typically assume liquidity. This session considers the impact of liquidity on risk measures and their impact on capital assessment. This section will cover:

• Normal market size
• Market impact costs
• Risk measures


Workshop Leaders

Christopher Hall BSc (Hons) FCA MSc (Finance)
Managing Director
RISK ADVISORS

John Hargreaves MA
Partner
HARGREAVES RISK & STRATEGY

Media Partner