Recent turmoil in global financial markets has exposed vulnerabilities in the valuation and distribution of risks within the global financial system. Banks have seen a great number of amounts of unexpected losses, but more importantly has damaged their market reputation and trust.
The lack of trust is spiked mainly due to unexpected market conditions (market risk), changes in the counterparty’s behaviour (credit risk), severe losses (i.e., due to operational risk) and inefficient management of financial portfolios and products (i.e., Islamic contracts). Any failure in understanding and managing the above risk issues may result in down-ratings of the bank’s reputation that further reduces the level of confidence and trust.
Globally, in the last couple of decades the market is facing liquidity risk crises almost once every year. Today, banks that are trading and operating in the globalised market are directly or indirectly affected by such crises. New financial products, coming for instance from the Islamic finance, that may have global expansion in Asian, European and USA markets may also cause liquidity risk due to lack of understanding of their unique financial and risk characteristics.
Banks are now at the tasked to fuel their financial system to ensure that they remain liquid for good. Attend SALVO’s LIQUIDITY RISK MANAGEMENT MASTERCLASS and gain tips on how to:
- Understand the causes and then measure, evaluate and manage their liquidity risk.
- Regulate as nowadays also paying high attention to liquidity risk although that in the Basel II accord it was only mentioned under Pillar II in a very general sense. Moreover, ICAAP refers to risks that are not taken into account by Pillar I and provides to the regulatory authorities guidance in regards to liquidity risk management.
- Find out how banks have the tough tasks to be liquid, from their counterparties that own their liabilities, whereas on the other hand the overall market is facing the problem of illiquidity due to the lack of marketability and tradability for liquidating financial products.
The course is designed to combine theoretical and global best practices. It will explore liquidity management issues in regards to:
• The nature, forces and factors that affects risk in liquidity
• Liquidity risk policies and regulations – the principles of Liquidity risk for ICAAP, Basel II Pillar II
• Understanding your liquidity position based on Liquidity reports
• Identifying the main factors that may cause risk in liquidity
• Defining the Spreads for Market Liquidity risk
• Managing Funding Liquidity Risk with marketable trading liquidity products
• Market risk factors and the Operational risk effect in liquidity risk
• Credit risk exposure calculation and ratings for liquidity risk analysis
• Estimating the Liquidity at Risk and Liquidity Risk Reports
• Reputation risk rating downgrades
• Liquidity Crisis Management
• Formulating effective liquidity stress scenarios
• Approaches for building a framework for liquidity risk management
• Liquidity risk management based on strategies and scenario analysis
• Defining comprehensive, integrated risk scenarios for liquidity risk analysis
• Dynamic simulations to evaluate and assess scenario based liquidity risk analysis
• Static versus Dynamic Liquidity Gap analysis
• Limitations in managing liquidity risk and evaluating the pricing of liquidity
• Liquidity risk in Islamic finance
• Anatomy of Contingency Funding Plans for Potential Crisis Scenarios
• Quantitative versus qualitative liquidity risk analysis
All those that have essential knowledge on financial profitability and risk management, involved in designing and implementing credit, market, operational risk management as well as ALM and Basel II / ICAAP framework. Moreover, internal auditors where their auditing includes the implementation of the banking risk management systems, strategies and policies. Additional trading officers are also welcome to attend this seminar. More importantly senior executives and board of directors may find this workshop very useful to understand the theoretical, but also the technical and implementation challenges in liquidity risk management.
More analytically the following professionals should attend this event:
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Liquidity risk managers
• Financial Risk managers
• Financial Risk Analysts
• Chief risk officers
• ALM managers
• Balance sheet managers
• Chief Financial Officer (CFO)
• Chief Information Officer (CIO)
• Treasurers
• Financial Auditors
• Regulators
• Bank examiners
• Board of Directors
He is a senior consultant on risk management working for IRIS integrated risk management ag in Zurich, Switzerland. He has work experiences worldwide in undertaking projects and cooperating with companies in Europe, USA and Asia for the topic of financial risk and profitability analysis. He has vast experiences in consulting to the banking industry. He has conducted projects in risk and profitability management for companies such as SEB Skandinaviska Enskilda Banken, Bank of Piraeus, Invest bank, Mercury Interactive, Abu Dhabi Islamic Bank, Alpharma, and others. He has great expertise in designing financial models for credit risk, liquidity risk, operational risk and ALM systems.
He has also been working in designing and implementing many different financial models for credit, market, operational and liquidity risk management analysis using advanced quantitative and financial modelling systems. He proposed several mathematical techniques for measuring, identifying and analysing financial risk based on multi factorial parameters (his articles in opVaR and extreme value theory are reference material in GARP's FRM exam Study Guide). He has also design advance mathematical systems for risk management that integrates quantitative information with financial theories.
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