Liquidity Risk Management von Edu Pristine

Dozent des Vortrages Liquidity Risk Management

Edu Pristine

Trusted by Fortune 500 Companies and 10,000 Students from 40+ countries across the globe, EduPristine is one of the leading International Training providers for Finance Certifications like FRM®, CFA®, PRM®, Business Analytics, HR Analytics, Financial Modeling, Operational Risk Modeling etc. It was founded by industry professionals who have worked in the area of investment banking and private equity in organizations such as Goldman Sachs, Crisil - A Standard & Poors Company, Standard Chartered and Accenture.

EduPristine has conducted corporate training for various leading corporations and colleges like JP Morgan, Bank of America, Ernst & Young, Accenture, HSBC, IIM C, NUS Singapore etc. EduPristine has conducted more than 500,000 man-hours of quality training in finance.
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... of funding diversification and market access. Contrast the choices for intra-day management of liquidity. Identify and differentiate the early warning signs of compromised liquidity. Describe the components required for the disclosure of liquidity risk. Identify, and design, the requirements of Stress Testing and a liquidity buffer. Characterize the basic elements of financial contracts, their corresponding ...

... of Liquidity Risk. Pricing of Liquidity Risk. Management of Collateral. Managing liquidity across business lines, legal entities and currencies. Funding diversification and market access. Intra-day management of liquidity ...

... is determined by various characteristics of the firm like: Cash Flow profile of the firm, business model of the firm, product mix including off/on balance sheet activities, collateral given and received, re-hypothecation (The process of pledging the securities of clients to secure a bank loan which ...

... Assessing on an on-going basis the acceptability of its assets to major counterparties and providers of funds in secured funding markets. Monitoring and managing the impact of the ...

... the liquidity management system for managing the liquidity across business lines, legal entities and currencies should have the following capabilities: Ability to measure and mange net funding position and requirements, ability to manage under a wide range of scenarios. Stress scenario assumptions must be clearly explained and regularly reviewed ...

... Moreover senior management must understand the factors that affect the firm’s ability to raise short, medium and long term funding. To establish the diversification of funding the firm must set limits on the following variables: ...

... met on timely basis both under normal and stressed conditions. Intra-day process of liquidity management should allow firms to calculate the gross daily inflows and outflows. ...

... in weighted average maturity of liabilities. Repeated incidents of positions approaching or breaching internal or regulatory limits. Increased risk associated with a particular product line, such as rising delinquencies. Deterioration in bank’s earnings, asset quality and overall financial condition, negative publicity, credit rating ...

... Difficulty assessing longer-term maturity. Difficulty placing shorter-term liabilities. Counterparties that start requesting additional collateral ...

... Size of liquidity cushion. Key internal ratios etc.. Qualitative information helps the market to better understand the firm’s liquidity position. Examples of qualitative information are: firm’s policy on monitoring the liquidity risks ...

... than the outflows and the size of the liquidity buffer required to bridge the gap. Design of Stress Testing. Both short term and long term stress scenarios. Will require both highly liquid buffers and broader range of instruments. Both institution specific and market ...

... Mainly used in back testing processes to examine how past market movements affected cash flow events and liquidity. Static Analysis examines expected liquidity based on current prices, discount factors, credit spreads, premiums, claims and ...

... can be estimated by comparing the estimated value obtained using valuation analysis in normal conditions. Funding Liquidity Risk. Inability of the institution to fulfill its funding obligations under normal ...

... Two kinds of cash flow events are possible. Exercise of credit enhancements. Behavior of the expected recovery from the counterparty Factors that disturb the expected ...

... cover the credit losses after the default event. The unexpected time of receiving cash flows leads to unexpected liquidity. Asset Based. Include financial & physical collaterals and close out netting agreements. Expected cash flows are dependent on ...

... reserves due to unexpected claim request. Disability, sickness and morbidity risk: when the disability benefit to the policy holder exceeds the actuarial reserves the institution suffers in terms of liquidity. Longevity risk: where the actuarial reserve exceeds the death benefit. This happens when the policy holder lives longer then expected by the insurance company. Also increased longevity increases the cash ...

... he risk factors affecting the liquidity in non-life insurance are: Claim Risk, where, in the current year, more claim amounts are reported than expected. The expected timing of the future event ...

... It is the maximum expected cashflow over the horizon at a given confidence level: Positive LaR means that ‘worst’ outcome is an outflow of cash ...