Liquidity Risk Master Class: Day 1: Modelling and Managing Liquidity Risk by Rama Cont Day 2: Liquidity Risk Management by Moorad Choudhry

Transcription

1 Liquidity Risk Master Class: Day 1: Modelling and Managing Liquidity Risk by Rama Cont Day 2: Liquidity Risk Management by Moorad Choudhry London: 25th & 26th April 2013 This workshop provides TWO booking options Register to ANY ONE day of the workshop Register to BOTH days of the workshop and receive 200 discount Early Bird Discounts: 20% Before 22nd February 2013 / 10% Before 22nd March 2013

2 ABOUT THE SPEAKERS Rama Cont is Chair in Mathematical Finance and Professor of Mathematics at Imperial College (London), CNRS Research Scientist at Universite Paris VI and partner at Finance Concepts LLC, a risk management consulting firm based in Paris and New York. His research focuses on the modeling of extreme market risks, systemic risk and liquidity risk. He has previously held teaching and research positions at Ecole Polytechnique (France), Columbia University (New York), Princeton University, HEC (France) and Universite de Paris VI. He has co-authored the bestselling monograph Financial Modeling with Jump Processes (2004) was the Editor in Chief of the Encyclopedia of Quantitative Finance (2010). He was awarded the Louis Bachelier Prize in 2010 by the French Academy of Sciences for his research on mathematical modeling in finance. Moorad Choudhry is Treasurer, Corporate Banking Division at The Royal Bank of Scotland and Visiting Professor, Department of Mathematical Sciences at Brunel University. He is author of Bank Asset and Liability Management and The Principles of Banking, both published by John Wiley & Sons (Asia) Ltd.

3 Day 1: Modelling and Managing Liquidity Risk by Rama Cont Liquidation Risk vs Mark-to-Market Risk What is liquidation value? Liquidation value vs. mark-to-market value Price impact and the 'optimal execution' of trades Why risk management should focus more on liquidation value rather than mark-to-market value Taking liquidity risk seriously: consequences for pricing and risk management Liquidation of Complex Portfolios "Closing out": orderly liquidation of complex multi-asset portfolios The need for contingency plans for orderly liquidation A quantitative framework for assessing close-out risk Hedging in illiquid markets Running for the Exit: Distressed Selling and Endogenous Risk Distressed selling and fire sales A model of price impact from distressed selling How distressed selling distorts portfolio volatility and cross-asset correlations A quantitative model for assessing distressed close-out risk Case study: the Great Deleveraging of Fall 2008 Case study: the Quant Crash of August 2007 The concept of endogenous risk Spillover effects from liquidation of large portfolios: how exposed are you? Integrating Liquidity and Market Risk How liquidity risk and market risk are intertwined, and what you can (and should) do about it A quantitative framework for integrating liquidity and market risk Designing joint stress scenarios for market risk and liquidity Strategy crowding as a risk factor Day schedule: 09:00 17:00 Break: 10:30 10:45 Lunch: 12:30 13:30 Break: 15:15 15:30

4 Day 2: Liquidity Risk Management by Moorad Choudhry Day 2 of the course is aimed at providing business best-practice tools and techniques for bank liquidity risk management. Aimed at senior or experienced Treasury and Finance practitioners, it is an advanced-level workshop that covers the complete spectrum from governance and policy to risk measurement and stress testing. Delegates should leave with a more complete understanding of leading edge liquidity risk practice. Key Features: Measuring liquidity risk: liquidity metrics Liquidity strategy Bank policy and risk appetite Liquidity policy: Stress testing, scenario analysis and planning for failure Liquidity risk management: limit setting Funds Transfer Pricing The yield curve and internal curve setting Bank Regulations, Basel III and the New Liquidity Paradigm Programme: Primer on Liquidity Risk Definitions and description Liquidity risk in context of overall bank risk ALM policy and strategy Managing Liquidity Risk Liquidity strategy Bank policy and risk appetite Liquidity policy: Banking book funding policy Securities funding policy Derivatives funding policy Managing Liquidity Risk Liquidity metrics: baseline metrics Liquidity metrics: additional MI FSA requirements Liquidity risk management: limit setting Defining liquidity limits Stress Testing and ILAA Results + Pitts Ratio Stress testing, scenario analysis and planning for failure Making the management processes robust and responsive Funds Transfer Pricing Business best practice methodology and policy Price setting: market implied and proxy measures The Yield Curve Business best-practice for setting the bank internal funding curve Secured funding curve WACF Methodology and implementation LAB eligible, plus LAB charge to businesses and LAB hedging Bank Regulations, Basel III and the New Liquidity Paradigm The regulatory focus Implications for liability strategy

5 Recent Liquidity Stress Events and their Outcomes Northern Rock, the subprime crisis and the credit crunch, quantitative easing and others Day schedule: 09:00 17:00 Break: 10:30 10:45 Lunch: 12:30 13:30 Break: 15:15 15:30

6 Liquidity Risk Master Class: Day 1: Modelling and Managing Liquidity Risk by Rama Cont Day 2: Liquidity Risk Management by Moorad Choudhry London: 25th & 26th April 2013 Workshop Fee Structure: Early Bird Discount: 20% Before 22nd February Early Bird Discount: 10% Before 22nd March Regular Event Fee c One Day: UK VAT UK VAT UK VAT c Both Days ( 200 Discount): UK VAT UK VAT UK VAT 70% Academic Discount (FULL-TIME Students Only) Delegate details Company: Name: Job title/position: Name: Job title/position: Name: Job title/position: Department: Address: Country: Telephone: Date: Signature: To register, please fax the completed booking form to: +44 (0) Flight details: All delegates flying into London on the morning of the event are reminded that they should arrive 30 minutes before the workshop starts for registration. The hotels West End location is approximately 1 hour from all 3 main London airports, Heathrow, Gatwick and City. Returning flights should equally allow for the events finishing time. Sponsorship: World Business Strategies Ltd, offer sponsorship opportunities for all events, headers and the web site. Contact sponsorship via telephone on : +44 (0) Disclaimer: World Business Strategies command the rights to cancel or alter any part of this programme. Cancellation: By completing of this form the client hereby enters into a agreement stating that if a cancellation is made by fax or writing within two weeks of the event date no refund shall be given. However in certain circumstances a credit note maybe issued for future events. Prior to the two week deadline, cancellations are subject to a fee of 25% of the overall course cost. Discount Structure: The discount is available on any day permutation, and can be combined across delegates within the same company (only at the time of booking and not retrospectively). Registration: Tel: +44 (0) Fax: +44 (0) Contact: sales@wbstraining.com