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Market Risk Management: Liquidity Risk

 

In this eLearning module on Market Risk Management: Liquidity Risk, you will learn about Liquidity Risk and how it is measured and managed in banks. You will also learn about Asset Liability Management, its strategy and framework.

 

Coverage and structure for eLearning module

 

Topic

Sub-topic

Liquidity Risk - Overview
  • Dimensions of Liquidity Risk
  • Manifestation of Liquidity Risk
  • Symptoms of Liquidity Risk

Measuring Liquidity Risk
  • Flow approach - Time bucket analysis
  • Stock approach - Employing ratios

RBI guidelines on Asset Liability Management – Liquidity Risk
  • Liquidity Risk Management Policy
  • Measurement of Liquidity Risk – Flow approach
  • Measurement of Liquidity Risk – Stock approach
  • Liquidity Ratios

Managing Liquidity through Basel-III Framework - Liquidity Coverage Ratio (LCR)
  • Overview
  • Severe Liquidity Stress Scenario
  • Computation of Liquidity Coverage Ratio
  • Management of liquid assets
  • Basel III Liquidity Returns

High Quality Liquid Assets (HQLA)
  • Characteristics of HQLA
  • Operational requirements of HQLA
  • Categories of HQLAs

LCR - Cash Outflows
  • Categories of Liability Owner
  • Nature of the Liability
  • Cash inflows
  • Cash out flows factors as per RBI Circular
  • Cash inflows factors as per RBI Circular
  • Computation of Liquidity Coverage Ratio
  • Implementation

Managing Liquidity through Basel-III Framework - Net Stable Funding Ratio (NSFR)
  • Objective of Net Stable Funding Ratio (NSFR)
  • Criteria and Assumptions in Calibrations of ASF and RSF
  • Computation of ASF
  • Computation of RSF
  • NSFR-ASF factors as per RBI Draft Circular

Tools for monitoring Liquidity Risk
  • Contractual Maturity Mismatch
  • Concentration of Funding
  • Available Unencumbered Assets
  • LCR by Significant Currency
  • Market-related Monitoring Tools

Asset Liability Management (ALM)
  • Objectives of ALM
  • Significance of ALM
  • ALM Components
  • ALM Strategy

ALM Framework
  • ALM Information System – MIS
  • ALM Organisation
  • ALM Process

Case study on ALM - Liquidity Risk - Northern Rock
  • Case Study
  • Analysis
  • Lessons Learned

 

 

Module Fees: Rs. 2500/-                                  Access period: 3 months                                 Learning time: 3 hours

 

 

Steps to purchase

 

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  • Once your account is set up, search for "Market Risk Management: Liquidity Risk" from the search bar
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Detailed steps

Features of eLearning modules:

 

 

Real life case studies

 

Real life case studies built leveraging our expertise in research, ratings & risk solutions

 

Expert Speak

 

Insights incorporated in eLearning, based on 15+ years of classroom training experience

 

Glossary & Resources

 

End to end structure comprising basic definitions to advanced readings

 

Visuals for workflows

 

Use of visuals to show a complex process or workflow

 

Interactive examples

 

Interspersed with practice exercises and interactive examples to help apply concepts

 

Knowledge checks

 

Knowledge checks at the end of each topic to ensure absorption of concepts

 

Animations

 

Animations & Characters to make complex concepts easy to learn

 

Gamification

 

Final assessment questions & gamification at the end of the module to ensure learning objectives are met