Day 2 - 9 December 2010


08.30 Registration

9.00 THE IMPACT ON FUNDING LIQUIDITY RISK

  • Collateral Management : recent trends and developments
  • Interbank collaterals vs client collaterals
  • How the crisis influenced the level of funds and liquidity on the financial markets
  • Development of funding curves
  • Developing tools and techniques used to manage collateral
  • Finding a way to manage limitation of funds and liquidity in the financial market
  • Understanding the value of collateral change over time
  • Understanding the term structure for secured finance
10.30 Morning break

11.00 CALCULATING AN EFFECTIVE LIQUIDITY BUFFER

  • Link between liquidity buffers and the overall framework
  • Assessing inherent liquidity risk
  • Determining the size and composition of your buffer
  • What constitutes a liquid asset
  • Internal modeling of liquidity buffer
  • Necessary actions to do
  • Linking into your risk appetite

Chris Matten, Partner, PRICEWATERHOUSECOOPERS

12.30 Lunch

13.30 IMPACT OF ASSESSING CREDIT RISK AND CAPITAL IN THE TRADING BOOK

  • Evolving Regulation for Regulatory Capital in the Trading Book
  • Introducing Incremental Risk Charge (IRC)
  • IRC Case Study
  • Stress Testing and IRC
  • Conclusion

Shekhar Mehta, Consultant , MSCI

15.00 Afternoon break

15.30 PRACTICAL AND ORGANISATIONAL ISSUES

  • What is the role of a funding or treasury desk within a bank? How can it be organized?
  • What is the internal cost of funds- How does the funding desk charge for liquidity?
  • How do banks manage their liquidity and funding needs efficiently?
  • Funding trends and challenges in Asia
  • The emergence of the LIBOR-OIS spread
  • New regulatory rules
  • Impact on capital management
  • Technical challenges

Regis Tabaries, Domain Manager, FX Cash, Money-Market, Fixed income, MUREX

17.00 End of course


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