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Measuring and Managing the Liquidity Risk

SDA Bocconi School of Management
Course summary
Length: 2 days
Language: English
Study Pace: Full time
Location: Milan
Last application: 4th May 2012
Course type: Executive Education

Course description

Measuring the Market Risk - Executive Education program with SDA Bocconi

Measuring the Market Liquidity Risk - 2 Day Executive Education Course in Milan

This 2 day program focuses primarily on measuring how illiquidity affects trading and banking book management.

Special emphasis will be placed on the experiences of leading companies that have invested in projects for measuring liquidity risk.

Participants will be able to closely examine the problems of identifying risk factors, supervisory implications, models for mapping financial portfolios, the metrics put forward to measure liquidity risk and the effect on absorption of banking capital.

The program will also allow participants to develop the knowledge needed to closely examine the factors that create liquidity risk in portfolio positions.

The purposes are as follows:Measuring Liquidity Risk Executive Education program with SDA Bocconi

  • to identify the regulatory framework
  • to assess the impact of liquidity risk in order to reach an accurate valuation of the stocks, distinguishing between securities and derivatives
  • to manage the funding liquidity risk
  • to identify the relationship with other risks (risk integration) and capital management

PROGRAM DIRECTORS: Giovanna Zanotti & Giampaolo Gabbi 

SDA Bocconi Full-time MBA Interested in learning more about this Measuring the Market Liquidity Risk Course? Request Information from SDA Bocconi School of Management here

Suitability - Who should attend?

The Measuring the Market Liquidity Risk Executive Education Course is aimed at those who work in the areas of risk management and capital management, as well as at financial brokers, treasurers and at operators dealing with trading and banking books.

    Contact SDA Bocconi to learn more here Please contact SDA Bocconi to learn more about the application process here

    Measuring the Market Liquidity Risk Course Content

    This Measuring the Market Liquidity Risk Executive Education course is designed to cover the following topics:

    Definitions of liquidity risk

    • Integrating funding liquidity risk and market liquidity risk
    • The regulatory context of measuring liquidity risk, the mainstay of Basle 2 and the proposals of Basle 3

    Static models for measuring liquidity risk

    • The idiosyncratic factors of liquidity risk
    • Risk factors for bonds
    • Risk factors for equities
    • Risk factors for derivatives
    • Dynamic models for measuring liquidity risks
    • Models based on asset volume (volume models)
    • Models based on bid-ask spread
    • Models based on execution lag

    The impact of liquidity risk on the financial asset valuation process

    • The liquidity risk premium
    • Market risk assessment adjusted for liquidity risk

    The impact of liquidity risk for treasury management

    • Measuring the liquidity constraints for financial institutions
    • Controlling the risk within treasuries
    • Managing the liquidity risk in money markets

    Best practices

    • Info providers (Bloomberg, Reuters, Riskmetrics)
    • Unicredit Group

    Expenses

    Fees and expenses of this SDA Bocconi Measuring the Market Liquidity Risk Course is € 2,000 + VAT (if required)

    Special Payment Terms
    A 10% reduction on the program fee is offered to applications sent in by 25th March, 2012.

    About provider

    SDA Bocconi School of Management SDA Bocconi is the leading School of Management in Italy and also stands among the top-ranked European Institutions. Founded in 1971, with its over 40-year experience, SDA Bocconi School of Management is a pioneer in...


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    Contact info

    SDA Bocconi School of Management

    Via Bocconi, 8
    20136 Milan

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