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Measuring and Managing the Liquidity RiskSDA Bocconi School of Management
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:
- 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
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.
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
- Info providers (Bloomberg, Reuters, Riskmetrics)
- Unicredit Group
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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