|
8.30
Registration and breakfast
9.00
Modelling, managing AND mitigating liquidity risk for effective
risk management
• Evaluating key methods for measuring liquidity risk
• Using “time-to-close” vs. “cost-to-close”
adjustments
• Aggregating risks of instruments with different relative
liquidity
• Incorporation of changing market volume in risk measurement
models
• Modelling liquidity ‘event risk’ using Extreme
Value Theory
Edward Dumas
Senior Manager for Market Risk
FLEETBOSTON FINANCIAL
10.30
Morning break
11.00
Modelling, managing AND mitigating liquidity risk for effective
risk management
• Nature of liquidity risk for long-term trading or investment
strategies
• Incorporating liquidity risk into pricing models
• Estimating close-out costs
• How position size & market volumes impact valuations
• How derivatives are impacted by widening bid/offer spreads
in underlying assets
Edward Dumas
Senior Manager for Market Risk
FLEETBOSTON FINANCIAL
12.30
Lunch
|
1.30
Implications of regulatory requirements on the management and analysis
of liquidity risk
• Banking regulatory framework
• Historical overview
– banking legislation
– securities industry legislation
• Bank oversight
– supervision vs regulation
• Bank/holding company examinations
• Federal Reserve Act
– transactions between affiliates (Sec 23A/23B)
• Risk based capital
• Assessing future of liquidity guidelines
– new Basel Capital Accord
– banking overhaul
• Basel best practices paper
• Measuring and managing liquidity
• Case study: Bankers Trust’s the ‘Barometer’
– approach and application
– why this methodology?
– related reporting
Joseph McLaughlin,
Principal, Risk Management Group
DEUTSCHE BANK
3.00
Afternoon break
3.30
Implementing effective contingency plans to manage liquidity risk
• Crisis prevention
• Symptoms of a liquidity crisis
• Creating a contingency funding plan
• Building a common set of assumptions globally across your
bank
• Crisis response
• Liquidity insurance – external liquidity facilities
Ken Weiller
Director, Risk Management
SAC CAPITAL PARTNERS, LLC
5.00
End of seminar
|
