Training overview
Professional Course
Self-paced Online
2 days
From 1,999 GBP

Start dates
1,999 GBP
Start anytime

Course description

Liquidity Risk

  • Recognise the effects of liquidity risk on securities pricing and funding
  • Understand the relationship to Funds Transfer Pricing (FTP)
  • Dissect the impact on derivative pricing and hedging
  • Navigate the challenges of building a successful framework for liquidity risk management
  • Understand the regulatory requirements for liquidity
  • Use the techniques for modelling liquidity risk within a treasury framework

COVID-19 Update

This provider offers an online version of their classroom courses

Training content


  • The universe of investable instruments
  • Pools of liquidity and benchmark securities, off the run and illiquids
  • Normal market sizes, bid-offer, block trades
  • Repo and the funding of illiquid instruments
  • Liquidation and “fire-sales”
  • Liquidity risk in banking, securities trading and insurance
  • Introduction to Liquidity Funds Transfer Pricing (LFTP) problem
  • Key relationships between funding, collateral, ALM and mark to market

Securities Pricing in the Presence of Illiquidity

  • Random walks and the assumption of continuous trading
  • Gap risk
  • The effect of jumps on the pricing framework
  • Risk premiums and risk neutrality
  • Impact on derivatives pricing and mark to market

Building a Framework for Treasury Liquidity Risk Management

  • Mismatch, duration and other approaches
  • Key roles of FTP and funding/pricing curve generation
  • Foreign currency liquidity management
  • Internal controls for liquidity risk management: stress testing
  • Internal controls for liquidity risk management: scenario analysis
  • Double default and the analysis of collateralised transactions
  • Basel III and liquidity risk
  • New stresses and rules post credit crunch
  • LCR and NSFR stress test minima

Contingent Liquidity Risk

  • The need for contingency planning
  • Written contingency plans
  • Crisis management plans for assets
  • Crisis management plans for liabilities
  • Internal and external communication

Liquidity Stress Testing

  • Why stress test liquidity?
  • Empiricism vs. rocket science
  • General considerations
  • Current stress testing priorities
  • Assumption sensitivity
  • Additional considerations

Liquidity Risk in the Balance Sheet Framework

  • Metrics and measures of liquidity risk
  • Liquidity gap analysis and the bank’s liquidity profile
  • Expected and unexpected loss analysis in the presence of illiquidity
  • Liquidity-adjusted VaR (LVaR)
  • Liquidity Adjusted Expected-Shortfall (LES)
  • Liquidity management policy
  • Regulatory requirements for liquidity management
  • The use of conduits and other sheet vehicles
  • Contingent liquidity using capital market instruments and other techniques

Systemic Changes in Liquidity and Volatility

  • Risk capital and illiquidity
  • The effect of VaR models on liquidity cycles
  • Liquidity and volatility
  • Predicting volatility changes: GARCH models
  • The perspective from implied volatility
  • Implied probability distribution and tail risk


Course Fee: £1999.00 + VAT @ 20% = £2398.80

About IFF

International Faculty of Finance - IFF Finance & IFE Energy - Specialist Training Courses

As one of the world's leading specialist financial training organisations, The International Faculty of Finance, provides participants in the global financial markets with intensive technical training programmes designed to help them succeed on the global stage.  Established in 1991 we...

Read more and show all training delivered by this supplier

Contact this provider

Fill out your details to find out more about Liquidity Risk.

  Contact the provider

  Get more information

  Register your interest

Country *

Contact info

IFF - International Faculty of Finance

 Show phone number

Contact provider

Have a question about this course? Fill out this form and the provider will get in touch with you shortly

Training reviews

No reviews available

Need help with your search? offers a free consultancy service to help compare training for you and your team

Request a free quote

Request a free training quote