The fundamentals of a liquidity risk management framework are presented in the context of contemporary regulatory requirements and firm-wide liquidity management techniques are considered. The course discusses the effects of liquidity squeezes and the availability of risk capital on the broad market. You will cover:
Computer-based exercises include: Modelling the impact of liquidity risk on securities/derivatives prices; Designing Liquidity Stress Tests
Case studies include: Liquidity risk in the failure of long-term capital
management; Liquidity risk and Lehman Brothers – how LR brought down a major Wall Street firm
Dr. Andrew Street was formerly Head of Arbitrage and Head of Equity and Commodity Derivatives at Mitsubishi Finance International, Head of Equity Derivative Trading at Nomura International and Senior Equity Derivatives Trader at Paribas Capital Markets.
Andrew has also been a senior financial regulator including being Head of Traded Risk at the Financial Services Authority (FSA) and
Head of Market Risk at the Securities and Futures Authority (SFA).
It is technical and provides actual models for use, instead of only tables and PDFs. It showed actual liquidity scenarios and how to tackle them with econometric / statistical models