Measuring & Monitoring Liquidity Risk

Measuring & Monitoring Liquidity Risk



Measuring & Monitoring Liquidity Risk

For group bookings, to discuss tailored delivery or for any questions about this course, please get in touch:

Course Overview ​

This Liquidity Risk Management course offers an in-depth examination of liquidity from multiple perspectives, highlighting its critical importance in financial stability and regulatory compliance, particularly under Basel III. Participants will explore the intricacies of liquidity across firm and systemic levels, including the definition and management of High Quality Liquid Assets (HQLA), understanding short-term funding, asset-liability mismatches, and the complexities of repo markets. ​

Through the analysis of case studies, the course addresses the challenges in securitised banking, the significance of stress testing, and strategies for managing liquidity risk. It covers essential topics such as funding and liquidity risk management, balance sheet and funds transfer pricing, and delves into the assessment of internal and macro liquidity risk indicators, alongside the impact of market micro-structure on liquidity.


​Learning objectives​

  • Understand the various definitions of liquidity (accounting, economic, market-driven) and grasp the significance of liquidity under the Basel III framework, including the categorisation and importance of High Quality Liquid Assets (HQLA).​
  • Analyse the dynamics of short-term funding requirements versus longer-term stable funding, including the principles of duration gap analysis, asset-liability mismatches, and the hidden liquidity risks inherent in balance sheets.​
  • Examine the causes and implications of liquidity risk at both firm and systemic levels, focusing on the interlinked nature of liquidity and systemic risk, the impact of regulatory frameworks, and the lessons learned from historical liquidity crises.​
  • Delve into the specifics of repo markets and short-term funding mechanisms, understanding the operational aspects, risks, and case studies that highlight the liquidity challenges faced during the 2008 financial crisis.​
  • Develop strategies for funding and liquidity risk management, including the use of market indicator dashboards, stress testing methodologies, contingency funding plans, and the management of internal liquidity through Funds Transfer Pricing (FTP).​
  • Assess the macroeconomic indicators of liquidity risk and their impact on market sentiment and funding strategies, alongside exploring market micro-structure and its influence on liquidity provisioning and risk management.
Measuring & Monitoring Liquidity Risk

Course Modules


  • The Fundamentals of Liquidity Risk
  • Understanding Liquidity Risk at an Organisational Level
  • Short Term Funding & The Repo Markets
  • Understanding Central Banks & Monetary Policies
  • Market Case Studies
  • Securitisaion and The Run on Repo
  • Forecasting Models
  • Stress Testing Techniques
  • The Correlation between Liquidity & Volatility
  • Liquidity Issues in Volatile Markets
  • Funding Issues
  • Funds Transfer Pricing (FTP)
  • Macro liquidity risk indicators
  • Market micro-structure and liquidity risk

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