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Effective Liquidity Risk Management

Effective Liquidity Risk Management
17 – 19 December 2019 Muscat – Oman Sheraton Oman Hotel


As Banks play the role of Financial Intermediation in the economy, two of the most important aspects that they must manage effectively to be successful are Maturity Transformation and Credit Underwriting. Liquidity Risk Management is one of the major components of Maturity Transformation while the other being Interest Rate Risk Management (IRRBB). The Banking sector realized the importance of Liquidity and its effective management post the Global Financial Crisis in 2008 and since then the Basel Committee has prescribed several reforms to ensure the Banking sector is resilient to any market-wide or Bank-specific liquidity shocks.

Starting from the issuance of the new Liquidity Risk Framework in 2010 that consisted of LCR and NSFR, it further recommended enhancements in various other aspects like Governance mechanisms with stronger board oversight, better pricing through liquidity transfer pricing, customer behavioral analysis, evaluation of buffers through liquidity stress testing and setting up of early warning indicator frameworks. Many other regulators came up with a comprehensive liquidity review process under the Internal Liquidity Adequacy Assessment program (ILAAP) which covered the above aspects and more.

Banks need to develop a comprehensive understanding of the liquidity aspects of their assets and liabilities to effectively manage their liquidity and profitability both under normal and stressed business conditions, therefore ensuring they retain control of the balance sheet and enhance their performance.


Liquidity Risk Management function has undergone numerous changes in recent years with introduction of new regulations, requirements for more frequent risk measurement and adoption of more analytical methodologies. In addition, new information processing technologies are enabling banks to fully automate their “Data to Decision making” process chains thereby enabling banks to leverage large sets of positional and transactional data to help make more informed decisions. In this workshop we look at the leading practices of liquidity risk management being adopted by a number of Banks globally and in the region. We try to understand how such practices and analytical methodologies can be adopted and how to overcome challenges in implementing these frameworks and methodologies. The participants will also have an opportunity to do hands-on exercises that help them better understand a few of these analytical approaches. In addition, participants will also get a glimpse of latest analytical platforms that enable the automation of these analyses.

Key-learning Outcomes
• Understand key liquidity risk concepts and how they affect a bank’s liquidity risk profile
• Understand the best practices of governing liquidity risks and roles and responsibilities of key stakeholders
• Learn how to setup a virtuous liquidity risk management cycle that sets-up a positive feedback loop to ensure adequate liquidity always available
• Overview of various liquidity risk measurement tools available to Banks
• Embedding liquidity in business planning to ensure the Bank has sufficient liquidity to meet all business requirements
• Understanding Balance Sheet Cash Flow Behavior and how key attributes of customer and the product influence liquidity behavior
• The “Risk Factor Approach” to quantifying liquidity risk measurement and modeling
• Developing a robust Liquidity Stress Testing framework and various liquidity management actions available to Banks under stress
• Setting-up a liquidity early warning indicator framework to pre-empt stress situations
• Learn how to link the stress testing framework to risk appetite & liquidity limit setting

Main Topics and agenda

Day 1

Module1: Liquidity Risk Framework
• Liquidity Risk Governance and Key Stakeholders
• Regulatory Landscape and Current Market Practices (LCR&NSFR)
• Liquidity Lifecycle Management Processes
• The Capability Maturity Model of Liquidity Risk management
• Embedding liquidity in Strategic Business Planning
• The Internal Liquidity Adequacy Assessment Process (ILAAP)
• Liquidity transfer pricing and contingent liquidit charge (lTP)

Module2: Liquidity Risk Analytics
• Liquidity Optimization and Limit Setting
• How do Banks measures Liquidity Risk and Tools available
• Survival Horizon & Counterbalancing Capacity
• Funding Risk Analytics
• Liquidity Early Warning Indicators
• The Risk Factor Approach of quantifying Liquidity Risk
• Dynamic Forecasting and Liquidity Planning
• Designing Liquidity Stress horizon and scenarios
• Liquidity Stress Testing and Contingency Planning

Day 2

Module3: Liquidity Behavioral Modeling
• Understanding Balance Sheet Cash Flow Behavior of various products
• Key Drivers of Customer Behavior
• Assessing Core/Non-Core balances in Non- Maturing deposits
• Assessing Redemption and Rollover behavior in Term deposits
• Explanatory models that predict customer behavior
• Other behavioral aspects
• Developing Business Assumptions for Stress testing

Module4: Hands-on exercises
• Develop a liquidity planning and forecasting model that includes computation of various liquidity risk metrics and forecasting them
• Develop a simple liquidity stress testing model that taken into account the major sources of liquidity risks

Module5: Advanced Liquidity Risk Analytics
• Overview of latest analytical technologies available to automate liquidity analytics
• Automating the “Data to Decision” process and liquidity optimization
• Best practice ALCO reporting
• Explanatory Analysis: Providing explanation for movements in key risk indicators
• An example of analytics automations
• Advanced Liquidity Risk Analytics

Day 3

• Regulatory authorities guidelines and goals for implementing liquidity risk standards ( LCR and NFSR)
• Case studies

• Understanding of Asset Liability Management/ Treasury functions of the Bank with a good understanding of the Balance Sheet structure of the Bank
• Basic understanding of Liquidity risks faced by Banks and how they are measured
• Knowledge of English

Who Should Attend the Workshop?
• Management members who regularly attend ALCO meetings and want to understand the leading practices of liquidity risk management currently prevalent in the Market
• Stagg member serving in ALM, Market Risk or Treasury functions of the Bank with a good understanding of the Balance Sheet structure of the Bank
• Relationship Managers and Product owners who want better understanding of liquidity risks in products offered by them and how they should be priced


Satya Vemireddy

Director & Practice Head - ALM, FTP
& Market Risk - Aptivaa
Satya brings with him more than 10 years of Banking and Risk Management experience focusing on Liquidity and Interest Rate Risk Management, FTP, Behavioral Modeling, Market Risk, VaR, Counterparty Credit Risk, and related areas. At Aptivaa, he has been leading regulatory implementation projects like IRRBB and ILAAP with some of the largest banks in the Middle East.
He has developed a deep understanding of the banking business through his previous role as Head of ALM function where he worked closely with ALCO to help the bank strategize for optimum balance sheet structure and risk-return profile.
He was earlier part of the FSRM advisory practice of Ernst & Young Middle East.
He has graduated in Electrical Engineering from IIT Kharagpur and holds a PGDM degree in Finance from IIM Lucknow. He is a GARP certified Financial Risk Manager (FRM).

Adnan Yousef Naji

Executive Assistant Director - Banking Supervision Department for the Central Bank of Jordan
Adnan Yousef Naji hold MBA in Accounting and Finance from University of Jordan, he joined CBJ in 1994 at Banks supervision dept. he is now Assistant Executive Manager.
His main responsibility Include supervising banks in Jordan, drafting regulation, and consolidated supervision.
He is a lecturer in the field of Accounting Standards, Risk Management, corporate governance and Basel requirements.
He is heading a team of experts for drafting regulations to IFRS 9 implementation.


1000 $ for UAB members
1250 $ for Non-UAB members
Fees include attending the workshop, receiving the material, refreshments and a daily lunch.


Registration: the first day from 8am to 9 am.
Schedule: from 9:00 am to 15:00 pm daily.
Workshop language: English.

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