Building Models to Measure and Forecast Banking Liquidity Risk

Course Overview

The audit trail behind liquidity risk modelling matters as much as the decision itself. Models supporting this part of financial and banking practice fail quietly, and usually at the worst moment. Practitioner evidence points the same way: this strand of financial and banking practice improves fastest where responsibility for it is named and owned. Participants develop a defensible line of reasoning for the choices they make about liquidity risk modelling. The level assumes working familiarity with the business line but no prior formal training in the practice within financial and banking practice. The difficulty is not agreeing that this area of financial and banking practice matters — it is deciding what to stop doing to make room for it. This programme builds liquidity risk modelling from first principles, without padding and without omitting what matters. Discussion is anchored to worked examples of this aspect of financial and banking practice rather than to abstract argument. It ends with a prioritised list of changes to the financial and banking practice capability that the participant is prepared to defend internally.