Upon completion of this program, participants will be able to:

• Define and categorize the various types of liquidity risk (funding, market, idiosyncratic, systemic).
• Calculate and interpret the **Liquidity Coverage Ratio (LCR)** and its components (HQLA, net cash outflows).
• Calculate and interpret the **Net Stable Funding Ratio (NSFR)** and its stable funding requirements.
• Identify and evaluate assets that qualify as High-Quality Liquid Assets (**HQLA**) and their haircuts.
• Analyze the role of central bank facilities and deposit insurance in a bank's liquidity management strategy.
• Develop and execute effective internal liquidity stress testing and contingency funding plans.
• Understand the regulatory reporting requirements and supervisory expectations for the LCR and NSFR.
• Formulate a strategic liquidity risk management framework that optimizes funding sources and HQLA usage.

• Bank Liquidity and Asset-Liability Management (ALM) Professionals
• Central Bank Supervisors and Financial Stability Analysts
• Bank Treasury and Funding Desk Managers
• Regulatory Reporting and Compliance Officers
• Internal Auditors specializing in Liquidity Risk
• Academics and Consultants in Bank Risk Management

LCR/NSFR calculation workshops (Excel), Case studies on historical bank funding crises, Group project on drafting a Contingency Funding Plan (CFP), Technical deep dives into HQLA and run-off modeling, Policy debates on the HQLA definition, Simulation of central bank facility usage.

Unit 1: Foundations of Liquidity Risk

• Definition of liquidity risk: funding risk (liability side) and market liquidity risk (asset side).
• The three-line-of-defense model for internal liquidity risk management.
• Liquidity risk governance: roles of the board, ALCO, and treasury.
• The importance of the **Contingency Funding Plan (CFP)**.

• Designing severe-but-plausible stress scenarios for liquidity risk.
• Modeling run-off rates for different deposit types and asset market liquidity conditions.
• Integrating stress test results into regulatory ratios and internal limits.
• The use of reverse stress testing to challenge assumptions.

Unit 2: The Liquidity Coverage Ratio (LCR)

• Defining High-Quality Liquid Assets (**HQLA**) and the three levels (Level 1, 2A, 2B).
• Criteria for HQLA inclusion (e.g., market depth, price resilience).
• The application of supervisory haircuts to HQLA and concentration limits.
• The operational challenge of managing and mobilizing the HQLA portfolio.

• Regulatory assumptions for cash outflows (e.g., retail deposit run-off, wholesale funding loss).
• Regulatory assumptions for cash inflows (e.g., loan repayments, committed facilities).
• Treatment of collateral needs (e.g., margin calls) and off-balance sheet obligations.
• Calculating the LCR and strategies for maintaining compliance.

Unit 3: The Net Stable Funding Ratio (NSFR)

• The objective of the NSFR: promoting resilient, long-term funding structures.
• Defining **Available Stable Funding (ASF)** and its components (capital, stable deposits).
• Calculation of the ASF factor for various liability categories.
• Strategies for optimizing long-term funding and deposit mix.

• Defining **Required Stable Funding (RSF)** and its calculation for asset classes and off-balance sheet items.
• RSF factor application based on asset liquidity and remaining maturity.
• Regulatory treatment of derivatives, securities financing transactions, and unencumbered assets.
• Calculating the NSFR and analyzing its strategic implications for business models.

Unit 4: Central Banks and Liquidity Provision

• The role of the central bank as the ultimate liquidity backstop (LOLR).
• The use of standing facilities (e.g., marginal lending) for intraday and overnight liquidity.
• Collateral eligibility and haircut requirements for central bank funding.
• The operational interface between the bank's treasury and the central bank's market operations desk.