Membrii fondatori
și

STRATEGIC IMPLICATIONS OF THE BASEL III LIQUIDITY RULES

 sigla IBR 1   Deloitte

The new liquidity risk management – a practical approach

Basel III has become lately a hot topic among the banking sector and very soon will become the set of requirement which will guide the day to day activities of the banks with significant impact in their business model. That is why increasing the level of awareness and ensuring that the banks understand the requirements and their impact is a must.

Liquidity, in particular is an important topic covered by Basel III. Basel III imposes new liquidity risk management requirements, especially quantitative measures for assessment of short term and long term liquidity position of financial institutions which will impact significantly the long term funding strategy and balance sheet structure of many banks.

This seminar aims at getting an overview of the Basel III Liquidity matters, which a financial institution will face in its current activity.

OBJECTIVE

At the end of the lecture, the attendees will be able to:

  • Have an overview of the Basel III Liquidity rules generally applicable;
  • Understand and identify the main Liquidity issues encountered in practice by the banking sector;
    • Compute the key liquidity ratios and assess the impact of the new requirements on the funding strategy and business model of the bank

AUDIENCE

This lecture is specially addressed to bank specialists involved in assets and liabilities management, risk management, treasury and cash management.

CONTENT

Morning session – Liquidity risk requirements – theory

Liquidity coverage ratio (LCR)

  • Definitions
  • High quality liquid assets
  • Cash inflows and outflows, treatment of retail and wholesale funding
  • Business impact (pricing – File Transfer Pricing, retail funding, information availability challenges, etc.)

Net Stable Funding ratio (NSFR)

  • Definitions
  • Available and required stable funding
  • Impact on funding strategy

Stress testing of liquidity risk

Afternoon session – Liquidity risk requirements – practical exercise

Case study

  • Analysis of LCR and NSFR on two model banks
  • Analysis of the portfolios and financial structure
  • Classification of assets and liabilities according to BIII requirements
  • Calculation of LCR and NSFR
  • Sensitivity analysis and stress testing
  • Analysis of the results
  • Impact on the funding strategy and business model for the model banks

Any other topic related to BIII (in case of the time available)

Lecturer

Laura Roza Toni, Manager

Laura is Manager in the Department of Risk Services (ERS).

Laura has been involved in projects of financial auditing and consultancy especially for financial institutions. Her experience in financial and banking advisory services covers the following areas: IFRS, accounting consulting, internal audit and risk assessment process optimization, risk management etc.

Certifications

  • Financial Auditor – Chamber of Financial Auditors of Romania
  • Chartered Accountant – Body of Expert and Licensed Accountants of Romania
  • Tax Consultant – Tax Consultants Chamber of Romania

PERIOD 

TBA

RBI will hold the course on its premises, providing specialised lecturers, course materials and catering services during the training day.

At the end of the course, participants will be given a certificate, issued by RBI (under the aegis of the founding members: NBR and RBA), with 7 CPD credits.

CERTIFICATION: certificate of attendance

CONTACT:

Emilia Frunză, Training manager

Telephone: 0372 394 409

e-mail: emilia.frunza@ibr-rbi.ro

[contact-form-7 id=”993″ title=”Contact form”]

noutăți

17 octombrie, 2022

PERIOADĂ DESFĂȘURARE CURS:

17 octombrie
- 18 octombrie | 2022