Event Agenda


26th June 2019


Registration and refreshments


Welcome remarks: Tom Osborn, Editor, Risk Management, RISK.NET


Keynote address 


Panel: Liquidity stress testing and scenario analysis

  • The ECB’s perspective on effective liquidity stress testing

  • What are the supervisory expectations and what factors have influenced decisions this year?

  • How do internal stress tests compliment a risk management framework alongside regulatory and quantitative limits? How does that figure through transfer pricing?

  • Reverse stress testing

Damian Harland, Global Head of Liquidity Risk, HSBC

Dmitry Shibaev, Head of Stress Testing, NATWEST MARKETS NV


Presentation: Relating ICAAP, ILAAP and managerial liquidity/funding scenario analysis

  • Efficiently building on available frameworks to address the ILAAP requirements
  • Articulating the ILAAP stresses, their impact on capital and ICAAP
  • Adapting the assessment of liquidity and funding strategies to better inform the risk appetite of the bank

Naji Freiha, Managing Director, Head of Integrated Risk Management, DEXIA


Morning coffee and networking break

Speed networking: Network and build quick connections with the most influential players in the liquidity risk community. Invite only.


Presentation: TLAC and MREL – Impact of bail in rules on funding strategies

  • What are the top regulatory requirements?

  • Single Point of Entry vs Multiple Point entry - resolution strategies put to the test

  • Internal MREL and the interconnectedness to how liquidity is managed intragroup

  • Examining global variations in approach to TLAC; differences with MREL and the potential of creating a level playing field


Panel: STS and the future of securitization as a funding tool in Europe

  • Examining recent STS regulatory updates

  • Best practice approaches to implementing and managing STS

  • What are the limitations?

  • Establishing and managing effective data and reporting processes

  • Interplay with other regulations; Basel III, IV, NSFR and Libor=


WAR GAMES - How resilient is your environment?

During this session, participants are presented with an unfolding liquidity risk scenario and tasked with considering the immediate steps they would advise their firm to take based on the information available at each stage

PART I: Scenario dissection and strategising

  • Scenario one:

  • Scenario two:

  • Scenario three:

PART II: Harvest session

Each leader will summarise their POA of the discussion and present it back to the table participants with comments


Lunch and networking break


Presentation: Implementing a robust intraday liquidity management framework

  • What are the key components of a strong intraday liquidity management framework?
  • How are you preparing for the ECB’s new liquidity standards?
  • Intraday liquidity monitoring and reporting 
  • Stress testing intraday flows – intraday liquidity regulation and double duty
  • CCP margin models and management
  • What are the key challenges in improving intraday liquidity management capabilities?


Fireside chat: Updates on NSFR – Preparing for 2021

  • How are firms managing NSFR and meeting compliance requirements?

  • Impact on transfer pricing

  • What are firms reporting?

  • How do you optimise across all of the metrics?

  • How do non-ring-fenced entities overcome NSFR challenges


Presentation: Advances in liquidity modelling – Aims, requirements and best practices

  • Regulatory requirements and investor expectations relating to liquidity risk

  • Approaches to modelling “black swan” liquidity events

  • Machine learning in liquidity risk modelling


Afternoon refreshment and networking break

Knowledge cafes: Grab a coffee and join a table of your choice to share ideas and network with fellow industry professionals

Roundtable 1: NSFR

Roundtable 2: Brexit

Roundtable 3: Climate change


Presentation: Managing the liquidity risks for banks posed by climate change

  • Regulatory expectations of how financial services firms should manage climate change risks

  • Anticipating and managing the risk associated with the transition to a low carbon economy

  • Anticipating and managing the physical risks that could arise

  • Examining BoE’s focus on disclosure, scenario analysis, governance and embedding climate change within existing risk frameworks

  • Engaging the board and taking a strategic, long-term view of climate impacts

Bill Powell, Head of Liquidity Risk, SANTANDER UK


Panel: Solving the $350 trillion problem - A liquidity risk perspective on the Libor transition

  • Where are we on the RFR transition plan and how are market participants using RFRs?

  • What is the best approach to building curves in less liquid RFR markets and what additional risk management measures are required?

  • How and when can RFR liquidity reach critical mass?

  • What is the impact shifting from liquid Libor to less liquid RFRs and how will that impact derivatives pricing?


Closing remarks