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This presentation is based on a part of an academic course on Advanced Enterprise Risk Management (Advanced ERM) titled ‘Stress testing and Measuring, managing and mitigating liquidity and funding risk’ and covers topics such as: Stress testing (and different types of stress testing, including reverse stress testing), ‘macro’ stress testing, Bayesian approaches to stress testing and scenario analysis, liquidity and funding risk, liquidity and the 2007-09 credit crisis, measuring and modelling liquidity and funding risk and liquidity management within firms

Slides

1	Session 6: Stress testing and Measuring, managing and mitigating liquidity and funding risk
2	Session 6: Stress testing and Measuring, managing and mitigating liquidity and funding risk
3	Stress testing
4	Lessons from recent financial crisis
5	Additional drivers
6	Corollaries: Stress testing is …
7	Different meanings given to the term 'stress testing'
8	Standardised stress tests
9	Solvency II Standard formula SCR stress tests
10	Standard formula SCR Risk modules
11	Reverse stress testing (1)
12	Reverse stress testing (2)
13	Additional observations
14	Reintroducing higher statistics into stress testing
15	Plausibility of stress (1)
16	Plausibility of stress (2)
17	Worst case scenarios
18	Session 6: Stress testing and Measuring, managing and mitigating liquidity and funding risk
19	'Macro' stress testing
20	Views of regulators
21	Example application to credit risk (1)
22	Example application to credit risk (2)
23	Illustrative impact on bond payoff distributions
24	Session 6: Stress testing and Measuring, managing and mitigating liquidity and funding risk
25	Bayesian stress testing
26	Example
27	Example ctd.
28	Identifying feasible correlations
29	Session 6: Stress testing and Measuring, managing and mitigating liquidity and funding risk
30	Liquidity and the 2007-09 Credit Crisis
31	Liquidity feedback and pricing uncertainty
32	Definitions of liquidity risk (1)
33	Definitions of liquidity risk (2)
34	Session 6: Stress testing and Measuring, managing and mitigating liquidity and funding risk
35	Measuring liquidity risk
36	Incorporating liquidity in asset / liability models
37	Liquidity horizons (1)
38	Session 6: Stress testing and Measuring, managing and mitigating liquidity and funding risk
39	Developments in liquidity management
40	Liquidity ladders
41	Scenario analyses
42	Limits, contingencies, reporting
43	Addressing weaknesses highlighted by credit crisis
44	Earlier Federal Reserve guidance
45	Pricing net operating cash flow needs
46	Liquidation of / adjustment in assets
47	Generation of liabilities
48	Capital raising
49	Areas for improvement
50	Completeness of managed liquidity positions (1)
51	Completeness of managed liquidity positions (2)
52	Liquidity analysis and cash flow modelling
53	Calibration of stress scenarios
54	Liquidity limit system and its horizon
55	External and internal liquidity pricing
56	Contingency planning given stress scenarios
57	Allocation of responsibilities
58	Session 6: Agenda covered
59	Important Information

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