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Understanding Liquidity Risk Management in Banking
  • Overview
  • Objectives & Outline
  • Methodology
  • Participant Profile
  • Trainer
  • Overview
    PROGRAMME DETAILS

    DATE

    16 July 2019

    TIME

    9:00 AM – 5:00 PM

    VENUE

    Asian Banking School
    Failure to manage liquidity could cause a financial institution's viability in the long run and in stressful situations. This programme will share the lessons learnt from the 1997-98 Asian Financial Crisis and the 2008 Global Financial Crisis. Financial institutions should up their ante with regards to effective liquidity risk management in their institutions.

    This programme will provide insights as to why liquidity risk is inherent in the model of the Bank and explain why meeting compliance liquidity requirements are insufficient in managing liquidity in a Bank. The programme will also offer a framework for effective liquidity risk management and shows liquidity managers how to assess the liquidity profile and liquidity risk management of their banks.
    LEARNING LEVEL

    Intermediate

    PROGRAMME FEE

    AICB MEMBER

    MYR

    1,700*

    / PAX

    NON-MEMBER

    MYR

    2,000*

    / PAX

    *Subject to 6% Service Tax

  • Objectives & Outline
    LEARNING OBJECTIVES
    By the end of the programme, participants will be able to:
    • Recognise the relationship between gapping (accrual revenues) and liquidity risk
    • Identify the different concepts on liquidity
    • Discuss what it means to manage liquidity of the balance sheet
    • Relate the development of the liquidity risk measurements and compliance requirements pre and post 1998
    • Explain liquidity risk management in the banking system
    • Apply liquidity risk management framework, processes, tools and controls
    • Use liquidity profile and liquidity risk management to assess their financial institutions
    PROGRAMME OUTLINE
    • Model of a Bank and Bank Liquidity Risk Management
      • Accrual Revenues and Liquidity Risk
      • Gapping and Liquidity Risk
      • Liquidity under-girths going concern of a bank
      • Does my bank have a liquidity problem?

    • Concepts on Liquidity
      • Funding liquidity: survival and growth
      • Trading liquidity
      • Structural liquidity
      • Managing funding, trading and structural liquidity

    • Managing Balance Sheet Liquidity
      • Liability management: diversification and avoidance of concentration
      • Liquifiability of assets: speed of sale, REPO, documentation
      • Contractual versus behavioural maturity assumptions
      • Core balances versus non-core volatile balances

    • Development of Liquidity Risk Measurement and Regulatory Compliance Requirements
      • Pre 1998: stocks of liquidity
      • What constitutes liquid assets?
      • Primary and secondary liquid assets ratio
      • Post 1998: New Liquidity Framework (NLF)
      • NLF: 3 levels of assessment
      • Maturity profile of assets and liabilities
      • Maturity buckets and maturity assumptions
      • Net Flows and Cumulative Cash Outflows
      • Maximum Cumulative Cash Outflow (MCO)
      • Contingency funding plan and stress scenarios on liquidity versus BAU
      • CFP A (Name Problem) and CFP B (Systemic Problem)
      • Basel III liquidity compliance requirements
      • Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR)
      • Is managing regulatory liquidity compliance managing liquidity risk?

    • Liquidity Management in the Banking System
      • The role of the central bank
      • The channel of monetary policy: price and quantity effects
      • Money supply, money multiplier and reserve requirements
      • Liquidity provisions by the central bank

    • Liquidity Risk Management Framework
      • Liquidity risk management organisation
      • Role of ALCO and Country Treasurer
      • Fungibility and accountability

    • Liquidity Risk Management Processes and Tools
      • Maximum Cumulative Outflow (MCO)
      • Funding plan
      • Supporting liquidity and operating ratios
      • Liquidity triggers
      • Contingency Funding Plan (CFP)
      • Cross Currency Funding Limit (CCFL)
      • Intra-day liquidity management
      • Liquidity risk limits, monitoring, breaches and escalations

    • Assessing the Liquidity Profile of Financial Institutions
      • Funding structure
      • Structural liquidity
      • Cumulative Cash Outflows
      • Net maturity mismatch or net gaps

    • Assessing the Liquidity Risk Management of Financial Institutions
      • Structure and level of management participation
      • Quality of behavioural assumptions
      • Setting BAU liquidity limits
      • Use and mix of liquidity management tools
      • Assessing liquidity under stress case

    • Final Note on Branding, Market Perception and Reputation on Liquidity Accessibility

  • Methodology

    A combination of lectures, group discussions, work examples and Q&A

  • Participant Profile
    ALCO members, treasurers, ALM support managers, liquidity managers, market risk managers and internal auditors
  • Trainer

    Philip Tan Puay Koon

    Philip Tan Puay Koon has close to three decades of experience in the field of banking and finance, principally in the areas of Treasury and Risk Management. He was formerly a Managing Director in Citigroup where he served as the Chief Financial Officer of Emerging Markets (EM) Sales & Trading, Asia Pacific of Citibank NA from 2004 to 2006 and as Director of Risk Treasury, Asia Pacific from 2001 to 2004. He was also the Financial Markets Head and Country Treasurer of Citibank Berhad and a Director of Citibank Malaysia (L) Limited.

    He was a member of the Asset-Liability Committee (ALCO) of Citibank Berhad and Committee Member of the Persatuan Pasaran Kewangan Malaysia and a member of the Capital Markets Committee of the Association of Banks in Malaysia. From 1998-2000, he was closely associated with the development and implementation of the New Liquidity Framework (NLF) and the Real Time Gross Settlement System (RENTAS) in Malaysia. Presently, Philip serves as an Independent Director of Cagamas Berhad, MIDF Amanah Investment Bank Berhad, SP Setia Berhad, Citibank Berhad and Payments Network Malaysia Sdn Bhd (PayNet). He has also been appointed by Bank Negara Malaysia as a member of the Corporate Debt Restructuring Committee (CDRC). Philip helped establish Danajamin Nasional Berhad as a pioneer Independent Director in 2009 and recently retired from the board after 9 years.
    Philip has consulted and given lectures on Treasury and Risk Management subjects to corporations, the financial community and central banks including Bank Negara Malaysia, Bank Indonesia, and the State Bank of Vietnam. He is an Associate Fellow of the Asian Institute of Chartered Bankers and an adjunct faculty member of Financial Institutions Directors Education (FIDE). He holds a First Class Honours B.A. Degree in Business Studies (Accounting & Finance) from North-East London Polytechnic, U.K. and has attended the Oxford International Executive Programme, the Stanford-NUS Executive Program, INSEAD's Programme on Strategic Management in Banking, IMD-SIDC Advance Business Management Programme and Cambridge Summer School Programme. He is also a member of the University of Cambridge Judge Business School Executive Education alumni.

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