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Liquidity: Regulation, Practice and Stress Testing

Qualitative

Registration deadline: 15 March 2020

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  • General description

    The purpose of this course is to analyse the framework governing the prudential regulation of liquidity of credit institutions in the European Union. The main focus is on prudential requirements imposed on credit institutions with regard to their liquidity in the context of international financial standards’ development and within the European regulatory framework. The course will not only cover the current rules but also the new rules of the recently revised Capital Requirements Regulation (CRR II), applicable as of January 2021 and, in particular, the Net Stable Funding Ratio (NSFR). Liquidity risk management will be explained from a banker’s perspective, including a model of three lines of defence and internal dry runs and stress tests.

    Specific sessions will focus, from a supervisory perspective, on the Internal Liquidity Adequacy Assessment Process (ILAAP), the Liquidity Coverage Ratio (LCR) liquidity stress testing in general, and liquidity stress testing for investment funds in particular. All these technical aspects will be operationalised with a practical stance and illustrated with case studies.

  • Topics covered

    • Sources of liquidity for credit institutions and types of liquidity risk
    • Prudential regulatory liquidity requirements to deal with idiosyncratic liquidity risk
    • The provisions on liquidity of the Capital Requirements Regulation as in force (CRR I) and of Commission Delegated Regulation (EU) No 2015/61 – compliance requirements
    • The provisions of the new Capital Requirements Regulation (CRR II) on liquidity, including the rules on the Net Stable Funding Ratio (NSFR)
    • ILAAP and liquidity risk analysis – liquidity stress testing – liquidity risk management

  • What you will learn

    • You will learn how to clearly identify the sources of liquidity for credit institutions and the types of liquidity risk to which these can be exposed
    • You will understand the impact of international financial standards to the EU legal framework governing prudential regulatory liquidity requirements
    • You will learn how to calculate liquidity ratios, under both the applicable and the upcoming legal frameworks
    • You will get an understanding of the Internal Liquidity Adequacy Assessment Process (ILAAP) and the liquidity stress testing exercises, and their operations
    • You will get an insight into the “broader picture” relating to the provision of central banking liquidity in the Eurozone

  • Meet the instructors

    Christos Gortsos is Professor of Public Economic Law at the Law School of the National and Kapodistrian University of Athens. Inter alia, he is also Visiting Professor of International and EU Financial Regulation in the LLM Program of the “Europa Institut” of the University of Saarland, Research Partner in the University Research Priority Program (URPP): Financial Market Regulation of the University of Zürich, member of the Academic Board of the European Banking Institute (EBI) and member of the Monetary Committee of the International Law Association (MOCOMILA). For the winter semester of the academic year 2017-2018 he was granted the Bernard Braudel Senior Fellowship at the Law department of the European University Institute (EUI) in Florence and for the period September – October 2018 he was Academic Visitor at St Antony’s College (Oxford University), affiliated to the Political Economy of Financial Markets (FEFM) Research Center. The main fields of his research interests and teaching include international and EU monetary and financial law, central banking law, as well as law and economics (mainly institutional economic aspects).

    Charles-Enguerrand Coste is a banking supervisor in a Joint Supervisory Team at the European Central Bank. He has worked on a broad range of topics in the field of prudential supervision as both offsite supervisor and onsite inspector, and has an extensive experience in the field of liquidity risk and ILAAP assessment.

    Alina Preger is a partner at Prometeia. After graduating with honours in Economics at University of Bologna, she joined Prometeia in 1999. She is now Head of the ALM & Liquidity competence line within the Prometeia Enterprise Risk Management area, coordinating R&D activities for ALM and innovative pilot projects. She leverages her strong experience in ALM projects, covering interest rate risk, liquidity risk, Funds Transfer Pricing and planning, in both Risk Management and Finance departments for some major Italian and international banking groups. She is also lecturer in training courses for banks professionals and university masters on financial risk management, and speaker in events and industry workshops.

    Jeroen Van Bommel is a Joint Supervisory Team Coordinator at the European Central Bank, responsible for the supervision of a number of large international firms. Prior to that Jeroen has worked extensively in the field of liquidity risk management, bringing a practical approach to effectively supervising liquidity risk.

    Jean-Jacques van Helten is a Visiting Fellow at the Robert Schuman Centre for Advanced Studies and formerly the Managing Director & Chief Risk Officer, EMEA for the Bank of Montreal (BMO) Financial Group responsible for credit, market, liquidity and operational risks. For well over 30 years, he has worked in a range of senior executive risk, capital markets & corporate lending roles in major investment banks in the Netherlands, Australia, Hong Kong and the UK. Prior to taking up his role at BMO, he ran credit and market risk management in the CBA’s institutional bank in Sydney and before then he was the Head of Global Funding and Portfolios at the National Australia Bank in Melbourne, Hong Kong and London. He is a frequent speaker on risk management at international conferences and is a Non-Executive Director on the Boards of an Irish bank and a fintech company. He has a PhD in Economics/Economic History from London University and has studied at the Goethe Universität, Frankfurt and the Freie Universität, Berlin, having also been, as part of his pre-banking career, a lecturer and Fellow at the University of London & La Trobe University.

    Christian Winkler heads the Markets and Investors Team in ESMA – European Securities and Markets Authority’s Risk Analysis and Economics Unit. The Risk Analysis and Economics Unit is responsible for ESMA’s work on identification and assessment of risks to investors, markets and financial stability in the EU in the area of securities markets. Prior to joining ESMA in September 2013, Christian has worked in managing roles in the Chief Economist Department of the UK FCA and FSA and in the capital markets department of MAN AG, a large German corporate. He holds a doctoral degree in Economics from the university of Erlangen-Nuremberg and is a CFA charterholder.

  • Prerequisites

    A BA/MA degree in macroeconomics, finance or financial law, is required to attend the course.

    A knowledge and understanding of prudential aspects of banking regulation is recommended.

    Participants are expected to bring their laptops.

  • Fees

    1750€ – Public Authorities (e.g. National Competent Authorities, Central Banks and European Institutions).

    1900€ – Private Sector.

    950€ – Academics (Full-time Professors, full-time PhD Students and full-time Research Associates). Please submit a certificate attesting your status of Professor, PhD Student or Research Associate to fbf@eui.eu before registering. FBF secretariat will provide you with a code to register. *Seats for academics are limited and assigned by the FBF secretariat on a case-by-case basis.

    The course fee covers coffee and lunch breaks. Travel and hotel costs are not included.

    Please note that the payment must be settled two weeks before the start of the course.


    CANCELLATION POLICY

    • In case a course is cancelled, registered participants will receive the full refund.
    • In case a course is moved to another date, registered participants may request a voucher to attend another FBF course.
    • Registered participants who have not yet paid the registration fee can cancel their participation until one month before the start of the course.
    • The registration fee is non-refundable, however it will be possible to transfer registration to another person or request a voucher for another FBF course up to 20 days before the start date of the course.

    For more details, please contact fbf@eui.eu
  • Practical information

    A certificate of attendance will be provided to all participants after the course.

    Accommodation 

    Please notice that the course dinner, and most of the social activities, will take place downtown.

    Recommended hotels in downtown Florence:

    Recommended hotels nearby the EUI:

    Suggested restaurants in Florence city centre

    Wi-Fi

    On arrival, participants will be provided with temporary wi-fi access for the whole duration of the course.

    Privacy Notice

    The personal information you have provided will be processed in compliance with the EUI Privacy Statement for conferences. For general queries: fbf@eui.eu

     

    General information on local transport

    From Florence airport:

    Florence airport is located 8 km from the city centre, approximately 30 minutes by taxi or bus. Taxis can be found outside the arrivals terminal; no reservation is needed. A taxi ride from the airport costs about €20 and takes approximately 25/30 minutes.

    A tramway (line T2) connects the airport to the city centre. Trains leave from the airport terminal and take 20 minutes to the main railway station. One-way tickets can be bought from vending machines for €1.50.

    The airport is also connected to the main railway station in Florence by a shuttle bus (‘Vola in bus’) that leaves every 30 minutes (on the hour and on the half-hour) and takes 25 minutes. Tickets are available on board for €6.00.

    From the central railway station:

    Take bus n. 7 at the bus stop Stazione Nazionale in the direction “Fiesole Piazza Mino”, get off at the stop ‘San Domenico 01’. For bus routes and timetables consult the official timetable.

    Bus tickets are sold outside the railway station, at ATAF ticket kiosks and vending machines, tobacconists (tabacchi), newspaper kiosks (edicole), and most cafès (bar). Bus tickets can be purchased also on board with a contactless credit card (Mastercard, Maestro, Visa and V PAY).

    Private car

    From the A1 Milano-Napoli (Autostrada del Sole), take the Firenze Sud exit and follow directions to the city centre/Stadio. Follow the directions to the stadium (Stadio), then for Fiesole. San Domenico is on the main road to Fiesole.

    The EUI has several free parking areas available all over the Campus.