Funding Liquidity Risk: From Measurement to Management
The lessons from the recent financial crisis prove that liquidity risk management is of paramount importance. Regulators have paid great attention to funding liquidity risk because a shortfall at a single significant institution can lead to system-wide effects. In contrast to risk based capital for other forms of risks such as market and credit risk, the cushion for liquidity risk is not created through additional capital. The speaker will discuss liquidity risk measurements and analysis techniques with a newly proposed Value at Risk type of measure for liquidity risk called Cash Liquidity at Risk. The presentation will also cover optimal portfolio and execution models for hedging liquidity risk and liquidity risk pricing and cost allocation.
Cosmos Hotel, Taiwan, Tienmei Hall
1F, No.43 Chung-Hsiao West Road, Section 1, Taipei 100, Taiwan
Dr. Wei Chen, FRM, Analytical Solutions Manager, Risk Analytics, Financial Services Department, Research and Design Division, SAS Institute Inc. and GARP co-Director, Raleigh, North Carolina Chapter
5:30PM - 7:30PM
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For more information, please contact GARP Director, Taipei, Taiwan Chapter:
Shen-Yuan Chen, FRM, Professor of Finance, National Taipei University College of Business - email@example.com