Large Bank Examination Workshop February 2026

Liquidity Risk Management Agenda

Session 1

Fundamentals of Liquidity Risk and Liquidity Risk Management (LRM) Traditional Measures of Liquidity Asset and Liability Funding Strategies Collateral Management/Inventory Valuation

Session 2 Session 3

Session 4

Session 5

Stress Testing

101

Stress Testing By the end of the session, the participants will be able to:  Explain the use of stress testing as a risk measure  Evaluate the appropriateness of stress testing assumptions  Scenarios  Time horizons  Describe market-wide versus firm-specific scenarios  Explain the relationship between liquidity stress testing and size of liquid asset portfolio  Interpret the overall liquidity risk result

102

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