Measuring and Managing the Liquidity Risk
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Measuring and Managing the Liquidity Risk
Measuring the Market Liquidity Risk - 2 Day Executive Education Course in Milan
This 2 day program focuses primarily on measuring how illiquidity affects trading and banking book management.
Special emphasis will be placed on the experiences of leading companies that have invested in projects for measuring liquidity risk.
Participants will be able to closely examine the problems of identifying risk factors, supervisory implications, models for mapping financial portfolios, the metrics put forward to measure liquidity risk and the effect on absorption of banking capital.
The program will also allow participants to develop the knowledge needed to closely examine the factors that create liquidity risk in portfolio positions.
The purposes are as follows:
- to identify the regulatory framework
- to assess the impact of liquidity risk in order to reach an accurate valuation of the stocks, distinguishing between securities and derivatives
- to manage the funding liquidity risk
- to identify the relationship with other risks (risk integration) and capital management
PROGRAM DIRECTORS: Giovanna Zanotti & Giampaolo Gabbi
Interested in learning more about this Measuring the Market Liquidity Risk Course? Request Information from SDA Bocconi School of Management here
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Suitability and application
The Measuring the Market Liquidity Risk Executive Education Course is aimed at those who work in the areas of risk management and capital management, as well as at financial brokers, treasurers and at operators dealing with trading and banking books.
Please contact SDA Bocconi to learn more about the application process here
Measuring the Market Liquidity Risk Course Content
This Measuring the Market Liquidity Risk Executive Education course is designed to cover the following topics:
Definitions of liquidity risk
- Integrating funding liquidity risk and market liquidity risk
- The regulatory context of measuring liquidity risk, the mainstay of Basle 2 and the proposals of Basle 3
Static models for measuring liquidity risk
- The idiosyncratic factors of liquidity risk
- Risk factors for bonds
- Risk factors for equities
- Risk factors for derivatives
- Dynamic models for measuring liquidity risks
- Models based on asset volume (volume models)
- Models based on bid-ask spread
- Models based on execution lag
The impact of liquidity risk on the financial asset valuation process
- The liquidity risk premium
- Market risk assessment adjusted for liquidity risk
The impact of liquidity risk for treasury management
- Measuring the liquidity constraints for financial institutions
- Controlling the risk within treasuries
- Managing the liquidity risk in money markets
Best practices
- Info providers (Bloomberg, Reuters, Riskmetrics)
- Unicredit Group
Expenses
Fees and expenses of this SDA Bocconi Measuring the Market Liquidity Risk Course is € 2,000 + VAT (if required)
Special Payment Terms
A 10% reduction on the program fee is offered to applications sent in by 25th March, 2012.
SDA Bocconi School of Management
SDA Bocconi School of Management 
SDA Bocconi is the leading School of Management in Italy and also stands among the top-ranked European Institutions. Founded in 1971, with its 40-year experience, SDA Bocconi School of Management is a pioneer in business education in Italy: its hallmark is innovation and far-reaching modelling that manifest themselves through a wide array of executive courses and master programs.
The School offers a Full-time MBA and a Global Executive MBA in English as well as a modular Executive MBA and an Evening Executive MBA in Italian. It also offers 10 Full-time Specialized Master Programs (5 International + 5 in Italian) and 6 Executive Specialized Master Programs (2 International + 4 in Italian).
Empowering lives through knowledge and imagination
SDA Bocconi dedicates energy and resources to creating value and spreading values. Proof of this are its research, teaching and relations with SDABoc158, business and institutional communities. It is exemplified by its exchanges, international approach, critical spirit, pragmatism, curiosity and innovative strength. Knowledge and imagination are the shared pride and heritage of the faculty, its students, and thousands of alumni around the world.
SDA Bocconi targets post-experience management education through an effective cycle of research and knowledge dissemination, in an international environment. SDA Bocconi is a not-for–profit institution which aims to achieve economic autonomy as a long-term factor of cultural independence.
The School’s staff are a key element in its success and deserve opportunities for development. SDA Bocconi acts upon the guidance of the scientific community as well as that of the world of management, in a global context.
Latest rankings
The leading School of Management in Italy and the only Italian School on the top of the charts of all main International Rankings, SDA Bocconi has established itself as a European leader in higher education. SDA Bocconi placed 6th in Europe in the QS Global 200 Business School Report 2012, based on the assessments of Recruiters. The MBA program also allowed the School to reach 4th place amongst the top non-US Business Schools in the Forbes ranking, which is mainly based on return on investment. In addition, SDA Bocconi started 2011 by placing first in the world in the Bloomberg Businessweek Ranking for Full-Time MBA Return On Investment and ended the year reaching the 7th position in the Financial Times' Best European Business Rankings, gaining ten positions. SDA Bocconi also ranks 15th in Europe and 42nd worldwide and remains the only Italian Business School in the latest Financial Times Global MBA Rankings, which has seen a general downgrade of European Schools in favor of U.S. Schools. SDA Bocconi, however, ranks 4th in Europe for salary increase three years after graduation, in spite of the negative impact of the financial crisis on MBA graduate salaries: new international and growth-oriented initiatives have been implemented, in line with the School's decision in 2008 to move from a bilingual MBA to an International program entirely taught in English. Further testimony of the quality of the programs offered by SDA Bocconi is the accreditation by the AACSB (The Association to Advance Collegiate Schools of Business), announced on 5 December 2011 by the Board of Directors of AACSB International. This accreditation, in addition to the previously awarded EQUIS and AMBA, marks the completion of the top three accreditations offered by the most important international institutions, and places the School among just 55 Business Schools worldwide to have received the AACSB accreditation.
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In 1998, SDA Bocconi was the first institution in Italy to obtain EQUIS (European Quality Improvement System) accreditation. SDA Bocconi operates on all the strategic fronts of education: executive courses, tailor-made courses, specialist master degrees and MBA programmes.
With a flexible system of widespread entrepreneurship, the SDA Bocconi School of Management can respond quickly with custom executive programs that complement an already extensive portfolio of educational products.
Companies, institutions and individuals who come to us find we are passionately committed to inspiring the professional and personal growth of each and every student.
Executive Education Excellence Programs
SDA Bocconi School of Management offer 4 Executive Education Excellence Programs which place participants in a truly international environment. Thanks to both faculty and peers, participants can benefit of a high international exposure and valuable professional contacts. They engage with an integrated learning journey that put them up to success in today’s mutating marketplace.
The Programs are arranged in strategic partnerships between SDA Bocconi and other institutions and centres of expertise to provide a truly International outlook and up-to-date knowledge of business trends.
Some of our most popular programmes are:
- GEMBA - Global Executive MBA
- EMMS - Executive Master in Marketing & Sales
- EMSHRM - Executive Master in Strategic Human Resource Management
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