Quantitative Liquidity Risk Management

Quantitative Liquidity Risk Management equips learners with the frameworks, metrics, and oversight structures that financial institutions use to govern liquidity risk at an enterprise level. The focus is on translating measurement into action—through planning, compliance, and board-level reporting. The course begins with a deep dive into the quantitative measurement of liquidity risk. Building on foundational metrics like the Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR), learners explore how institutions use cash flow forecasting, scenario analysis, and sensitivity testing to assess both immediate and long-term liquidity exposures. Contingency Funding Plans (CFPs) are introduced as strategic blueprints for managing liquidity under stress. Learners identify potential stress triggers, assign appropriate response actions, and design operational procedures to ensure obligations are met during market disruptions or institution-specific crises. U.S. regulatory requirements and Basel III liquidity standards are also covered, providing a comparative framework for how global and domestic rules shape liquidity profiles. These sections clarify how regulatory regimes define and enforce liquidity buffers, stable funding requirements, and disclosure practices. A focus is placed on the Asset-Liability Committee (ALCO) as the central forum for liquidity risk oversight. Learners explore how ALCO monitors trends, escalates risks, and supports board-level decision-making with timely, data-driven reports and dashboards. The material emphasizes how quantitative tools are balanced with institutional judgment and aligned with organizational risk appetite. By the end, participants gain a full understanding of how liquidity risk is measured, governed, and managed strategically—ensuring institutional resilience across regulatory cycles and shifting market conditions. This course is part of the New York Institute of Finance’s Asset Liability Management Professional Certificate program. 36:Td9

• Apply quantitative models for liquidity riskConduct cash flow and scenario analysisUse LCR and NSFR in measurementInterpret stress test results and sensitivitiesBuild an effective Contingency Funding Plan