FRM Part II (2021): Liquidity Risk

Preparing for the FRM Exam Part II? Take this Course on Liquidity Risk
Free tutorial
Rating: 4.4 out of 5 (73 ratings)
1,236 students
1hr 53min of on-demand video
English

Liquidity trading risk, cost of liquidation and liquidity-adjusted VaR (LVaR).
Liquidity funding risk, funding sources and lessons learned from real cases
Basel III liquidity risk ratios and BIS principles for sound liquidity risk management
Liquidity black holes
Causes of positive feedback trading

Requirements

  • Have passed the FRM Part 1 exam
  • Have studied the FRM Part 1 syllabus
  • Have knowledge of financial products and financial markets
  • Have knowledge of statistics (i.e. descriptive statistics, Normal distribution)

Description

This course covers one of the readings in the FRM Part II syllabus, "Liquidity Risk". This reading is under the section: "Liquidity and Treasury Risk Measurement and Management".


At the end of this course, you will be able to:

• Explain and calculate liquidity trading risk via cost of liquidation and liquidity-adjusted VaR (LVaR).

• Identify liquidity funding risk, funding sources and lessons learned from real cases: Northern Rock, Ashanti Goldfields and Metallgesellschaft.

• Evaluate Basel III liquidity risk ratios and BIS principles for sound liquidity risk management.

• Explain liquidity black holes and identify the causes of positive feedback trading.


The instructor covers the syllabus in detail and where applicable, will illustrate how the calculations are done using the formula or in Excel spreadsheet.


What's included in this course:

  1. Course notes (in PDF form)

  2. Spreadsheets used in the course.

  3. Course videos

  4. Q&A Section (only pertaining to this reading in the FRM syllabus)

Who this course is for:

  • FRM Part II examination candidates
  • Those who want to understand more about trading and funding liquidity risk

Instructor

Developing Financial Risk Professionals of Tomorrow
Risk Maestro
  • 4.4 Instructor Rating
  • 73 Reviews
  • 1,236 Students
  • 1 Course

The instructor has years of working experience in the area of Asset & Liability Management (Interest Rate Risk in the Banking Book and Liquidity Risk Management). He has taught the CFA Program for more than 8 years and is an expert on financial risk management.


Through Risk Maestro, he wishes to create his own online academy to train the financial risk professionals of tomorrow.


He is a CFA charterholder, certified FRM holder, and holds qualifications in financial modeling (FMVA and AFM).

Top companies trust Udemy

Get your team access to Udemy's top 17,000+ courses