Liquidity Risk: Leading Practices in Stress Testing, Assumption Support, and Backtesting (MP4)

Given the recent rise in both economic uncertainty and regulatory expectation, many institutions need to focus on enhancing their Liquidity Stress Testing capabilities and modeling processes.

Discuss emerging leading approaches, including the increased use of integrated modeling platforms, more specific and realistic stress scenarios, more robust analysis and support for stress assumptions, and the application of backtesting and other performance monitoring techniques to liquidity models.

Learning Objectives:

• Learn the emerging leading approaches to liquidity models.

• Learn specific and realistic stress scenarios, more robust analysis, and support for stress assumptions, and the application of backtesting.

• Gain knowledge of other performance monitoring techniques.

Recorded August 30, 2023.