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Liquidity Risk, Stress Testing and Inflation


Innovative intensive course of 30 teaching hours, on management and advanced measurement of liquidity risk management and Basel III.


  • Recently, liquidity risk and credit risk have been increasingly worrying for risk managers at financial institutions, the bankruptcy of Silicon Valley Bank SVB has occurred, among other things, due to the run-off of deposits, and it is that the SVB recently warned that "liquidity risk may affect our ability to finance operations and jeopardize our financial condition".

  • High interest rates to stop inflation together with geopolitical risks have affected the assets of financial institutions. Therefore, we have added modules on the impact of inflation and geopolitical risks on financial assets. And a whole module to explain how to design the CFP Contingent Funding Plan.

  • The objective of the course is to show the most recent methodologies, strategies and techniques to manage and quantify the risk in the assets and liabilities of a bank, as well as explain liquidity risk models.

  • Recent Basel IV and EBA directives on ILAAP liquidity self-assessment processes have been included.

  • During the course, methodologies are shown to define, build and validate econometric models, scenario analysis, and stress testing models that meet the Basel III requirements.

  • The main price transfer systems are explained in detail, as well as strategies and tactics to control liquidity risk.

  • It exposes how to implement and define, the already regulatory, risk appetite in liquidity and interest rate risk. FTP and LFTP pricing methodologies.

  • Advanced methodologies are shown to create quantitative tools such as risk capital, economic value, EAR, dynamic gap, etc.

  • Econometric, machine learning, deep learning, and stochastic behavior models of prepayment, indefinite maturity deposits, and credit line withdrawals are taught.

  • We have added a module on the treatment of cryptographic assets that will have an impact on the liquidity of financial institutions.



The Course is aimed at ALM professionals, CFOs, Risk managers, Treasurers, analysts, pension fund managers, auditors, controllers, regulators and compliance staff.





Price: 6.900 €


  • Europe: Mon-Fri, CEST 16-20 h


  • America: Mon-Fri, CDT 18-21 h

  • Asia: Mon-Fri, IST 18-21 h






Level: Advanced


Duration: 30 h



Presentations PDF

Exercises in R, Python, SAS and Excel



Liquidity Risk, Stress Testing and Inflation


Modular Agenda 


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Module 1: The impact of inflation on ALM asset and liability management


  • ALCO's role

  • Term structure of interest rates and expected inflation

  • Monetary Policy, Inflation, and Commodity Prices

  • Inflation and Asset Prices

  • Inflation and Equity Returns

  • Inflation Hedge Through Asset and Sector Rotation

  • The impact on:

    • equity fundraising

    • fixed income securities

    • Strategic and Tactical Asset Allocation

  • The changing shape of risk

  • The historical role of gold

  • Possible trading strategies including:

    • Silver bullion

    • Gold Related Stocks

    • Exchange traded funds

    • Futures

    • Options

    • structured products

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