BLOQUE 1: Regulación, Funding, Liquidity Stress, Geopolitical Risk & AI

​

Módulo 1 — Fundamentos de la Gestión Moderna del Riesgo de Liquidez

​

De la métrica regulatoria a la gestión interna

Temas:

• Naturaleza del riesgo de liquidez

• Funding liquidity vs market liquidity

• Structural liquidity

• Intraday liquidity

• Liquidity transformation

• Liquidity risk drivers

• Liquidity governance

• Roles de Treasury, Risk y ALCO

• Liquidity Risk Appetite

• Límites y KRIs

• Escalation framework

• Liquidity dashboard

RiskLab 1

Mapa integral del riesgo de liquidez del banco

Módulo 2 — LCR, HQLA & Liquidity Buffer Management

​

Más allá del cumplimiento del 100%

Temas:

• Estructura del LCR

• HQLA Level 1 / 2A / 2B

• Haircuts

• Inflows y outflows

• Deposit run-off

• Wholesale funding outflows

• Drawdown of committed facilities

• Composition of the liquidity buffer

• Monetisation of HQLA

• Central bank reserves

• Sovereign securities

• LCR under stress

• Management buffers above regulatory minimums

• Currency-specific LCR considerations

La EBA reportó un LCR agregado de alrededor del 160% a cierre de 2025, pero espera cierta reducción en 2026 y subraya que los bancos deben mantener buffers creíbles frente a shocks de funding. EBA

RiskLab 2

LCR Dynamic Stress Engine

Módulo 3 — NSFR & Structural Funding Risk

​

Gestión de la estabilidad estructural del funding

Temas:

• Available Stable Funding

• Required Stable Funding

• Stable deposits

• Wholesale funding

• Long-term liabilities

• Structural funding gaps

• Balance-sheet maturity transformation

• Funding tenor

• Funding concentration

• NSFR under growth scenarios

• Business-model implications

• Structural liquidity limits

RiskLab 3

NSFR & Structural Funding Simulator

Módulo 4 — Deposit Risk & Behavioural Liquidity Modelling

​

El depósito como principal fuente de funding

Temas:

• Retail deposits

• Corporate deposits

• Operational deposits

• Stable vs less-stable deposits

• Deposit concentration

• Deposit beta

• Deposit churn

• Deposit decay

• Run-off modelling

• Early withdrawals

• Rate sensitivity

• Digital banking behaviour

• Instant transfers

• Behaviour during confidence shocks

• Survival models

• Machine Learning for deposit behaviour

RiskLab 4

AI Deposit Run-Off & Survival Model

Comparar:

Logistic Regression → Survival Analysis → Random Forest → XGBoost

Módulo 5 — Funding Strategy & Funding Plan Management

​

Cómo construir un funding plan creíble

Temas:

• Retail funding

• Wholesale funding

• Covered bonds

• Senior unsecured

• Secured funding

• Central bank funding

• Funding diversification

• Concentration risk

• Funding maturity ladder

• Funding cost

• Funding capacity

• Market access

• Investor appetite

• Funding plan credibility

• Funding plan under stress

• Funding needs under balance-sheet growth

La EBA advierte que los bancos proyectan crecimiento del balance, pero que ese crecimiento puede tensionarse si se amplían spreads, cae la demanda de inversores o aumenta la competencia por depósitos. EBA

RiskLab 5

Funding Plan Under Stress

Módulo 6 — Liquidity Cash-Flow Forecasting

De gap estático a forecasting dinámico

Temas:

• Contractual cash flows

• Behavioural cash flows

• Daily liquidity forecasting

• 7-day / 30-day / 90-day horizons

• Deposit inflows

• Deposit outflows

• Loan repayments

• Drawdowns

• Collateral flows

• Margin calls

• Security maturities

• Forecast uncertainty

• Forecast errors

• Scenario-dependent cash flows

• Probabilistic forecasting

RiskLab 6

AI Cash-Flow Forecasting Engine

Comparar:

ARIMA → XGBoost → LSTM → Temporal Fusion Transformer

Módulo 7 — Collateral, Encumbrance & Liquidity Capacity

​

Cuánto liquidity buffer es realmente utilizable

Temas:

• Asset encumbrance

• Encumbered vs unencumbered assets

• Central bank eligible collateral

• Collateral pools

• Collateral haircuts

• Margin calls

• Derivatives collateral

• Repo capacity

• Securities financing

• Counterbalancing capacity

• Collateral mobility

• Collateral optimisation

• Liquidity buffer usability

• Stress collateral depletion

La EBA está dando especial importancia a la disponibilidad de activos utilizables como collateral, tanto para funding como para cubrir margin calls en episodios de volatilidad. EBA

RiskLab 7

Collateral & Counterbalancing Capacity Engine

​

Módulo 8 — Intraday Liquidity & Payment Risk

​

Gestión de la liquidez en tiempo real

Temas:

• Intraday liquidity

• Payment systems

• Settlement flows

• Correspondent banking

• Central bank accounts

• Payment queues

• Peak liquidity needs

• Timing mismatch

• Liquidity recycling

• Payment concentration

• Intraday collateral

• Settlement failures

• Liquidity gridlock

• Operational disruption

• Intraday stress indicators

RiskLab 8

Intraday Liquidity Simulator

Módulo 9 — ILAAP: Internal Liquidity Adequacy Assessment Process

De documento regulatorio a herramienta de gestión

​

Temas:

• ILAAP governance

• Internal liquidity adequacy

• Risk identification

• Liquidity risk inventory

• Internal metrics

• Liquidity buffers

• Funding strategy

• Stress testing

• Survival horizon

• Risk Appetite

• Management actions

• Integration with business planning

• Supervisory assessment

• Documentation

• Use test

RiskLab 9

ILAAP Internal Assessment Dashboard

​

Módulo 10 — Liquidity Risk Appetite, Limits & Early-Warning Indicators

​

Cómo controlar el riesgo antes del breach

Temas:

• Risk Appetite Statement

• LCR limits

• NSFR limits

• Survival horizon limits

• Funding concentration limits

• Deposit concentration

• Collateral utilisation

• Intraday limits

• Early-warning indicators

• Limit utilisation

• Trigger levels

• Escalation

• Governance

• Predictive limit breaches

• Management reporting

RiskLab 10

Liquidity Early-Warning Dashboard

​

BLOQUE II — Stress Testing 

​

Módulo 11 — Liquidity Stress Testing Framework

Idiosyncratic, market-wide and combined stress

​

Temas:

• Regulatory stress testing

• Internal stress testing

• Idiosyncratic scenarios

• Market-wide scenarios

• Combined stress

• Deposit runs

• Wholesale funding closure

• Haircut escalation

• Collateral calls

• Drawdowns

• Asset fire sales

• Liquidity buffer depletion

• Multi-horizon stress testing

• Dynamic balance sheet

• Management actions

RiskLab 11

Integrated Liquidity Stress Test