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Corporate and Organizational
Risk Management Initiative in Microfinance
Pricing and Exam Schedule
2019 PRM Transition
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ERM 2.0 | L3: Stress-Testing Market & Liquidity Risks
During this lesson, we will exam KPIs and KRIs relevant for forecasting and stress testing of market and liquidity risks. We will discuss the specifics and common approaches as well as the relevant frameworks for stressing market and liquidity risks.
Key topics addressed in Lesson 3:
- Recap: ERM 2.0, enterprise stress testing process and framework, and stress testing of credit risk
- Finance and accounting fundamentals (financial Instruments (Re)valuations and impairments, hedge accounting, profit and balance sheet impact of market and liquidity risk)
- Risk fundamentals (Basel market risk and liquidity risk framework, ALM, IRBBB, counterparty default risk)
- Stress testing market and liquidity risk
- Joined risk, finance perspective and impact on KPIs and KRIs; dependencies and correlations between market and liquidity risk and other risk types
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FRTB 2.0 - What's New
Market Risk Management under Basel III/FRTB
MRM L1: Introduction to Model Risk Management...
MRM L2: Set Up MRM Framework across the Modelling ...
MRM L3: Establishing Model Inventory & Model...
MRM L4: Measuring the Model Risk & Model...