Liquidity & FTP
- Build a Liquidity Risk Framework with LCR/NSFR, ILAA/ILAAP style governance, limits, and intraday controls.
- Design next-gen FTP (currency/tenor curves, liquidity contingency charge, capital charge) tied to RAROC/EVA.
- Estimate deposit betas & behavioral runoff (corporate vs retail) for digital-run scenarios.
10
5
2025-12-08
18:00 - 20:00 hrs
Descripción
When deposits can vanish with a push notification, liquidity is king—and a cruel one. This program moves you from classic ALM to surgical control of intraday liquidity, LCR/NSFR, and multi-currency FTP that actually prices basis, tenor, and capital. We’ll stress real balance sheets under FX and rates shocks, design contingency funding playbooks that survive digital runs, and wire product pricing to risk-adjusted returns so nothing is secretly subsidized. Outcome: keep calm, keep funding, keep margin.
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Conoce a nuestro profesorado
Andrew Aziz
Quantitative Finance Educator & Risk Analytics Expert
PhD, MBA | Quantitative Finance Educator & Risk Analytics Expert
Andy currently teaches in Master’s-level Financial Engineering programmes at the Schulich School of Business, York University and at the DeGroote School of Business, McMaster University. He holds a PhD in Finance from the Schulich School of Business and an MBA from Queen’s University in Canada.
A recognized expert in risk analytics and quantitative finance, Andy has published extensively and is a frequent speaker at global financial engineering and risk management conferences.
Professionally, Andy brings over two decades of leadership experience in the financial technology sector. Most recently, he served as Head of Product and Chief Strategy Officer at SS&C Algorithmics. He rejoined Algorithmics after holding senior roles as Chief Strategy Officer at d1g1t Inc., and as Partner and Senior Vice President at IHS Markit, where he led the Financial Risk Analytics business line.
