Brief Introduction
Preparing for the FRM Exam Part II? Take this Course on Liquidity RiskDescription
This course covers one of the readings in the FRM Part II syllabus, "Liquidity Risk". This reading is under the section: "Liquidity and Treasury Risk Measurement and Management".
At the end of this course, you will be able to:
• Explain and calculate liquidity trading risk via cost of liquidation and liquidity-adjusted VaR (LVaR).
• Identify liquidity funding risk, funding sources and lessons learned from real cases: Northern Rock, Ashanti Goldfields and Metallgesellschaft.
• Evaluate Basel III liquidity risk ratios and BIS principles for sound liquidity risk management.
• Explain liquidity black holes and identify the causes of positive feedback trading.
The instructor covers the syllabus in detail and where applicable, will illustrate how the calculations are done using the formula or in Excel spreadsheet.
What's included in this course:
Course notes (in PDF form)
Spreadsheets used in the course.
Course videos
Q&A Section (only pertaining to this reading in the FRM syllabus)
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FRM Part II (2021): Liquidity Risk
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Preparing for the FRM Exam Part II? Take this Course on Liquidity Risk This course covers one of the readings in the FRM Part II syllabus, "Liquidity Risk"....
