NEU Logo
Đại học Kinh tế Quốc dânChương trình đào tạo
English
Tiếng Việt
NEU Logo
QR Code

Đại học Kinh tế Quốc dân

207 Giải Phóng,Bạch mai, Hà Nội, Việt Nam

(84)24.36.280.280

(84)24.38.695.992

facebook.com/ktqdNEU

QR Code
Bản quyền thuộc về: Đại học Kinh tế Quốc dân
Trang chủ
Hướng dẫn sử dụng
MFE1104 — Liquidity Risk Measurement and Management | Chương trình đào tạo NEU

MFE1104 — Liquidity Risk Measurement and Management

Credits
3
Self-study hours
90
Showing intake
K68-2026

Course description

Liquidity risk measurement and management is a specialized course for 4th year student majoring in risk management. This course is designed to cover the content of GARP’s FRM (Liquidity and Treasury Risk Measurement and Management-Exam part II). This course will focus on methods to measure and manage liquidity and treasury risk. The broad knowledge points covered in the Liquidity and Treasury Risk Management section include the following: Liquidity risk principles and metrics; Liquidity portfolio management; Cash-flow modeling, liquidity stress testing, and reporting; Contingency funding plan; Funding models; Funds transfer pricing; Balance sheet management; and Asset liquidity. This course consists of 8 chapters.

Course requirements

Requirements for Final Examination

Attendance score must be at least 5 (according to University regulations).

See Appendix 2, Rubric 1 for attendance evaluation.

Requirements for Class Attendance

Students are responsible for attending all classes. In case of absence from school due to force majeure reasons, sufficient and reasonable proofs must be provided. For each absence, 1 point will be deducted 1 point. Students who miss any classes more than 3 times, with or without reason, will be considered as failing to complete the course and have to re-register.

Students will be awarded points for constructive comments these points are added to attendance points and group assignments.

Groups who do not submit the group work will receive a score of 0 (zero). Late submissions will be deducted for each day of late submission.

Requirements for In-class Behaviour

The course is conducted on the principle of respecting learners and lecturers. Any behaviour that affects the teaching and learning process is strictly prohibited.

Students must come to class on time. Students who are late more than 10 minutes after class starts will not be allowed to attend the class. Do not make noise and affect others during the learning process.

Laptops and tablets are only used for the purpose of taking notes for and calculating for lectures and exercises, absolutely forbidden to use for other purposes.

Teaching plan

Week 1

Lecture 1 Greeting and course introduction, its logic, its role and position in the program
References
Syllabus
Activities
Lecturer introduces the course Lecturer sets learning requirements Lecturer instructs students to read documents Lecturer instructs students to find documents Lecturer instructs to group work Lecturer divides students into working groups
Assessment
Criteria: Attendance, Responding & Behavior Tools: Rubric 1 Method: Attendance Check & Work Assignment

Week 1

Lecture 1, 2 Chapter 1. Liquidity Risk Why Liquidity Risk is in the focus of financial institutions world-wide? Liquidity risk in the context of the financial crisis Relationship between liquidity and solvency Seminar 1
References
[1]
Activities
Students have to read the related contents before coming to class Lecturer euips students with theorical information Students: Read materials in advance, attend roll call, answer questions in Seminar 1 slides, participate in discussions.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Rubric 1 Method: Attendance Check & Work Assignment

Week 3

Lecture 3,4 Chapter 2. Analytical Overview/ Governance 2.1. Defining liquidity risk Funding liquidity Market liquidity 2.2. Strategy for liquidity risk, policies and practices 2.3. Inter-relationship between liquidity, credit, market (interest rates), operational, legal and reputation risks. 2.4. Relevant parameters affecting liquidity status Seminar 2,3

Learning resources

  • 1. Course Books
  • Liquidity and Treasury Risk Measurement and Management, garp.org/frm exam part II, 2025
  • 2. References
  • Standard lecture notes/slides 2025
  • 3. Other resources available at the University Library
  • https://www.garp.org/frm/study-materials
  • https://www.bis.org/
  • Akhtar Siddique and Iftekhar Hasan, Stress Testing: Approaches, Methods and Applications, 2013
  • Value at Risk: The New Benchmark for Managing Financial Risk, Third Edition, by Philippe Jorion
  • Tiziano Bellini , Stress Testing and Risk Integration in Banks- A Statistical Framework and Practical Software Guide (in Matlab and R), 2017
References
[1]
Activities
Students have to read the related contents before coming to class Lecturer euips students with theorical information Students: Read materials in advance, attend roll call, answer questions in Seminar 2,3 slides, participate in discussions.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Rubric 1 Method: Attendance Check & Work Assignment

Week 5

Lecture 5,6 Chapter 3. Liquidity Risk in Asset Liability Management 3.1. Asset & Liability Management in the modern environment 3.2. Scope of Asset/Liability Management function 3.3. Optimizing and managing the balance sheet – Purpose & Roles of Asset-liability committee (ALCO): Managing Interest Rate & Currency Risk Funding and Capital Planning Profitability Net Interest Income 3.4. Organizational issues Case Study Seminar 4,5
References
[1]
Activities
Students have to read the related contents before coming to class Lecturer euips students with theorical information Students: Read materials in advance, attend roll call, answer questions in Seminar 4,5 slides, participate in discussions.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Rubric 1 Method: Attendance Check & Work Assignment

Week 6

Lecture 6,7 Chapter 4. Funds Transfer Pricing 4.1. Overview of FTP 4.2. Improvement of cash flows, earnings, risk and value through FTP 4.3. Alternative methods and addressing FTP objectives 4.4. Approach for implementation of FTP mechanism 4.5. Using the FTP for performance forecasting and measuring branch profitability 4.6. Incentives, policies and procedures Seminar 5,6
References
[1], [4], [7]
Activities
Students have to read the related contents before coming to class Lecturer euips students with theorical information Student have to discuss the circumstances and questions asked by the lecturer Seminar 5,6
Assessment
Criteria: Attendance, Responding & Behavior Tools: Rubric 1 Method: Attendance Check & Work Assignment

Week 8

Lecture 8 Chapter 5. Liquidity Risk Measurement 5.1. The components of the balance sheet 5.2. The liquidity balance sheet 5.3. Liquidity Gap Analysis 5.4. Cash Flows and Cash flow forecasting 5.5. Deterministic and stochastic behaviour of instruments 5.6. Liquidity at Risk & Liquidity Value at Risk Seminar 7
References
[1]
Activities
Students have to read the related contents before coming to class Lecturer euips students with theorical information Student have to discuss the circumstances and questions asked by the lecturer in Seminar 7
Assessment
Criteria: Attendance, Responding & Behavior Tools: Rubric 1 Method: Attendance Check & Work Assignment

Week 9

Lecture 9 Chapter 6. Managing Liquidity Risk – Metrics & Limits 6.1. Types of liquidity measures 6.2. Liquidity ratios and Concentrations Liquidity coverage ratio (LCR) Net stable funding ratio (NSFR) 6.3. Management Information System/ Internal reporting 6.4. External communication 6.5. Examples from large international banks 6.6. Strategies for banks Seminar 8
References
[1]
Activities
Students have to read the related contents before coming to class Lecturer euips students with theorical information Students: Read materials in advance, attend roll call, answer questions in Seminar 8 slides, participate in discussions.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Rubric 1 Method: Attendance Check & Work Assignment

Week 10

Lecture 10,11 Chapter 7. Liquidity Risk Stress Testing 7.1. Basel principals for stress testing 7.2. Stress Test Parameters 7.3. Implement Stress Testing in various scenarios 7.4. How stress tests fit into the ICAAP 7.5. Impact of ICAAP Seminar 9
References
[6]
Activities
Students must read the related contents before coming to class Lecturer euips students with theorical information Students: Read materials in advance, attend roll call, answer questions in Seminar 8 slides, participate in discussions.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Rubric 1 Method: Attendance Check & Work Assignment

Week 12

Lecture 12,13 Chapter 8. Contingency Funding Plan Potential Funding Sources Measures To Enhance The Liquidity Of Assets And The Stability Of Liabilities Reliability Of Each Liquidity Source For Various Potential Need Environments Funds Management And Liquidity Monitoring Process Early indicators Back-up liquidity Seminar 10
References
[4], [6], [7]
Activities
Students have to read the related contents before coming to class Lecturer euips students with theorical information Students: Read materials in advance, attend roll call, answer questions in Seminar 10 slides, participate in discussions.
Assessment
Criteria: Attendance, Responding & Behavior Tools: Rubric 1 Method: Attendance Check & Work Assignment

Week 14

Present group exercise.
References
[1]
Activities
Groups report and answer questions Lecturer and class members comments
Assessment
Criteria: Attendance, Responding & Behavior Tools: Rubric 2 Method: Attendance Check & Work Assignment
Final exam
Activities
Students take exams according to givem schedule
Assessment
According to the exam requirement; Assessment will follow Rubric 3