Conference / Seminar, Performance & Risk Analytics, Virtual Events & Programming

Liquidity Risk: Corporate “Dash for Cash” & the Crash of Bank Stock Prices During COVID19

Wednesday, July 1 | 3:00 PM - 4:30 PM

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Overview

This discussion will present evidence on the corporate rush for liquidity at the onset of the COVID-19 pandemic and how it subsequently led to persistent under-performance of bank stock returns. Participants will gain an understanding of both corporate behavior as well as the market’s episodic re-pricing of liquidity risk to banks from undrawn credit lines. Finally, the webinar will demonstrate how bank stress tests can be augmented to cover such liquidity risk and what that would imply for additional bank capital requirements going forward.

Background Resources

The Risk of Being a Fallen Angel and the Corporate Dash for Cash in the Midst of COVID
(Viral V Acharya and Sascha Steffen; Issue 10, 27 April 2020)


“Stress Test” for Banks as Liquidity Providers in A Time of COVID
(Viral V Acharya and Sascha Steffen)

Agenda

Content available Wednesday, July 1 at 3:00pm (ET)

WELCOMING REMARKS

Richard E. Ottoo, PhD, CFA, FRM, Vice President, Global Association of Risk Professionals (GARP)


KEYNOTE PRESENTATION

Dr. Viral V. Acharya, C.V Starr Professor of Economics, New York University Stern School of Business (NYU-Stern)


Q & A


CLOSING REMARKS & ADJOURNMENT

Jed Schneider, CIPM, FRM, Senior Vice President, GIPS Compliance and Performance Reporting, Lazard Asset Management

Additional Details

Learning Outcomes

  • Understand the pricing of liquidity risk
  • Explain how companies are managing liquidity risk during the current pandemic compared to previous recessions
  • Provide evidence of liquidity risk impact on the performance of bank stocks
  • Identify firms that are being rewarded, and firms that are getting penalized
  • Understand the conditional nature of liquidity risk
  • Present recommendations for augmented bank stress tests and explain the potential impact on capital requirements