Illustrative: a Nelson-Siegel yield surface drifting through time

Risk Academy, led by the Nexus Consortium · Course catalogue · Finance and Economics

Financial Markets and Investment

Market, liquidity and treasury risk

Market, liquidity and treasury risk, taught twice over: as the working methods of the field and as its frontier since 2024, with labs on the Academy's tools, open data and the Nexus Standards.

Core course Frontier course

The discipline

01Core course · L2 Intermediate

Market, liquidity and treasury risk: foundations and practice

This area covers the risk of loss from movements in market prices and from being unable to fund or trade when needed: market risk measurement, market and funding liquidity, interest rate and currency risk, and treasury and asset-liability practice.

Level
L2 Intermediate
Study time
about 24 hours (planning estimate)
Status
In authoring
Prerequisites
An L1 course in the area, or an entry review

Why now

May increase dealer balance sheet capacity in Treasury markets during stress, affecting market liquidity. Board of Governors of the Federal Reserve System, Agencies issue final rule to modify certain regulatory capital standards, 25 November 2025

Learning outcomes

  1. Define value at risk and the other key terms of the discipline and use them correctly in a written case
  2. Explain market risk measurement and value at risk and expected shortfall with a worked example and its source
  3. Apply the discipline's method to a documented case and explain each result with its source
  4. Analyse a named case against market liquidity, stating evidence, date and limits

Modules

  1. Market risk measurement
    • Market risk measurement
    • Value at risk and expected shortfall
    • Market liquidity
  2. Funding liquidity and stress
    • Funding liquidity and stress
    • Interest rate risk
    • Currency risk
  3. Treasury and asset-liability management
    • Treasury and asset-liability management
    • Collateral and margin
  4. Lab: the discipline's method
    • Daily volatility, a confidence level and a holding period set a portfolio's value at risk; expected shortfall measures the mean loss beyond it; counting exceptions in backtesting tells the bank whether the model can be trusted to set limits and capital.
    • Work the method through a documented case and explain each result
    • Read the method's sources and stated values

Labs with Academy tools

Nexus Standards

Teaches

  • NRS-F4 Capital markets, investment and sustainable finance
  • NRS-M8 Method fabric: Financial risk

Relies on

  • NS-1 The UNI and the artefact catalogue
  • NS-16 UNI application profile (how articles, documents, code, data, APIs and interfaces carry the UNI)
  • NRS-C1 Risk vocabulary and ontology
  • NRS-C2 Risk assessment method
  • NRS-C4 Risk data model, identifiers and exchange
  • NRS-C5 Scenarios and stress testing
  • NRS-C6 Systemic and cascading risk
  • NRS-C8 Evidence, uncertainty and provenance

Assessment

  • 40%Lab recordWork the discipline's method through a documented case and explain each result with its source and date
  • 40%Case memoApply the discipline's methods to a named place or organisation, stating evidence and limits
  • 20%Key terms checkShort answers on the key terms, marked against the definitions

Delivery

  • Self-paced online, with the labs in the browser
  • Cohort study over six to eight weeks, with a weekly lab review
  • Co-delivered with a partner institution, inside its own courses

Partner on this course

  • Co-teach a module and bring a current case from your work
  • Host a cohort for your learners, with your own schedule and review
  • Contribute a lab: a dataset your institution publishes openly, or a model
  • Review the course content and its references before it opens
  • Translate the course and adapt its cases to your region

How institutions and experts take part

In the Academy LMS

Course on the learning platform
Intermediate, 4 topics
Cohort group
A community group for each cohort of learners
Achievement
Recorded on completion of the assessed work

References

  1. Board of Governors of the Federal Reserve System, Agencies issue final rule to modify certain regulatory capital standards, 25 November 2025
  2. Artzner, Delbaen, Eber and Heath, Coherent measures of risk, 1999
  3. Acerbi and Tasche, On the coherence of expected shortfall, 2002
  4. Christoffersen, Evaluating interval forecasts, 1998
02Live map

Activity and exposure in the Gulf of Mexico coast

Night-time lights and population, a proxy for economic activity, with the floods and fires that put assets at risk, over the Gulf of Mexico coast.

The interactive map needs JavaScript; the layer list and sources are below.

Layers 2

Activity and exposure

Latest available

NASA GIBS / EOSDIS · ASTER GDEM (METI, NASA) · Blue Marble (NASA) · © OpenStreetMap contributors (ODbL) · Natural Earth

Loading the latest NASA imagery.

Drag to move. Ctrl or ⌘ and scroll, pinch or the buttons to zoom; hover for the values under the pointer; reset returns to the region.

Activity and exposure, framed on the Gulf of Mexico coast.Satellite and model products as NASA publishes them, each with its own date. They are indicators, not assessments of any place.

Data: NASA GIBS · ASTER GDEM · Blue Marble · © OpenStreetMap contributors · Natural Earth · NASA EONETSources and licences

  • We acknowledge the use of imagery provided by services from NASA's Global Imagery Browse Services (GIBS), part of NASA's Earth Science Data and Information System (ESDIS). Colours redrawn from the published colour map; values averaged into H3 cells where shown (modified). NASA open data
  • We acknowledge the use of imagery provided by services from NASA's Global Imagery Browse Services (GIBS), part of NASA's Earth Science Data and Information System (ESDIS). Colours redrawn from the published colour map; values averaged into H3 cells where shown (modified). NASA open data
  • VIIRS Black Marble night-time lights, NASA Goddard Space Flight Center; distributed by the NASA Level-1 and Atmosphere Archive and Distribution System (LAADS DAAC); imagery via NASA GIBS. Colours redrawn from the published colour map; values averaged into H3 cells where shown (modified). NASA open data
  • Center for International Earth Science Information Network (CIESIN), Columbia University. 2018. Gridded Population of the World, Version 4 (GPWv4): Population Density, Revision 11. NASA Socioeconomic Data and Applications Center (SEDAC). Licensed under CC BY 4.0. Colours redrawn from the published colour map; values averaged into H3 cells where shown (modified). doi:10.7927/H49C6VHW. CC BY 4.0
  • VIIRS near-real-time products (flood, land surface temperature, snow cover, corrected reflectance), NASA LANCE; imagery via NASA GIBS. Colours redrawn from the published colour map; values averaged into H3 cells where shown (modified). NASA open data
  • NASA Fire Information for Resource Management System (FIRMS), VIIRS 375 m active fire product, NASA LANCE; vector tiles via NASA GIBS. Colours redrawn from the published colour map; values averaged into H3 cells where shown (modified). NASA open data
  • ASTER GDEM is a product of METI and NASA (ASTER Global Digital Elevation Model V003, NASA LP DAAC); imagery via NASA GIBS. Colours redrawn from the published colour map; values averaged into H3 cells where shown (modified). Cite as: NASA/METI/AIST/Japan Spacesystems and U.S./Japan ASTER Science Team (2019). ASTER Global Digital Elevation Model V003. doi:10.5067/ASTER/ASTGTM.003. NASA open data
  • Made with Natural Earth. Free vector and raster map data @ naturalearthdata.com. Public domain
  • © OpenStreetMap contributors (ODbL), via NASA GIBS (coastlines, boundaries, roads and place names). Colours redrawn from the published colour map; values averaged into H3 cells where shown (modified). ODbL
  • Blue Marble, NASA Earth Observatory; imagery via NASA GIBS. Colours redrawn from the published colour map; values averaged into H3 cells where shown (modified). NASA open data
  • Context on the globe and flat map: coastlines, boundaries, roads and place names from NASA GIBS reference layers (OpenStreetMap data, ODbL, © OpenStreetMap contributors); Blue Marble imagery as an optional base; 3D terrain and the elevation read-out from the ASTER GDEM elevation colour index (5 m to 200 m classes, exaggerated for legibility). Boundaries are drawn as published and imply no position on any territory.
  • Globe: MapLibre GL JS 6.9.1, BSD-3-Clause, © MapLibre contributors.
  • Live events: NASA Earth Observatory Natural Event Tracker (EONET); events are indicative and keep their original source links.
  • NASA GIBS: We acknowledge the use of imagery provided by services from NASA's Global Imagery Browse Services (GIBS), part of NASA's Earth Science Data and Information System (ESDIS).
  • Optional layers (4 sources in the layer list: live, forecast, observed and context) print their provider credit on the map and here when switched on; forecasts are model output and derived indices are estimates.

Layers and dates

  • Night-time lights, daily: VIIRS Black Marble (VNP46A2), NASA LAADS DAAC · 12 Oct 2026
  • Population density, 2020: Population: CIESIN, Columbia University, Gridded Population of the World v4.11 (2018), NASA SEDAC, CC BY 4.0 · static
  • Flood water, 3-day composite: VIIRS Global Flood Product, NASA LANCE · 14 Oct 2026
  • Active fires and thermal anomalies: VIIRS NOAA-20 375 m (FIRMS), NASA LANCE FIRMS · 13 Oct 2026
  • Land surface temperature, day, 8-day composite: VIIRS NOAA-20 Level 3, 8-day, NASA LANCE · 14 Sep 2026

03How learning runs

How learning runs, as a process you can run

Select a scenario and press Play: course, pathway, practice, faculty, cells and record.

04What is changing

Frontier course · L3 advanced, programme courses and standards

Market, liquidity and treasury risk: frontier methods

The methods, data, tools and studies that changed market, liquidity and treasury risk between 2024 and 2026, taught by reproducing them on open data.

Level
L3 Advanced
Study time
about 28 hours (planning estimate)
Status
Planned
Prerequisites
Market, liquidity and treasury risk: foundations and practice; Working knowledge of a scripting language (Python or R) for the labs

Why now

May increase dealer balance sheet capacity in Treasury markets during stress, affecting market liquidity. Board of Governors of the Federal Reserve System, Agencies issue final rule to modify certain regulatory capital standards, 25 November 2025

Learning outcomes

  1. Explain what changed in market, liquidity and treasury risk since 2024 and cite the studies, data or rules behind each change
  2. Reproduce US agencies finalise changes to the enhanced supplementary leverage ratio on open data and state the uncertainty of the result
  3. Evaluate a 2024 to 2026 study: its question, data, method, limits and what it changes for practice
  4. Design an analysis that combines a frontier method with the faculty's instruments, and justify each choice

Modules

  1. US agencies finalise changes to the enhanced supplementary leverage ratio
    • US banking agencies finalised changes to leverage standards for the largest banks, capping the depository subsidiary buffer at one percent, to reduce disincentives to low-risk activity such as Treasury market intermediation, effective April 2026.
    • May increase dealer balance sheet capacity in Treasury markets during stress, affecting market liquidity.
    • Board of Governors of the Federal Reserve System, 25 November 2025
  2. IMF examines stress vulnerabilities in the global FX market
    • The IMF's October 2025 GFSR finds uncertainty raises foreign currency funding costs, widens bid-ask spreads and increases volatility, with vulnerabilities from currency mismatches, dealer concentration and heavy nonbank participation.
    • Informs currency risk, funding liquidity stress testing and settlement risk management for treasury functions.
    • International Monetary Fund, 14 October 2025
  3. SEC extends US Treasury clearing compliance deadlines by one year
    • The SEC postponed mandatory central clearing of eligible Treasury cash transactions to 31 December 2026 and eligible repo transactions to 30 June 2027.
    • Shifts timelines for margin, liquidity and operational changes in the core funding and collateral market.
    • U.S. Securities and Exchange Commission, 25 February 2025
  4. Reproduction lab
    • Extend the discipline's method with one frontier method and compare its results
    • State the uncertainty and the limits of the result
    • Peer review against a shared checklist
  5. Technology that helps and the risks it carries
    • AI models, tokenisation and regulatory technology.
    • Model risk, cyber accumulation, exposure to quantum attacks on cryptography, and concentration on third-party cloud providers.

Labs with Academy tools

Nexus Standards

Teaches

  • NRS-F4 Capital markets, investment and sustainable finance
  • NRS-M8 Method fabric: Financial risk

Relies on

  • NS-1 The UNI and the artefact catalogue
  • NS-16 UNI application profile (how articles, documents, code, data, APIs and interfaces carry the UNI)
  • NRS-C1 Risk vocabulary and ontology
  • NRS-C2 Risk assessment method
  • NRS-C4 Risk data model, identifiers and exchange
  • NRS-C5 Scenarios and stress testing
  • NRS-C6 Systemic and cascading risk
  • NRS-C8 Evidence, uncertainty and provenance

Assessment

  • 50%Method reproductionReproduce one frontier method on open data and state the uncertainty of the result
  • 30%Study reviewA critical review of a 2024 to 2026 study: question, data, method, limits, what it changes
  • 20%Peer reviewReview two other learners' reproductions against a shared checklist

Delivery

  • Self-paced online, with the labs in the browser
  • Cohort study over six to eight weeks, with a weekly lab review
  • Co-delivered with a partner institution, inside its own courses

Partner on this course

  • Co-teach a module and bring a current case from your work
  • Host a cohort for your learners, with your own schedule and review
  • Contribute a lab: a dataset your institution publishes openly, or a model
  • Review the course content and its references before it opens
  • Translate the course and adapt its cases to your region

How institutions and experts take part

In the Academy LMS

Course on the learning platform
Expert, 5 topics
Cohort group
A community group for each cohort of learners
Achievement
Recorded on completion of the assessed work

References

  1. Board of Governors of the Federal Reserve System, Agencies issue final rule to modify certain regulatory capital standards, 25 November 2025
  2. International Monetary Fund, Global Financial Stability Report, October 2025: Shifting Ground beneath the Calm, 14 October 2025
  3. U.S. Securities and Exchange Commission, Standards for Covered Clearing Agencies for U.S. Treasury Securities: extension of compliance dates, 25 February 2025
  4. Artzner, Delbaen, Eber and Heath, Coherent measures of risk, 1999
  5. Acerbi and Tasche, On the coherence of expected shortfall, 2002
  6. Christoffersen, Evaluating interval forecasts, 1998
05Take part

Take part in the work

Start from who you are.

06Questions

Questions, answers and key terms

Is the course free?
Yes. Every course and learning material of Risk Academy, led by the Nexus Consortium, is free to study, self-paced or with a cohort. Ordinary participation has no fee; paid work, internships and fellowships are separate arrangements.
What does completing a course give me?
A completion record: the course, its version, the date and what was assessed, private by default and shared by you. It stacks into discipline, department and programme achievements. A record states what was studied and assessed and does not certify competence; it is not a licence, a professional title or an employment status.
Where do the data and the places come from?
Every faculty teaches on a twin of a real place built from open data; each layer carries its provider, licence and date, and every result on the Academy states its source. Maps and figures are indicators for teaching, never an assessment of a place.
How do I take part beyond the course?
Form a competence cell of three to seven people, study a shared pathway, take a supervised assignment in the National Working Groups, or bring a cohort from your institution. For organisations.

Key terms

Term

Value at risk

A loss level that is not expected to be exceeded at a given confidence over a period.

Term

Expected shortfall

The average loss in the cases worse than a value-at-risk threshold.

Term

Market liquidity

The ease of trading an asset quickly without moving its price.

Term

Funding liquidity

The ability to meet obligations as they fall due without unacceptable cost.

ReportsContribute

Contribute evidence from this page.

Reports is the Consortium's quarterly publication. What you know about this subject can become evidence, a case or a correction in the next edition, credited to you and published under CC BY 4.0 where it is your own work.

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