Liquidity Risk Management

Our Liquidity Risk solution contains a number of tools allowing to thoroughly understand, manage and report relevant risks faced by a modern financial institution of any size. Such tools include Stress Testing, Basel III Liquidity rations (namely LCR and NSFR), cash flow and repricing mismatching, and interest rate sensitivity.

Main Features

Liquidity Stress Testing

  • Allows to implement different types of stress tests, including empirical, regulatory, expert, reverse stress tests.
  • Manages different types of stress scenarios including idiosyncratic, market-wide, or combined
  • Allows multiple severity levels within each scenario
  • Allows for dynamic scenarios with different levels of stress across time for each risk factor
  • Each asset class (i.e. parametric grouping of assets or liabilities) can be stressed differently for the same risk factor
  • Uses numerous liquidity risk factors including run-off rates for funding, asset fire sales, contingent liability drawings, prepayments, rollovers, business growth, and others

Asset & Liability Management (ALM)

  • Production of future cash flows for all cash and derivative instruments according to their terms
  • Estimation of unknown expected cash flows based on forward market rates
  • Grouping of cash flows according to parametric time buckets, for each hierarchical business unit within the organization
  • Production of net cash flow gap report, cumulative and per-period
  • Production of Liquidity Report including average rate and net interest revenue for each time bucket 

Interest rate sensitivity management

  • Evaluation of mark-to-model profit & loss arising from changes in the term structure of any yield curve
  • Support for unlimited interbank as well as corporate yield curves with parametric tenors depending on currency and market
  • Supports both banking book and trading book instruments including derivatives