Liquidity Risk Management
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