Liquidity Risk Solution

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Overview

An enterprise risk framework designed to help clients quantify and monitor key liquidity risk measures

The global financial crisis highlighted the importance of liquidity in functioning financial markets. Effective risk management strategies must address the major issues that compromised firms during the drawdown. Liquidity should not be viewed as a short-term operational issue, but as a central component of long-term business strategies. Quantifi provides an enterprise risk management platform that incorporates reporting, scenario modeling, data management and analytics.

Key Features

Cross-Asset - Advanced models (fixed income, rates, FX, credit, equities & commodities) trusted by 5 of the 6 top global investment banks

Cash Flow Projection - Projection of cashflows over the life of the portfolio. User configurable cash ladder and cashflow reporting

Stress Testing - Projection of cashflows and ALM analysis under stressed conditions

Asset Liability Management - Full support for liquidity analysis for effective asset liability management

Risk Analysis & Reporting - Segment and tag positions based on the liquidity in corresponding markets

Close Out Modelling - Modelling of close out period based on liquidity of financial instruments

Liquidity Valuation Adjustment - Support for funding and liquidity adjustments to derivative valuations

Basel lll - Support for Basel lll liquidity risk calculations like HQLA, LCR and NSFR

Key Benefits

  • Integrated liquidity and market risk stress scenarios
  • Calculate and report liquidity risk at different levels of aggregation
  • Measure impact of funding costs on profit and solvency
  • Full transparency and control for all model inputs, methodologies, data, and results
  • Ground breaking performance using multi-core technology and numerical optimisation
  • Fully integrated with data vendors for seamless data management
  • Intuitive to use
  • Execptional training and support

Product/Service details

User Suitability (Capital Markets & Investment)
Trading firms
Geographic Availability
Africa, Asia-Pacific, Europe, Middle East, North America, South America