Liquidity Risk Management
Regulators have been giving much more attention to managing and monitoring liquidity risk, as it has been causing great losses and turbulence in the industry with economic impact in the global markets: liquidity risk management has now become a part of everyday risk management activities.
Comprehensive Liquidity Solution
Wolters Kluwer Financial Services provides your firm with a comprehensive liquidity risk solution combining a risk management / stress engine and regulatory reporting platform which enables firms to monitor, manage and report liquidity risk. In addition, our solution allows firms to build and develop a library of stress tests in accordance with the regulators’ requirements.
| Monitor | Manage | Report |
|---|---|---|
| Monitor liquidity buffers by viewing and managing encumbered and unencumbered positions in repos, security lending / borrowing and BSB / SBB agreements | Cash flow forecasting, limits and liquidity scenario stress testing, ensures that the entire process to be tasked, auctioned, validated and audited from start to finish. | Complies with BIS/Basel III requirements offering full support for Mandatory Electronic Reporting (MER), including the creation of XML files and direct communication options, e.g., FSA electronic reporting via GABRIEL. |
Covering Basel III’s two international regulatory standards for liquidity risk supervision, creating the cornerstone firms’ global framework, Wolters Kluwer Financial Services’ liquidity solution implements a consistent platform for satisfying the Liquidity Coverage Ratio (LCR) and the Net Stable Funding Ratio (NSFR). Both LCR and NSFR estimates can be based on the parameters defined by the regulator and set out in our solution or from calculated losses.
What’s Inside
Wolters Kluwer Financial Services Liquidity Risk Management Solution is a suite of modules combined to meet the liquidity requirements of the regulators and your firm. The solution includes:
| ALM /Market Risk Module | Analyse the impact of market risk factors (under normal or stress conditions) into the cash flow events |
| Credit Risk Module | Evaluate the impact of credit & counterparty risk (under normal or stress conditions e.g., PDs, spreads, migrations, etc.) into the cash flow events. |
| Behavior Module | Examine the impact of the counterparty’s behavior (e.g. drawings, exercising options like prepayments, credit lines, etc) into the cash flow events. Analyse the impact of your strategies on sales and development of new business (under normal or stress conditions) into the cash flow events. |
| Static Analysis Module | For the existing portfolios / accounts - examine normal or stressed market / credit / behavior conditions at current (set) time. |
| Dynamic Analysis Module | For both existing and future portfolios / accounts - considering normal or stressed market / credit / behavior conditions at current (set) and future times. |
| Operational Risk Module | Provides forecasting for expected operational risk losses that will impact your liquidity (should be linked to liquidity gap) |
For more information on how Wolters Kluwer Financial Services can help firms to build an integrated Liquidity Risk Management programme please contact us.
