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Liquidity risk

Risk. Treasury. Regulatory. Controlling. Accounting.

RaPID covers two types of liquidity risk analysis

  • Funding liquidity, which arises due to an in-balance between projected future cash in- and outflows such that a financial institution is not able to make its payments. Besides the normal (expected) cash flow view is essential looking at a stressed situation where cash outflows happen earlier than expected (clients are withdrawing more money as expected) and cash inflows happen later than expected (delayed or defaulted cash inflows). Traditionally the funding liquidity looks at daily, weekly, monthly and sometimes yearly time buckets.
  • Intraday liquidity risk focuses on cash flows during the day arising from the payment systems and projected cash flows from financial instruments.

RaPID offers a broad range of different analysis like

  • Survival period / distance to illiquidity
  • Marginal, residual, cumulative gap analysis based on contractual and behavioral assumptions
  • Stress testing taken into account adverse changes in market conditions, prepayments, drawing, defaults, delayed repayments – in fact, almost any kind of risk factors can be stressed:
    • Credit line
    • loan commitment
    • operational risk
    • syndication
    • cash collateral
    • funds
    • own funds
    • collateral rating trigger
    • clearing accounts
    • guarantees
    • repurchase of own issuances
    • purchase of loans
    • Equity
    • Saving accounts
    • Replication portfolio
  • Calculation of the counter balancing capacity (CBC) to ensure that in case of liquidity crisis there are enough funds available that can be converted into liquidity. This approach is in line with LCR (liquidity coverage ratio).
  • Additional Liquidity Monitoring Metrics (ALMM) according as defined and required by EBA and finma/SNB.
  • OLAP reporting with slicing & dicing
  • Drill down to single contracts and events
  • Calculation of the funding risk in the ICAAP.
  • Flexible framework for the ILAAP
  • Coverage of BCBS 248