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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

  • Marginal, residual, cumulative gap analysis based on contractual and behavioral assumptions
  • Stress testing taken into account adverse changes in market conditions, prepayments, drawing of credit lines, defaults, delayed repayments – in fact, almost any kind of risk factor can be stressed.
  • 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.
  • 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