Liquidity
Risk
Improve measurement & management of liquidity risk
Overview
Thus, our framework helps our client develop internal reporting on liquidity and funding across the firm on a global and local level. We also provide oversight and validation of the bank’s liquidity risk framework. This includes the independent validation of all liquidity risk models as well as the review and back-testing of limits.
One of the key challenges while dealing with liquidity management is to develop rational Stress testing and scenario analysis which plays a central role in liquidity risk management framework. This must also incorporate an assessment of asset liquidity, under various stress scenarios as well as contingent funding requirements from off-balance-sheet commitments. We have helped our clients develop Daily stress test whose results are used to monitor ongoing compliance with the Board’s overall liquidity risk appetite.
Offerings
- Liquidity risk modelling incorporating effects of funding risks, market liquidity risk etc.
- Cash-flow based reporting framework, which provides daily liquidity risk information to global and local management.
- Running a wide range of stress and scenario tests and help in developing the ‘Contingency Funding Plan’ to meet the challenges of stressed scenarios.
- Assessing maturity mismatches, concentrations of funding and the availability of unencumbered assets.
- Estimation of the Liquidity Coverage Ratio (LCR) and the Net Stable Funding Ratio (NSFR) as stipulated by Basel III guidelines and adopted by the local regulators.