INVESTMENT MANAGEMENT

Liquidity
Risk

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

Accurately Monitor Liquidity Risk

Helping you manage risk

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.

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

KEY FEATURES

A powerful and flexible technology platform

Liquidity Valuation Adjustment

Support for funding and liquidity adjustments to derivative valuations.

Funding Liquidity

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

Perform Stress Testing

Analyse under stressed conditions and satisfy Basel III requirements like HQLA, LCR & NSFR

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.

Model Close Out Period

Modelling of close out period based on liquidity of financial instruments.

NZSF was looking for a solution with proven credit and liquidity risk management functionality. Quantifi’s depth of functionality, speed of analytics, asset coverage and ability to generate scenarios has strengthened the funds risk management capabilities across all risk disciplines.

SURVEY

Managing Liquidity Risk

Quantifi, OTC Partners and BlackRock hosted a webinar ‘Identifying Liquidity Risk for Financial Stability”. 108 delegates were surveyed to measure opinion on how their firms are dealing with liquidity and their approach to IT and operational challenges. The participants shared their perspectives on the importance of liquidity in the functioning of financial markets and the increasing regulatory pressures on buy side firms to ensure strong liquidity risk management practices are being carried out.

insights

Navigate major trends & developments shaping the industry

Whitepapers

Managing Liquidity Risk in Times of Stress

Historically, liquidity risk has been the poor cousin of market risk and credit risk. While the global financial crisis of 2008/2009 first pushed the issue of liquidity risk to the forefront of attention, the most recent market dislocation due to the COVID-19 pandemic has once again highlighted the salient significance of the topic. This is particularly so for institutional investment managers who have to meet margin calls, perform regular fund rebalancing, execute redemptions, among other potentially liquidity-threatening activities. Failure to afford liquidity risk management the focus and priority jeopardizes the health of an institution, perhaps fatally so.

Whitepapers

Identifying Liquidity Risk for Financial Stability

The global financial crisis highlighted the importance of liquidity in functioning financial markets. Pre-2008, market participants received easy access to readily available funding and were ill-prepared for events that transpired during the credit crisis. Failure to adequately assess and manage liquidity underpinned major market turmoil, triggering unprecedented liquidity events and the ultimate demise of Bear Stearns, Lehman Brothers and other financial institutions previously thought too big to fail.

Blog

Managing Liquidity Risk – Industry Perspectives

This Q&A is taken from a webinar recently hosted by Quantifi, OTC Partners and BlackRock. The participants shared their perspectives on the importance of liquidity in the functioning of financial markets and the increasing regulatory pressures on buy side firms to ensure strong liquidity risk management practices are being carried out. Participants Antonello Russo, Director- […]

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