Liquidity Risk

Accurately Monitor Liquidity Risk

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

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

 

 


Why Quantifi?

A powerful and flexible technology platform designed to help firms
measure, manage and mitigate liquidity risk

 

Cross-asset Support

Advanced models (fixed income, rates, FX, credit, equities & commodities) trusted by 5 of the 6 top global investment banks
 
 

Project Cashflows

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

Perform Stress Testing

Projection of cashflows and ALM analysis under stressed conditions 
 
 

Asset Liability Management

Full support for liquidity analysis for effective asset liability management
 

Conduct 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
 

Calculate Liquidity Valuation Adjustment

Support for funding and liquidity adjustments to derivative valuations
 
 

Satisfy Basel lll Requirements

Support for Basel lll liquidity risk calculations like HQLA, LCR and NSFR
 

 

 

Survey: Managing Liquidity Risk


108 industry practitioners were surveyed on how they manage

liquidity risk and the challenges faced
 

How does your firm manage
liquidity risk operationally?

Liquidity characteristics can vary significantly over
different periods and market conditions and
portfolio liquidity assessments need to be
updated accordingly.

 

View Findings View Webinar

 

 


Featured Video



Panel from Quantifi's annual NYC conference on the Impact of Recent Regulations on Bank Liquidity

 

Impact of Recent Regulations
on Bank Liquidity

This panel of senior practitioners from Citigroup, SocGen and China Construction Bank reflect on the  impact of recent regulation on sell-side liquidity. Panel moderated by Dmitry Pugachevsky, Director of Research, Quantifi
 

Watch video