RISK 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.
Project Cashflows
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.
WHITEPAPER
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.
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
Innovative thinking
New Zealand Superfund Takes an Advanced Approach to Credit & Liquidity Risk Management
New Zealand Superannuation Fund (NZSF) is the sovereign wealth fund of NZ. It’s purpose is to help pre-fund the future pension/superannuation liabilities of an increasingly aging NZ population. Since it was established in 2001, the Fund has grown in size to NZD 45 billion. It is a long-term, growth-oriented fund that invests globally, both directly and through external managers, into a wide range of asset classes and investment products.
How to Manage Liquidity Risk in a Volatile Market
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.
Managing Liquidity Risk – Industry Perspectives
Panellists from Quantifi, OTC Partners and BlackRock discuss identifying liquidity risk for financial stability.
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