The Liquidity Risk Book


Go to the website of Incisive Media (RiskBooks)

Data To Be Captured

Gathering the data to measure liquidity risk is a difficult problem.
Whether to take a top down summarized approach or a bottom-up detailed approach?
Exactly what information is required and what areas need to be tackled first?
Ultimately every cash flow that is scheduled to occur or may arise through external influence needs to be captured or estimated.

Liquidity Risk Corporation (LRC) can help in two ways:
- Firstly LRC has developed the expertise and experience to guide you through this process. Having been through this before we advocate a bottom up approach where possible retaining sufficient detail to allow detailed analysis and investigation of liquidity issues. We promote a pragmatic and prototyped approach to capturing the minimum set of data required.
- Secondly we have developed a simple but effective data model that reduces the complexity and allows you to concentrate on sourcing and verifying the data:
- Transactions – For the development of scenario treatments
- Cash flows – For the raw forecasting of the Forward Liquidity Exposure (FLE)
- Positions & Security Data – For the calculation of liquidity buffers
- Market Data

Data Model

LiMAS provides a simple data model to capture cash flows and Transactions.

Where possible we will take detailed cash flows per transaction or position. This allows full flexibility when analyzing the consumption of liquidity.
- Simple flat file/excel loading can be used to prototype data feeds
- Multiple dimensions to allow slice and dice - Reference date separation for multiple sets of data
- Transaction Data
- Where the cash flows are unknown we recommend capturing transactions at a suitably aggregated level for exposure modeling.