The Liquidity Risk Book


Go to the website of Incisive Media (RiskBooks)

Typical Projects
Although every client situation is different, we have selected here some typical projects we have done:

Liquidity Quick Check:
We analyse and document your current liquidity risk processes and systems, work out a gap analysis vs. best market practice / vs. peer banks / vs. the current regulation, document it and present it to you - can be done within two to three weeks

Basel III Implementation Quick Start:
We analyse your regulatory requirements and your available data and systems and generate a gap analysis to underpin where you stand at the moment and give a recommendation how to go forward - typically, a two months project

Prepare for the Management of the (LCR) Liquidity Coverage Ratio:
We help you define a management process ensuring the bank’s ability to successfully meet the LCR requirements i.e. internal reporting requirements for the LCR, necessary balance sheet information, internal responsibilities and authorization, required management tools (e.g. Forward LCR including the necessary balance sheet simulation), decision rules and optimization

Integrate Liquidity Risk into the Transfer Pricing:
Basel III requirements and the existing refinancing situation will result in additional costs which cannot be distributed evenly; the challenge is to set them up according to their actual origin and reason - such a project heavily depends on the bank’s recent risk measurement and cost allocation process: we have some blueprints for the methodology but changing running processes requires a meticulous analysis of the situation

Create a Best Practice Liquidity Risk Exposure Measurement Process:
We have helped banks to set up a fully-fledged liquidity risk exposure measurement process starting with an extensive generic methodology, detailed treatments of financial transactions and the generation of various scenarios and stress tests, both from an economic and regulatory point of view and resulting in liquidity risk management processes supported by appropriate software systems - this is an on-going process in which we can help you to improve from your current position

Quantify Your Bank’s Counter Balancing Capacity (CBC):
Our favourite, as we have, loosely speaking, ‘invented’ the CBC. We have developed methodology blueprints for the gathering of asset flows and inventories as well as for the liquification of these assets in time and in different liquification venues, may it be central bank or other repos, sale or central counterparties - this can be done in different stages: collecting the liquidity buffers, breaking them down in liquifiability classes, liquefy them and integrating the result with the bank’s liquidity risk exposure measurement and the different required scenarios strategy

The Consequences of Basel III for Your Business Model
We analyse your balance sheet, help you understand the consequences of Basel III for your current business as well as model and advise you how to meet the new regulatory requirements and market situations

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