The Liquidity Risk Book


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What We Have Already Done

Liquidity risk measurement and simulation is fairly new to most banks - and brand-new for almost all consultants - no matter what they will tell you.

We have already helped clients to:

  • Assess the current status of the bank’s liquidity risk management practice and to benchmark the results against peer and best practices or regulatory requirements
  • Write policies that describe the types of liquidity risk the bank considers as material and the appropriate methods to measure or respectively neutralize, mitigate or hedge these risk types
  • Set up processes that define who in the bank is going to quantify which liquidity risks, and when and to whom the results will have to be presented
  • Specify the requirements for supporting liquidity risk measurement systems, blueprint and build prototypes, as well as helping to build, calibrate and implement operative systems
  • Determine who has to take what actions in case of a limit breach or a general deterioration of the bank’s liquidity situation or standing in the markets
  • Define the admitted catalogue of countermeasures
  • Document the on-going liquidity risk management process as well as incurred costs
  • Detect the takers and providers of liquidity in the bank and eventually adjust related economic results
  • Back-test the forecasted results and improve forecasting models and calibration
  • Set-up transfer pricing methods and systems to pro-actively manage liquidity risk

The above processes can become very complex because the regulatory liquidity risk requirements are not necessarily fully aligned with the economic liquidity risk view of the bank. By drawing up those parts of the requirements that are generic (and thus can be met with a common methodology), we have helped clients to avoid incongruent liquidity risk reporting and management processes and systems.

We Have Already Done The Full Monty

We have built liquidity risk solutions from the basic risk definitions to the fully fledged liquidity risk measurement, analysis and simulation software (LiMAS) that is capable to treat e.g. the LCR as specific scenario. We did it in Deutsche Bank, we did for Commerzbank and lately we did it again for BNPP Fortis in Brussels (FORLiS).

We Will Do It Again. For You.