Liquidity Risk Analysis

riskpro™ covers liquidity analysis according to user-defined scenarios and strategies consistent with market and credit risk analysis, as based on individual contract data. It can be used as independent solution or in combination with all other riskpro™ methods. The implemented analysis methods are described below.

Liquidity gap

Calculation using any type or grouping of time intervals starting from one-day. Static analysis includes marginal, cumulative and residual gap.

Advanced liquidity gap

Contingent gap distinguishes between different levels of certainty (fixed cash flows, replicated cash flows, option cash flows, etc.) of future cash flows.

Cash management / margining

Cash management allows making automatically internal deals between profit centers. The margining is used for derivative products in order to limit the exposure of the clearing house or counterparty.

Instrument coverage

All above methods are applied consistently for any type of financial product/instruments from deposits to exotic options.

Special riskpro™ strengths

• Most advanced gap types and unique methods
• Full integration of liquidity measurement and dynamic simulation taking customer behavior and liquidation scenarios into account
• Integration of credit risk (default behavior and drawing of open limits) into liquidity planning