Algo Liquidity Risk

Benefits

Supports balance sheet risk policy
A holistic view of risk in the balance sheet, scenario-based dynamic simulations of future business, and the ability to run ad-hoc stress testing are key to support decision-making regarding effective capital usage for sustainable growth within the bounds of an explicit risk appetite to achieve long term shareholder value gains.

Supports regulatory reporting
Algo Liquidity Risk's reporting GUI supports production of regulatory reports. Despite there being no standardization of local regulatory requirements for liquidity risk, the reporting tool is flexible and adapts to country specific requirements.

Enhanced data quality and streamlined implementation
Algorithmics offers sophistication without complexity. Implementation is streamlined and data quality is enhanced thanks to an innovative information management approach where integration of data is key. A common database and data management methodology are shared across the information flow, supporting the full range of functionality. Consistency of risk information is enhanced as well as trustworthiness of the results. Ease and speed of integration with upstream and downstream systems is also ensured.

Ease of operation
Algo Liquidity Risk is easy to use by both risk managers and business managers according to their specific tasks. The ease of use and maintenance, and consistency across measurements, enables CRO/ALM managers to see the risk under a variety of measures and perspectives, even user-built, to enhance risk awareness and reduce model risk. It enables business managers to support corporate risk policy effectively, across legal entities, business lines and currencies.

Helps articulate liquidity risk tolerance
Thanks to its ability to picture risk comprehensively and accurately, Algo Liquidity Risk is a powerful support tool to define a Liquidity Risk Tolerance that ensures resilience under prolonged stress scenarios as requested by the supervisory guidelines. By leveraging Algorithmics' advanced framework for scenario and stress testing, stress assumptions can be built and assessed. With the optional Dynamic Trading Strategies functionality, stress analysis can be applied to future business simulations for enhanced risk assessment.

Allows specific stress testing for liquidity risk
Specific features for liquidity stress testing have been developed in recognition that stressing the 'usual' risk factors (e.g. interest rates) might not always prove effective in preventing liquidity crises, which can arise with little relation to such factors. In addition, the user can directly input his own stress assumptions, e.g. about the behavior of demand deposits.

Helps manage liquid assets and collaterals
Monitoring holdings of liquid assets is fully integrated. Categorization of assets by degree of liquidity is allowed as well as definition of haircuts. A variety of risk indicators are provided, separately for unencumbered liquid assets, and for assets that are already used as collateral. Users can set limits to the amount that can be disposed of or repoed in one single day for a more accurate estimate of the time needed to actually transform liquid assets into cash.

Helps disseminate risk information throughout the organisation
Algo Liquidity Risk reporting tool is web-based for easy distribution of information at all desired levels of the organisation. Information can be aggregated at different levels of the portfolio hierarchy to achieve the level of detail suitable to each level of the organization. Differentiated access by multiple users can be managed as desired by means of passwords and authorizations.