Beyond regulatory requirements to maintain a sufficient liquidity
reserve, effective management of your liquidity position can give you the competitive advantage
you need in today’s global market.
IPS-Sendero KRM is an integrated liquidity risk solution which will give you the insight
to help measure and manage your structural balance sheet liquidity, term liquidity risks, contingent
(call) risks and market liquidity risks.
With a multi-period simulation of path dependent cash flows across the enterprise (from banking
book products such as mortgages, deposits and credit cards to structured products such as CDO’s
and complex option-based derivatives), IPS-Sendero KRM will provide a broad range of metrics
from simple liquidity gaps and cash flow coverage ratios, to stochastic liquidity at risk through
the economic cycle.
Whether taking a seven-day snapshot of an operational liquidity position or analysing a long
term stress test of the balance sheet structure, generating highly accurate scenario-based
cash flows is critical. Comprehensive cash flow modelling is achieved by incorporating:
- Up to 999 future periods in any user-defined buckets
- All contractual cash flows including structures and amortisations
- Cash flows from embedded options that change with prevailing rates
- Roll-over and re-investment strategies
- New business origination through time
- Cash flows from off-balance sheet commitments
- Multi-factor prepayment and early withdrawal models
The inherent interest rate modelling capability, based on yield curve smoothing, multiple
term structure models and stochastic scenario generation, is extensively leveraged to determine
rate sensitive cash flows and common business assumptions.
IPS-Sendero KRM fully integrates ALM, market risk, credit risk, liquidity risk, Basel II
and IAS 39 in a single piece of software. The integration allows correlations between risk
factors to be taken into consideration and the evolution of risk factors modelled through the
economic cycle. Maintenance and operating costs are reduced through the use of a common database
with open inputs/outputs; common financial analytics and shared assumption sets. |
