Better manage and maintain liquidity with an integrated scenario-based framework
Algo One Liquidity Risk is an integrated, scenario-based framework that helps banks to more effectively manage and maintain liquidity. It offers extensive and detailed product coverage, multiple liquidity risk analytics, and wide range of stochastic scenario-based simulations to support advanced stress testing and help banks meet their regulatory compliance and business objectives.
Algo One Liquidity Risk features include:
- Multiple liquidity risk analytics offers integrated support for stochastic analysis, LCR, NSFR, ILG and counterbalancing capacity and more.
- Comprehensive coverage of risk issues provides a holistic view of market liquidity risk.
- Powerful Web-based GUI enables optimal ease of use.
- Balance sheet risk policy support enables more effective capital usage within the bounds of an explicit risk appetite or tolerance.
- Advanced scenario generation engine supports enhanced stress testing to help meet supervisory guidelines.
Multiple liquidity risk analytics
- Algo Liquidity Risk offers you integrated support for multiple risk analytics to help your firm more effectively manage and maintain liquidity. These include gap reports, runoffs, ratios, stochastic analytics, Liquidity Coverage Ratio (LCR), Net Stable Funding Ratio (NSFR), ILG and counterbalancing capacity.
- Allows you to manage LCR and NSFR for any time horizon together with the ILG for ILAA purposes.
- Features behavioral models of core demand deposits, prepayable mortgages, mortgage pipeline and revolving facilities, with twin views of contractual and behaviorally modeled cash flows.
Comprehensive coverage of risk issues
- Provides a holistic view of market liquidity risk, with coverage of a comprehensive range of risk issues spanning funding liquidity risk, liquid assets portfolios, collaterals and contingent liabilities across an organization.
- Offers you extensive and detailed product coverage, as well as modeling of cash flows, optionality and pricing with comprehensive multi-entity and multi-currency support.
- Enables application of appropriate methodologies to each risk class, including: liquid assets (sale/repo limits), market liquidity risk, collateral liquidity risk, and funding or mismatch liquidity risk.
Powerful Web-based GUI
- Offers a powerful, Web-based GUI that provides enhanced data quality and support to CRO/CLRO managers and Heads of Compliance in their analysis and management of liquidity risk, under a variety of measures, across the enterprise.
- Algo Liquidity Risk is designed for optimal ease of use and enables information gathering from virtually all potential risk sources in an institution. This allows business managers to better support corporate risk policies across legal entities, business lines and currencies.
Balance sheet risk policy support
- Provides a holistic view of risk in the balance sheet to support more effective capital usage within the bounds of an explicit risk appetite or risk tolerance.
- Enables you to perform risk-based dynamic simulations of future business to help assess inherent risks in planned developments.
Advanced scenario generation engine
- Offers a powerful scenario generation engine for enhanced stress testing, with support for scenarios based upon stochastic processes, as well as historical sampling or conditional scenarios.
- Enables testing of stress assumptions, including user-defined stress assumptions, and assists in defining the Liquidity Risk Tolerance for resilience under short term or prolonged stress scenarios as required by supervisory guidelines.
- Supports your production of relevant regulatory reports, including reports from FSA and OSFI, with a flexible reporting tool that can be adapted to country-specific requirements.