services > Liquidity > management enhancements > risk measurement > reporting template > stress testing review
Liquidity risk reporting template
enhanced regulatory compliance & risk management
objective: develop a liquidity risk measurement and monitoring process that:
- objective: develop an integrated process liquidity risk measurement and management process that:
- establishes forward liquidity & sources/uses as a foundation for liquidity planning and liquidity risk measurement
- estimates liquidity shortfalls, the timing of the shortfalls & available/ contingent sources of liquidity to alleviate the shortfalls
- provides a coherent & comprehensive risk measurement system to enable a robust & proactive liquidity risk measurement process
action step: develop a reporting template that includes:
- forward cash exposure (FCE) estimates
- sources and uses projections including sensitivity analysis
- scenario definitions and analytics for stressed scenarios including name, systemic, and market risk considerations
- identifies the timing and amount of asset & liability funding solutions
real world solutions >
real time ALCO reporting? Over the past few years, there have been days with historically high interest rate volatility. After several such days, the management of Sample Bank believed their annual budget was no longer accurate.
Working with the ALMnetwork, Sample Bank produced forecasts based on rates “as of” the prior days’ close. While not exactly “real-time” reporting, next day reporting was useful to the management of Sample Bank in comprehending their new earnings position, formulating new tactics and strategies, and fine-tuning their pricing.