INTRA-DAY LIQUIDITY RISK MANAGEMENT

The financial crisis changed the role and the importance of liquidity risk management in banks. The crisis showed how analysis of traditional liquidity metrics at month-end, or even at end-of-day, cannot provide sufficient and up-to-date information for decision making to meet the challenges caused by rapid daily, and intra-day changes of the market conditions.

Furthermore, the new tight market conditions put pressure on liquidity risk management. The post-crisis liquidity risk management orientates towards intra-day analysis of risk indicators to facilitate business steering of liquidity and funding in an optimal manner.

Regulatory changes (Basel III, EBA, FSA) are also steering the industry in this direction. To achieve regulatory compliance, banks will need to be able to aggregate, drill-down, forecast, simulate and stress-test liquidity risk indicators in intra-day, as part of their risk reporting procedure.

Intra-day Liquidity Risk Management in practice with MORS Liquidity Manager

MORS Liquidity Manager enables ALM & BSM – Managers, Funding-Managers and Treasurers to make optimal risk management decisions in all market conditions. It offers intra-day forecasting, optimisation, risk mitigation and internal steering of the bank’s overall liquidity position.

MORS Liquidity Manager and MORS intra-day approach combine various internal liquidity metrics and scenarios with LCR (delivered with a default configuration for Basel III LCR (Liquidity Coverage Ratio). The solution can cover everything from Clearing, Collateral, Payments and Settlements data to create a complete intra-day liquidity dash-board.

Like all MORS solutions, MORS Liquidity Manager gathers transactions from existing core and trading solutions, and provides a complete and transparent picture of the bank’s consolidated liquidity position over time zones and continents with drill-down to transaction level.

MORS Software conducts a Liquidity Risk Management 2013 survey from May to July 2013 with banking professionals.

The 2011 and 2012 surveys showed interest and some progress towards achieving intra-day liquidity risk monitoring.

To participate in the survey and to receive the full survey report follow the link below:
http://www.surveymonkey.com/s/MORS_Software_Liquidity_Risk_Management_Survey_2013