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    Liquidity Risk Management & Optimization

    Cash & Earnings Forecasting, Risk, VaR and Expected Shortfall
    Liquidity Forecasting and Risk Management
    LCR, xVA, BASEL III Compliance

Universal cash and liquidity risk and scenario analysis solutions

We offer a range of cash forecasting models at retail level, for banks and corporations, via analytic, parametric and deep level machine learning algorithms. Cash forcasting for financial instruments is performed using forward curves and stochastic modeling. CFaR, EaR valuation.

The numerator of Liquidity Indicators, the value of stock of high quality liquid assets, can be modeled in a mathematical editor to be any desired index or weighed sum of value of assets and capital, where the weights are haircuts depending on the quality of the asset. Liquidity Indicators can be forecasted and undergo risk, scenario and stress valuation to account for credit and market risk.

Backward looking performance analysis of Cash and Liquidity Indicators.

Valuation horizon can be short term 1 month as in LCR, or longer, e.g., 1 year as in NSFR.

Automated daily valuation and reporting of LCR and NSFR as per regulator, e.g., BASEL III for banks.

Liquidity is measured by various ratios

Liquidity Ratio = (Value of stock of HQLA) / (Total net cash outflows over a set horizon).

(1) = (Value of stock of HQLA). This numerator is an index or weighed sum of value of assets and capital, where the weights are haircuts depending on the quality of the asset and value is adjusted for credit and market risk. Internal and regulatory rules such as BASEL III determine the haircut weights per asset type valuation adjustment rules. HQLA stands for high quality liquid assets.

(2) = (Total net cash outflows over a set horizon). This denominator is net cash across AP, AR and the asset and liability portfolios, with adjustments in valuation for credit and volatility.

The horizon can be short term 1 month as in LCR, or longer, e.g., 1 year as in NSFR.

(1) and (2) depend on the company’s instruments, balance sheet, assets and liabilities and the rules set by the regulator, e.g., BASEL III for banks, or as set internally.

QR RiskTM provides one single universal cash and liquidity forecasting and risk platform

Whether you are a bank, financial institution or a company operating in any industry, QR Risk™ enables you to stay ahead of regulatory and internal cash and liquidity forecasting and risk management requirements within one single platform. We provide unified tools to dynamically create, manage and evolve any Liquidity Ratio and its components, value (1), and cash (2). Your positions can be in QR Trading™ or in multiple in-house trading and transaction repository systems, you can use QR Risk™ as the enterprise risk server integrating them all. Manage, compute, monitor, mitigate and report risk in real-time.

  • Financial institutions, treasuries and corporate finance departments deal with financial and investment instruments and operational cash flows across a wide range of asset classes, business units and jurisdictions.

  • Corporations involved with real assets, energy, physical commodities, industrial or consumer goods and products have physical forward portfolios of supply and demand chain at various stages of production, storage, transportation and shipping cycles.

Lacking Effective Risk Analytics?

QR Risk™ helps you overcome all risk analytics shortcomings:

  • Cost-effective robust and no overhead risk solutions that actually work.

  • All analytics are integrated. Stochastic Modeling. Calibration. Monte Carlo. Eliminate outside tools, modeling and Excel spreadsheets.

  • One single integrated holistic risk platform: market, credit, ALM, banking BASEL III. Scenarios. Portfolio planning. Compute latest risk metrics: VaR, Expected Shortfall / Potential / Future Exposure, ES, EFE, PFE.

  • Supercomputing performance. Eliminate performance issues. Compress computational time and memory.

Key Functions and Apps

Cash and Earnings Forecasting

Cash & Earnings Forecasting

Aggregation of AR, AP, cash pooling and cash flow life cycle in treasury, with trading, investment, inventory, asset and liability portfolios. Intraday, short and long-term cash forecasting.

Cash, Earnings and Liquidity Var

Cash, Earnings and Liquidity Var

Full Monte Carlo. Expected VaR or shortfall. Backtesting. Cross currency conversion within Monte Carlo. Sensitivity analysis. BASEL III compliance. xVA under credit and market risk.

Multiple Liquidity Indicators

Multiple Liquidity Indicators

Can be defined on different segments of your portfolio (assets, liability, cash, etc.) using different xVA valuations and haircut parameters and time horizons: intraday, LCR, NSFR. BASEL III compliance.

Stress Testing

Stress Testing & Scenarios

Dynamic discounting and pricing of AP & AR. Impact of credit shifts, defaults and volatility on liability and assets, e.g., margin calls, callable assets and derivatives, collaterals, supply chain or inventory, etc.

Backward and Forward Valuation

Backward and Forward Valuation

Liquidity indicators can be evaluated backward for performance analysis and forward as forecasts and undergo Monte Carlo simulation to predict best and worst scenarios.

Risk Dashboard

More Features

Risk dashboard. Monte Carlo simulation configuration. Risk statistics & visualization. Marginal & incremental risk.

Next Generation Dual Cloud On-site Platform

  • Leverage next generation dual-use cloud on-site architecture. QR Cloud is a live 24/7 supercomputing platform with a vast array of ready-to-use models and templates. You can select, download and customize any configuration from QR Cloud in your own instance, whether on-site or on QR Cloud.

  • QR System is a single universal software for all on-site and QR Cloud instances, and is upgraded quarterly free of charge. Actual clients’ implementation are configured in a database, which is portable from QR Cloud to on-site.

  • QR Cloud is ideal for medium size players. No software installation, IT infrastructure, resources or efforts required. All you need is a browser.

  • Private Cloud or on-site are for entities wishing to control data and processes.

New Commercial Paradigm

  • Whether on the cloud or on-site, no permanent license and no hefty initial license fee. Just pay 1 single yearly subscription fee for license, cloud supercomputing, maintenance and on-going upgrades.

  • Start with an actual Trial to test our platform and the quality of our expert team. Continue if satisfied. Cancel if the Trial fails to meet your expectations. 

  • Ready for use out-of-the-box, no development or coding.

  • Cost-effective speedy implementation via intuitive configuration. Select, download and customize any configuration from QR Cloud in your own instance, whether on-site or on QR Cloud. Save years and millions.

Need more information?

Our expert team are here to help with any questions you have regarding QR Cloud Services™. Call or email today.

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