QuantRisk offers unique capabilities to model risk indicators, such as liquidity or capital adequacy, to meet any regulatory requirements of Dodd-Frank and Basel III.

• A user friendly Cash Flow Mapping or formula editor / wizard allows users to create any desired mathematical formula for an indicator of interest such as a liquidity formula. The wizard allows user to apply any desired haircut rate to a given asset class, or base price curve when modeling liquidity.
• Different liquidity rules / formulas can be applied to different portfolios depending on the asset classes and instruments involved.
• Multiple liquidity indicators can be created simultaneously. They all appear automatically in the integrated portfolio analysis dashboard for valuation and viewing.
• A liquidity indicator can be evaluated backward for performance analysis and forward as a forecast. It can also be combined with the Monte Carlo engine to predict its high and low values at a set confidence level, e.g., 99%.
• Liquidity indicator valuation and stress testing can be combined. The integrated portfolio dashboard displays liquidity and any other indicators of interests across any applicable stress testing scenarios and displays the results visually in table and plots.

Liquidity Editor Wizard
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Liquidity Dashboard, Basel III LCR, Liquidity Coverage Ratio
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