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Liquidity and Cash Risk Management for All Markets

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


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Liquidity is Measured by Various Ratios

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

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    (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.
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    (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.
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    The horizon can be short term 1 month as in LCR, or longer, e.g., 1 year as in NSFR.
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    (1) and (2) depend on the company’s instruments, assets and liabilities and the rules set by the regulator, e.g., BASEL III for banks, or as set internally.

QR Risk 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.

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    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.
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    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.

Key Functions

Cash & 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 and Scenarios
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. 
More Features
More Features
Risk dashboard. Monte Carlo simulation configuration. Risk Statistics & visualization. Marginal & incremental risk.

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