LIQUIDITY STRESS TESTING TOOLKIT

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A KEY STEERING TOOL FOR LIQUIDITY MEASUREMENT AND MANAGEMENT

Leveraging on its experience and in line with market practices, Avantage Reply has developed a Liquidity Stress Testing model.

Flexible and easy to use, it provides financial institutions with a toolkit which allows them to easily perform internal stress tests and integrate outcomes into decision-making processes.

Appropriate liquidity stress test modeling is a prerequisite for simulating and understanding the liquidity position and to assess liquidity adequacy.

The LST toolkit has many features, as summarised below:

Multi-scenarios

Allows calibration of up to 5 scenarios

2 Propagation speeds

Gradual vs fast Scenario

Sensitivity analysis

Ability to understand the sensitivity of key material risk factors

2 Parallel simulations

Allows the ability to stress two different data sets in parallel

2 Approaches

Normative and Economic

Avantage Reply

Avantage Reply is a pan-European Financials Services (FS) management consulting firm, delivering change initiatives in Risk, Compliance, Finance and Operations. Avantage Reply has operations in Amsterdam, Brussels, Frankfurt, Lisbon, London, Luxembourg, Milan, Munich, Paris, Rome and Turin. Our consultants advise on and deliver pragmatic solutions, supported by comprehensively tested analytical techniques using proprietary solutions, methodologies and prototypes. Being part of the Reply Group, Avantage Reply successfully leverages on the group’s technology competencies to deliver on client engagements. More details at
www.avantagereply.com

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