AVATI Solutions
Asset Liability & Liquidity Management

Asset Liability & Liquidity Management

The solution enables the bank to assess its overall asset liability profile over a period of time based on a variety of factors such as liquidity, interest rate impact, earnings, and economic value. The solution undertakes various analytical functions & reports for static and dynamic analysis, both for standing data and multiple scenarios.

Overview

  • Advanced liquidity and interest rate risk: Estimation, Forecasting, Monitoring, Reporting system & Management.
  • Key benchmarks cover liquidity gaps, buffers, key regulatory ratios such as Maturity gaps, liquidity coverage ratio, Net stable funding ratio, Interest Rate Gaps & risk in banking book, Duration & PV01 analysis etc.
  • Liquidity results based on contractual cash flow details, behavioural patterns, business rules, sensitivity and scenario approach including correlation between liquidity and credit deterioration / defaults risk.
  • Scenario modelling, business assumptions, comprehensive risk based view on liquidity position under normal and stressed conditions.
  • Integration with other risk modules capital calculation, IFRS 9 ECL portfolio management pillar II ICAAP, risk rating, capital consolidation.
  • Stress testing, including scenario analysis through historical sampling or conditional event mapping to incorporate expert judgment.

Key Features

  • Liquidity risk management
    • Cash flows (inflows and outflows) generation engine.
    • Configurable time buckets, Bucket wise liquidity gap.
    • Liquidity Bench Marks: Maturity Gaps, LCR, NSFR, Survival Horizon.
  • Interest rate risk management
    • Traditional rate gap analysis - Earnings perspective.
    • Duration gap & PVBP analysis: NII & Economic value perspective.
  • Multiple yield curves for basis and yield curve risk.
  • Detailed asset & funding risk profile: Cash flow analysis like discrete, cumulative, dynamic etc.
  • Scenario generation based on unencumbered assets value post volatility and value adjustments through haircuts to estimate forward liquidity exposure and coverage of obligations.
  • Allows aggregation of facilities and dynamic scenario simulation capabilities for comprehensive scenario analysis for stress testing.
  • Flexible user configurable reporting & cash flow gap analysis through asset liability combinations, maturity gaps, survival horizon, currency wise NII & EVE analysis.
  • Granular Modelling Capability: Cash flow, account, facility obligor level.
  • Rule engine which defines
    • Cash flow splitting and bucketing.
    • Cash flow assumptions for various products with distinct and accurate general ledger mapping.
    • Batch processing for one touch execution & reporting.
  • Separation of data management from rules engine
    • Ability to define and configure multiple time horizons / bucketing assumptions.
    • Ability to apply multiple business rules on single data set for calculation & differentiated reporting.
    • Ability to apply multiple scenarios on data sets for multi impact analysis.
  • Sensitivity and scenario analysis.
  • Flexible Analysis & Reporting Configurations: Define & configure multiple reporting configurations, report lines across user defined dimension sets.