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This
engine utilizes state of the art Asset Liability Management (ALM)
techniques to measure and minimize liquidity and associated funding.
Liquidity risk is the risk that a given security or asset cannot be
traded quickly enough in the market to prevent a loss (or make the
required profit).
Using Advanced Monte Carlo and Markov Chain (MCMC) techniques, the C-LRE™
can simulate a firm's Profit & Loss, and Balance Sheet, enabling
greater visibility of Liquidity risk, either from a Asset liquidity or a
Funding liquidity perspective.
As
Liquidity risk is the overlap of both Credit risk and Market risk, it is recommended that the C-CRE™ and C-MRE™ engines be licensed in conjunction with the C-LRE™, but this is not mandatory if your corporation has other mechanisms for measuring
Credit risk and Market risk.
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