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TLM Cash & Liquidity Management – Intraday Liquidity Stress Testing

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Robust stress testing – ensuring a high degree of accuracy for making more informed decisions and meeting intraday liquidity reporting requirements

Intraday liquidity stress testing is now more essential than ever

In response to the coronavirus pandemic, financial authorities in several jurisdictions have deferred, but not done away with, BCBS 248 intraday liquidity stress testing. Yet the pandemic, and the turbulent conditions it has created, has made this type of stress testing more essential than ever. Banks must now ask a greater number of ‘what ifs’, in order to identify threats and counter possible liquidity crunches. Credit risk is increasing with direct impact on a bank’s liquidity. The ability to model the potential impact of such occurrences is no longer simply a regulatory box-ticking exercise but a matter of self-protection, and even of survival.

Carrying out a stress test – defining its scope, gathering data, and running the test – currently can take up to eight weeks, as well as requiring a large team and a good deal of manual effort. The cumbersome nature of the process makes running ad hoc scenarios virtually impossible, preventing a more proactive, dynamic approach to risk analysis.

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