Liquidity Risk Reporting and Stress Testing
The previous chapter highlighted the nature of liquidity risk exposure measurement. We press on further with a look at benchmark liquidity risk reporting, and stress testing reporting output. We look at a range of quantitative and qualitative liquidity reports, as part of our approach to a general understanding of liquidity risk management at the aggregate overview level.
We begin with an illustration using examples of baseline liquidity reports. This is followed with a description of additional liquidity reports, together with a summary of the reporting frequency required by UK regulated banks. This regulatory reporting requirement is similar in most other jurisdictions. The second part of the chapter looks at the presentation of liquidity stress testing results.
A number of the reports shown here are available as template spreadsheets on the Wiley website supplementary material (see Chapter 19 for details).
Liquidity Risk Reporting
A bank will produce a number of liquidity reports in the normal course of business, on a daily, weekly, monthly and quarterly basis. It is important that the format of liquidity MI is both transparent and accessible. We illustrate a sample of reports that provide a benchmark framework for reporting.
Deposit Tracker Report
The deposit tracker is a simple report of the current size of deposits, together with a forecast of what the level of deposits are expected to be going forward. This report is ...