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32 What may a liquidity risk controlling process look like? © IDS GmbH – Analysis and Reporting Services 32
33 Theses on Liquidity Risk Controlling What is Important for an Asset Manager? • Liquidity Risk Controlling is driven by regulatory requirements. (For each fund, the portfolio manager himself will know best the liquidity status of his portfolio.) Find solution which consumes few ressources: fulfill legal requirements, additional information would be nice to have. Controlling Processes should be robust and consistent: Sophisticated methods need maximum data supply and data quality. • Asset Managers have a wide range of asset types in their portfolios. Overview reporting that covers all fund types Bespoke reportings for different fund types • Acceptance by the fund management and the integration into the management process are success factors. Involve these departments when implementing criteria. © IDS GmbH – Analysis and Reporting Services 33
Page 1 and 2: Dr. Stephan Schruff Liquidity Risk
Page 3 and 4: 3 About IDS © IDS GmbH - Analysis
Page 5 and 6: 5 IDS provides operational investme
Page 7 and 8: 7 Together with IDS our clients are
Page 9 and 10: 9 Regulatory Basis UCITS-compliant
Page 11 and 12: 11 BVI Method for Liquidity Risk As
Page 13 and 14: 13 Measuring the market liquidity o
Page 15 and 16: 15 Market liquidity of an asset Dif
Page 17 and 18: 17 Asset Decomposition (statpro)
Page 19 and 20: 19 Data Quality Bloomberg BVAL •
Page 21 and 22: 21 Indicators for Stock Liquidity T
Page 23 and 24: 23 Indicators for Bond Liquidity Sp
Page 25 and 26: 25 Measures for Liquidity Risk on P
Page 27 and 28: 27 Example: MSDC bei Mark-to-Liquid
Page 29 and 30: 29 Cash Flows Understanding the lia
Page 31: 31 Quantitative Indicators for futu
Page 35 and 36: 35 Standard and Stress Scenarios Ex
Page 37 and 38: 37 IDS Liquidity Reporting Your too
Page 39 and 40: 39 Liquidity Risk from an Asset Man
Page 41: 41 Further Questions? Dr. Stephan S

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