Specifically, Commerzbank will be employing Algo Liquidity to monitor forward cash exposure and balance sheet liquidity. The forward cash exposure functionality provides cash balance over time on position level consisting of cash flows (e.g. coupons, amortizations) and position changes (e.g. physical settlement, trading strategies). The balance sheet liquidity functionality calculates the liquidity of the bank's assets over time based on given limits for sales and repos for each individual security and for the group of securities. Leveraging Algorithmics' advanced and robust financial engine, Algo Liquidity allows the user to analyze the projected cash situation under different stress scenarios â both market and liquidity stress situations â or even a Monte Carlo scenario.
âAlgo Liquidity allows us to manage our liquidity with higher precision by centrally evaluating the bankâs global future liquidity position based on all deterministic and stochastic cash flows,â said Gesine Koetzing, Senior Vice President, Risk Control, at Commerzbank. âWe can run the calculation under different scenarios from normally expected market conditions to assumed stress situations. Furthermore, the liquidity risk calculations can be combined with dynamic trading strategies, so the projection of the bankâs future cash position is also possible for bank-specific behavioural models.â
âCommerzbank is an important leader in enterprise risk management within the highly regulated German financial services industry,â remarked Michael Zerbs, Chief Operating Officer at Algorithmics. âAs an particularly valuable client that has either selected or implemented our Algo Market, Algo OpRisk and Algo Collateral solutions, we are pleased to assist them in their strategy to achieve consistent and transparent risk management across business lines.â