Industries : SWFs, Pension Funds, Banking Financial Service, Insurance Reinsurance & Brokerage ]

In order to build and implement a cutting-edge tool RsRL focusses on the perspectives or questions, such as: 1) What are the Central Banks’ expectations regarding Liquidity Risk Management?
2) How to effectively address liquidity risk in the banking & SWFs industry? 3) What are the most commonly used liquidity risk management practices and what are their respective advantages and drawbacks? With these references how RsRL methodologies are “Best Practice” models? How RsRL can implement Liquidity Risk strategies?
4) What are the challenges identified to SWFs or banks’ business models by the new regulatory requirements?

There are two types of liquidity risk
i) Market liquidity, where correct VaR calculations play a major role.
ii) Funding liquidity, where risk that liabilities are measured through analyzing systemic risk scenarios.

RsRL has currently implemented 2014 Nobel Economics Prize winner, Jean TROLE’s Liquidity Asset Price Models (LAPM).

On IRR space, RsRL has been a noted speaker and collaborators since last 11 years across locations. IRR means the change of the portfolio value because of changes in interest rate. The old theory spoke about duration mismatch but the definition of duration is not adapted to stochastic behaviour of interest rates. These days interest rate risk and duration are different. Once calculated a good hedge, one can calculate the derivative or sensitivity or delta w.r.t the factors used. In a CIR model this is for instance any yield to maturity (since it is a one factor model).