2010-09-01
We developed a robust liquidity model to allow the UK branch of a European bank to meet regulatory requirements
Our client, the UK branch of a European bank, needed to satisfy the regulators that its liquidity profile would be sufficient to withstand another 2008-style shock.
To tight deadlines, we developed a robust spreadsheet-based model that forecast daily cashflow and P&L for the next three years, based on input parameters including base rates and client withdrawals.
The client is successfully using the model to report to regulators the results of its stress-testing.
Wednesday, September 1, 2010
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