RISK ANALYTICS
Liquidity Analysis
Analyze portfolio to calculate key liquidity analytics.
Specifically we try to answer the following key portfolio liquidity questions:
- How many days does it take to liquidiate the portfolio in current market conditions?
- How long does it to take to liquidate each of the securities within the portfolio?
- How many days does it take to liquidate the portfolio if market volume decreased by X% (say 25%)?
Overview
Portfolio Liquidity is a concern for investors specifically during volatile and stressed market situations.
It is important to understand how long it will take to liquidate not only at the portfolio level but also for securities within the portfolio.
In addition the ability to perform ‘What-If’ analysis for various liquidity assumptions will enable both investors and managers better manage the portfolio risk.
Key Features
Liquidity Days at both Portfolio and Security Level
Configurable 'Default' liquidity day setting for non-exchange traded assets
For Equities and other exchange traded instruments market provided traded volume data is used for liquidity days. However for asset classes such as swaps, alternate investments, etc configuration enables setting of default liquidity days based on managers experience.
'What-If' Liquidity Analysis
Perform real-time liquidity analysis by changing of key liquidity configuration
Liquidity Analytics Screenshots
View configuration and result screens for Liquidity Analytics
Liquidity Analytics Demo
Demo of configuration and results for Liquidity Analytics
FAQ
Here are some answers to Frequently Asked Questions.
What parameters can be configured for Liquidity Analytics?
Fund Remption (in %) and Market Volume (in %)
Can we run Liquidity calculations in real-time?
All risk calculations can be run by users using user interface and calculation results can be viewed using web user interface.
Calculations are not batched and are run as and when requests are made.
System scales the number of engines required dynamically as volume of requests increase and the number of engines are brought down if no requests are pending thus enabling pay-per-use business model.
Can we also run 'What-If' Liquidity Analysis in real-time?
Yes.
Similar to all other risk calculations the What-If calculations can be performed real-time without affecting the portfolio
There is no need to batch the requests or setup variables ahead of time.
All the analysis can be peerformed using the same user interface and results thus calculated will show details for both the original values and the new ‘what-If’ scenario values.