MORS Software launches 2017 Liquidity Risk Management Survey


MORS Software launched the annual Liquidity Risk Management Survey on 17 May 2017.

The 2017 Survey is the seventh edition of the annual survey for banking professionals updating on how banks progress with implementing liquidity risk management, and exploring the latest trends on how stress testing and forecasting functionalities are developing.

A recent trend is that Liquidity Risk Management and Interest Rate Risk Management are getting closer to each other, and the Treasury and Asset and Liability Management (ALM) departments or functions of banks are merging into a more holistic unit. Treasury is more and more involved in long-term balance sheet management i.e. interest rate risk management, and ALM decisions more and more have an effect on the work of Treasury. As a result, banks engage in cross analysis and unified stressing of both liquidity and interest rate risk (IRR). They also need to see the interaction between the various Liquidity and IRR ratios, as well as have a holistic perspective on how these ratios behave in shock scenarios on the entire bank level, including the banking book.

From the regulatory aspect, the regulatory ratios LCR and NSFR, as well as the Interest Rate Risk in the Banking Book (IRRBB) framework will need to be monitored, with a point of interest the ability of banks to forecast the ratios. Forecasting the end of the next month is particularly interesting for the management of the bank (considering the requirements for Governance in ILAAP and SREP), as the previous month-end ratios are often volatile, which raises the concern whether the ratios will land above limits in the coming month-end.

Banking professionals interested in taking part in the survey can complete it following the link:


The survey can be accessed until 12 July 2017. All participants will receive the survey report in September 2017.

The first Liquidity Risk Management Survey was conducted in 2011 and THE ANNUAL SURVEY REPORTS are available for download.


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