Development of Early Warning Indicators and Liquidity Stress Models

  • Financial Modeling
  • Risk Management

For CCAR US bank headquartered on the West Coast, Prescio developed liquidity risk management tools for bank operations. Early Warning Indicators (EWIs) were developed to monitor deposit flows by category over a range of time periods, based on industry sources, best practices, and surveys of industry peers. Funding Reliance Reports were reviewed and compared to industry peers. EWIs were incorporated in a Contingency Funding Plan with triggers setting alerts on a developed Management Dashboard. Liquidity Stress Scenarios were proposed and Liquidity Stress Models were developed based on literature reviews and best practices.