Liquidity Management & Liquidity Coverage Ratio Optimization
Poor Liquidity Management = Money Lost
Banks need to have a perfectly balanced liquidity management. Holding on to excess liquidity means losing money by not putting it into credit circulation. Keeping low liquitidy may breach governmental regulations.
How much coverage is enough coverage?
The problem is characterized by the complex nature of bank treasury and extensive income/outgoing balance with massive money flow. The optimization has to stay in the frameworks defined by regulations.
Instead of direct-modelling approach, we have worked closely with our client's data science teams to define the problem and all the parameters affecting the outcomes clearly. We were able to create sustainable models together and due to nature of the problem, there is continuous communication with client's data science team.