Liquidity risk management is regulated by the Bank’s Liquidity Risk Management Policy. As one of the key elements of the risk management system, this policy covers the organization of liquidity risk management, including the allocation of powers and responsibilities, as well as the management process.
The Bank’s main objective in this area is to establish an effective liquidity risk management system that is adequate to the Bank’s risk profile and to ensure timely fulfillment of the Bank’s obligations when it is exposed to external impacts.
Liquidity risk management at the Bank is carried out in the following areas:
- Continuous monitoring of compliance with liquidity risk limits;
- Regular monitoring of compliance with the policy;
- Providing risk opinions on all processes, new products and services covering the Bank’s activities;
- Conducting stress tests, analyzing the results and preparing and regularly implementing measures;
- Selecting and applying methods and models for identifying and assessing risks.
The following risk tools are used for liquidity risk management:
- Liquidity-adjusted Value at Risk (VaR) methods
- Stress VaR methods
- Dynamic liquidity gap analysis
- Liquidity Coverage Ratio (LCR) based on Basel guidelines
- Net Stable Funding Ratio (NSFR) based on Basel guidelines
- Maturity limits
- Stress tests
- Scenario analyses
- Borrowing capacity limits
- Funding availability limits
- Concentration limits