When the ESMA requirements came into force in 2020, Varenne Capital sought out a provider for regular liquidity stress testing, to reinforce risk oversight and transparency.
MJ Hudson Quantitative Solutions generates liquidity risk metrics via its RiskMonitor® Liquidity solution and online platform. This incorporates analysis of investor behaviour as well as asset risk scenarios to provide a comprehensive asset and liability appraisal in a board and investor friendly format.
Market, political and regulatory pressure to increase transparency and substance means many investment managers opt for an external solution for liquidity stress testing which has many benefits, from enhanced analytics and flexible reporting through to time and cost savings.
The Quantitative Solutions team work with Varenne Capital's chosen depositary, INDOS Financial, to source fund asset and liability data which fed into our RiskMonitor liquidity solution. Our end-to-end report process meant the reports can be completely automated, acting as an invisible glue between the administrator or depositary and the investment manager. The solution incorporates analysis of investor behaviour as well as asset risk scenarios to provide a comprehensive asset and liability appraisal in an investor friendly format.