Alan Picone

Asset Management Consulting Leader

KPMG in Luxembourg


Prepare for regulatory enquiries

Liquidity risk has emerged as a primary focus of supervisory enquiries. Expectations are high, and asset managers need to find more comprehensive ways to get to grips with liquidity risk and manage compliance on an ongoing basis.

To help you rise to this challenge, the KPMG data powered engine enables you to make day to day decisions, manage liquidity risk and stay compliant.


Aligned with regulatory standards

Allows you to swiftly and accurately respond to enquiries from the regulator


Powered by data

Rely on market data to ensure realistic and up to the minute liquidity assessment


Adapts to your infrastructure

Integrate the KPMG Engine without changing your data and reporting infrastructure


Customized support

Draw on the KPMG liquidity risk team’s expertise and reporting know how

Covers all areas of liquidity risk compliance

The KPMG Liquidity Risk Management Engine provides a comprehensive overview of the liquidity of investment funds covering all areas of liquidity risk management, including:

  • Liquidity stress testing (via historical and forward looking scenarios)
  • Liquidity risk modeling on both the asset and the liability side of the balance sheet
  • Visualization of the relationships between liquidity risk and market risk
  • Indicators and metrics for immediate recognition of liquidity risks

When compliance is at stake, it’s important to have zero surprises. The Liquidity Risk Management Engine gives you peace of mind, allowing you to communicate with the regulator, and make day to day decisions.

Alan Picone
Partner, KPMG Luxembourg

Detailed features

Liquidity risk is the risk taken by a fund that is forced to sell assets that cannot be readily and easily converted into cash without realizing a significant discount when investors redeem their shares.

Existing regulation has put the spotlight on liquidity risk as a two fold concept, arising from both the asset and liability side of the balance sheet.

Liquidity risk stemming from the assets

  • Exogeneous and endogenous liquidity risk
  • Price impact from equilibrium models
  • Liquidity cost vs. time to liquidity view
  • Approach tailored to the different asset classes
  • Liquidation strategy comparison: waterfall vs. slicing
  • Realistic representation thanks to a comprehensive approach that includes other factors potentially impairing assets’ liquidity

Liquidity risk linked to liabilities

  • Historical net and gross redemptions to simulate potential outflows
  • Sound methodology for redemption estimation
  • Several liquidity metrics produced to constantly monitor liquidity risk
  • Tailored approach based on investor category and other factors increasing liquidity risk on the liability side of balance sheet

Stress testing of investments fund overall liquidity

  • Historical stress testing
  • Forward looking and hypothetical stress testing
  • Reverse stress testing
  • Highly customizable stress testing framework to avoid “one size fits all” approach
  • Interactions between market risk and liquidity risk are considered via market implied scenarios

Combining assets and liabilities

  • A holistic view via a combination of assets and liabilities
  • Synthetic indicators allow immediate comparison of asset and liability liquidity, and monitoring of the fund’s overall liquidity.
  • Metrics to serve as early warning signs of upcoming liquidity pressures