A very brief introduction to Liquisim

Our aim is to create a software to analyse securitisation deals that is flexible, can provide realistic analyses and still is easy to use.
We seek flexibility in three areas: collateral modelling, stress application, and structural implementation. The collateral in most RMBS and ABS deals can follow various amortisation profiles that have to be available in a modelling tool. Currently Liquisim can implement the French amortisation formula and user pre-defined schedules.
Flexibility in stress testing means that the program only needs to know which sources of cash flow are being stressed – and not the reason for the stress (that is, not only pre-defined stress types can be run). Moreover, users can apply as many different stresses as they want. Finally, Liquisim can implement a large range of structures through its built-in payment types and flexible waterfall modelling.

It also has to be emphasized that Liquisim can be run in both deterministic and stochastic mode. Users can pre-set default patterns and interest rates if they want to test certain stress scenarios. Alternatively, they can switch to stochastic mode where they can see the results as probability distributions.

Learn more about Liquisim in general and its modelling features in particular here .