Processing of Large Financial Series During the Management of Immediate and Short-Term Liquidity by the Example of the Bank’s Foreign Currency Position

This paper deals with current situation with the management of immediate and short-term liquidity during the construction of foreign currency position in Russia by the example of the selected bank. Considered bank has many branches across Russia and Europe, so the amount of data to process is quite high and requires specific tools and approaches. Objectives of the implementation involve automation of analysis and management of immediate and short-term liquidity, as well as Nostro accounts management and reduction of operational risks. To select the optimal system for this task, the author collected data on several vendors. During the analysis of the information it was revealed that none of the turnkey solutions meet the requirements. Additionally, a similar analysis was conducted among Russian and foreign banks. It became clear that most of these systems were developed on the basis of existing systems, which were integrated before. Moreover, some banks prefer to use their own internal development as a basis for construction of such systems. After having analyzed these results, it was decided to develop a new system. Algorithms for automatic matching of planned and actual payments, which are loaded from the front-office, back-office and settlement center systems in online mode were created. For evaluation of the result, it was decided to measure the speed of construction of the currency position for various financial instruments and currencies, as well as check the accuracy of the constructed position. According to the results of assessment, system development and implementation is successful.