Merrill Lynch improves liquidity risk management for revolving credit lines

摘要

To develop a Monte Carlo simulation model to analyze liquidity risk of a revolving credit portfolio. The revolving credit liquidity model developed using Monte Carlo simulation, Markov transition processes and expert system rules, has enabled the Merrill Lynch Bank USA to improve its management of the liquidity risk associated with its $13 billion of revolving credit portfolio and freed up $4 billion of liquidity. The bank uses this model as part of its standard operating process.