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So far I only know that SunGard has a product named "Ambit Focus", where its module "Liquidity Risk" supports the LCR and NSFR reports according to Basel III liquidity rules.


3

Here couple ETFs that may satisfy what you are looking for: http://www.quant-shares.com/etf-list/ http://www.etc.db.com/GBR/ENG/Institutional/Downloads/ISIN/Factsheets/GB00B4N0QN94 http://guggenheiminvestments.com/products/etf/wmcr http://etfdb.com/type/investment-style/high-beta/ Those include ETFs with a momentum approach, mean-reversion approach, ...


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OneSumX (FRS Global - now officially Wolters Kluwer Financial Services). Due to the impact on market risk (explicit creation of new contracts from available liquidity lines, firstly affected by interest rate risk) and on credit risk (negative exposure to be considered in the LCR, and not simply floored to zero) you might need both the market and liquidity ...



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