SAS® OpRisk VaR

Model loss data and forecast operational value at risk (VaR)

Get an accurate picture of VaR. Then improve risk processes and controls. Optimize capital allocations. Satisfy regulatory requirements. And mitigate the frequency and severity of risk events.

Benefits



Accurately assess capital needs.

Too low, too high or just right? You must be able to determine where your capital allocations stand. Advanced VaR calculators generate aggregate loss distributions using Monte Carlo simulation so you can quantify how much capital you need on hand to operate in a safe and sound manner.

Anticipate future losses of all types.

During the course of doing business, operational errors will occur, often resulting in a loss. You can enrich the typically low statistical sample used for modeling with feeds from a variety of data sources, as well as scenarios. So you can consider different types of losses, even if they’ve have not happened before.

Fully understand loss exposures.

Gain an in-depth explanation for the loss exposures and trends your firm faces. You can explore exposures and trends on an overall basis, or by operating unit, loss event category, geographic location and other criteria. Understand how much unexpected losses can vary (and why) using what-if analysis. Vary modeling assumptions to assess the sensitivity of VaR to different scenarios.

Ease audit and compliance burdens.

If you cannot demon­strate full transparency to internal and external examiners, your organization can face consequences. Detailed audit trails are maintained for modeling assumptions and activities, giving you full visibility into behind-the-scenes calculations and details on how risk is defined, measured, derived, dis­tilled and displayed.

Features

  • Interactive risk matrix
  • Integrated internal and external data sources
  • Flexibility and control in modeling
  • What-if analysis

  • Unprecedented choice of analytic techniques
  • Monte Carlo simulation
  • Full visibility into model logic

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