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White Paper

Evolving from Quantitative Risk Management to a High-Performance Risk Management Analytic Framework

Insights on a new direction for risk management by Myron S. Scholes, PhD and Nobel Laureate, and Tom Kimner, Head of Americas Risk Practice at SAS

About this paper

As a result of the recent market shocks, banks, capital markets firms and asset managers are rethinking certain issues and focusing on: 1) How to integrate not only risk and reward tradeoffs using portfolio theory, but also how to plan for market shocks; 2) The resulting impact of these shocks on the business and its divisions. Leading financial entities are linking their portfolio risk with the return on capital and integrating market liquidity into their analyses in an attempt to gain a more complete view of risk and return. As a result, optimization of capital deployed – rather than just a single view of risk exposures – has become the new role of risk management. This white paper proposes a new framework for optimizing risk management and discusses the technology needed to establish a high-performance computing environment for risk management.

About SAS

SAS is the leader in business analytics software and services, and the largest independent vendor in the business intelligence market. Through innovative solutions, SAS helps customers at more than 70,000 sites improve performance and deliver value by making better decisions faster. Since 1976 SAS has been giving customers around the world THE POWER TO KNOW® .

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