SAS® Risk Management for Banking
A comprehensive, end-to-end solution for performing risk analysis and risk-based capital calculations
SAS Risk Management for Banking supports a bank's risk management activities by delivering functionality for all major risk types, as well as data management and reporting. The solution allows business units to calculate risk measures independently and separately, as well as firmwide, using models and correlated aggregation techniques.
The solution's integrated risk applications can be used together, individually or in any combination, enabling you to start in one area (e.g., market risk) and then expand usage to other areas (e.g., credit risk, firmwide risk or ALM) as needed.
Benefits
- Adopt an integrated risk management strategy.
- Gain a comprehensive view of risk across risk types.
- Customize models, analyses and reports.
- Support innovation.
- Extract, integrate and validate risk data from almost any source.
- Get up and running quickly.
- Achieve better investment performance.
Features
- Risk data management
- Risk reporting
- Asset and liability management
- Credit risk management
- Market risk management
- Firmwide risk management
" The important thing is that we now have an open solution in which all dynamics can be followed and understood by our analysts. The framework solution from SAS has an interface that fits our analysts very well."
— Simon Haldrup
First Vice President, Danske Bank
How SAS® Is Different
SAS Risk Management for Banking's more advanced, integrated and scalable infrastructure is necessary for adequately protecting the bank, the financial industry, investors and other stakeholders. The solution:
- Provides a high-quality, integrated risk data infrastructure that enables banks to measure exposure and risk across all risk types and books of business.
- Enables the distribution of incentives for consistent optimization of risk-adjusted returns throughout the organization.
- Covers the entire spectrum of risk types – including market, credit and liquidity risk.
- Allows for interdependencies between risk types and aggregates interrelated risks on a firmwide level using state-of-the-art risk analytics that incorporate a wide range of methods and models into the solution, along with simulation capabilities.
- Lets you calculate portfolio risks with respect to different risk measures, such as value-at-risk, expected shortfall, earnings-at-risk or liquidity-at-risk.
- Lets you calculate economic capital for the entire bank's portfolio or at a user-defined cross-classification level, from which risk-adjusted performance measures can be derived.
Benefits
- Adopt an integrated risk management strategy. Meet all data, methodology and usability requirements, and enable the effective distribution of key risk information across the enterprise to different user types by adopting an integrated risk management strategy.
- Gain a comprehensive view of risk across risk types. Analyze risk/return profiles across all lines of business, thereby gaining a comprehensive view of risk across risk types.
- Customize models, analyses and reports. Adapt to changing business needs both today and in the future by customizing models, analyses and reports on an ongoing basis.
- Support innovation. Introduce new risk measures and models in a fully transparent and auditable environment to support innovation.
- Extract, integrate and validate risk data from almost any source. Use data from nearly any source, including market data providers, portfolio/loan accounting systems, trade capture systems, clearing systems, etc.
- Get up and running quickly. Preconfigured models, methods and reports for market risk, credit risk, ALM and firmwide risk enable you to get up and running quickly.
- Achieve better investment performance. Optimize your investment strategies to achieve better investment performance.
- Take full advantage of current and future business opportunities. Reallocate capital and risk capacity to take full advantage of current and future business opportunities.
- Gain more control over, and ownership of, your risk data. Comprehensive data management capabilities, a banking-specific data model and prebuilt data management processes give you more control over, and ownership of, your risk data.
- Lower your total cost of ownership. As an end-to-end solution that covers everything from data management to risk analysis to reporting, SAS Risk Management for Banking enables you to lower your total cost of ownership.
Features
- Risk data management
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- Provides a risk data model with preconfigured data flows.
- Existing data flows can be modified for customer-specific conditions and data quality controls – e.g., rules for handling bad data, unclassified data or data not fitting the model.
- Enables users to acquire and consolidate historical data from internal and external sources for risk analysis and reporting.
- Includes a data model – SAS Detail Data Store for banking – that serves as a single source of all the information for creating a risk data warehouse.
- Eliminates or reduces data inconsistencies with automated data quality tools.
- Supports integration with third-party applications.
- Provides the ability to create and amend user security for access, authentication and authorization.
- Provides audit functionality, including the creation and inquiry of automatic audit trails.
- Risk reporting
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- SAS Stored Processes let users configure their own workflows and integrate daily and ad hoc advanced risk analytics procedures into their preferred environments.
- Comes with a wide array of preconfigured reporting and risk analysis workflows.
- The report framework includes sample reports, OLAP cubes and interactive analysis results for all application components.
- The SAS Risk Reporting Repository, a common reporting data model, supports the integration and reporting of enterprise risk measures as well as decomposed measures at the entity, business unit, geography or any other user-defined hierarchy.
- Asset and liability management
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- Value traditional balance-sheet instruments and their associated (off balance-sheet) hedges, factoring in embedded options such as prepayment and withdrawal as well as credit risk, etc.
- Assess fund transfer rates with or without risk-based spreads, such as credit spreads, liquidity spreads, option-adjusted spreads, capital costs and allocated overhead expenses. Calculate economic value with and without such spreads.
- Perform advanced analysis across risk types, stress testing and modeling of funding liquidity risk, net interest income and economic value.
- Analyze and create optimal cash flow replication hedges.
- Calculate Basel III liquidity risk measures: liquidity coverage ratio, net stable funding ratio.
- Calculate counterbalancing capacity for liquidity hedging portfolios using assumptions on trade volumes, haircuts and repo activity.
- Enhanced modeling of deposits and facilities with separate schedules for payments and balance changes.
- Credit risk management
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- Calculate and stress test credit exposures, taking into account the effect of netting and collateral.
- Perform advanced simulation of potential future exposure.
- Calculate portfolio credit risk measures using advanced portfolio credit risk models, such as actuarial models and reduced form stochastic transition matrix models.
- Optimize the credit portfolio using risk/return measures.
- Market risk management
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- Value complex market instruments, including exotic derivatives (e.g., basket CDS/CDO, cash flow caplet/floorlet, equity swap, rainbow options).
- Perform stress tests and calculate VaR, expected shortfall and other risk measures using a variety of methods (e.g., historical, covariance and Monte Carlo simulation).
- Decompose portfolio risk in additive risk contributions, and analyze the relative importance of risk factors in determining portfolio loss.
- Perform backtests of the VaR model.
- Determine optimal portfolio by optimizing return/risk measures.
- Firmwide risk management
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- Calculate aggregate risk using either correlation matrices or correlated copula aggregations of marginal risk distributions.
- Perform bottom-up firmwide risk exposure calculations, taking into account the different risk type sensitivity of exposures by a joint simulation of market and credit risk factors.
- Calculate risk-based performance of the firm based on the effect from balance sheet and off-balance-sheet items. Sample economic capital calculations provided.
Screenshots
A view of economic capital Web-based analysis and reporting
The SAS Risk Management for Banking portal includes customizable reports, including this example of an economic capital report covering actuarial and Merton-based calculations.
A view of asset and liability liquidity Web-based analysis and reporting
The SAS Risk Management for Banking portal includes customizable reports, including this example of liquidity analysis by month.
A view of MtM vs net economic value (NEV) Web-based analysis and reporting
A Web-based risk analysis and reporting user interface allows risk capabilities and reporting to be distributed efficiently across the enterprise including this example of current NEV.
Illustration of SAS Information Delivery Portal use in SAS Risk Management for Banking
SAS Risk Management for Banking provides an efficient and secure way of distributing risk and compliance information to users across the organization using the SAS Information Delivery Portal. This report shows a credit performance dashboard.
Selection of a stored process for simulation of overall cashflow (i.e. assets – liabilities)
Using SAS Stored Processes, users can configure their own workflows and integrate daily and ad hoc advanced risk analytics procedures into their preferred environments.
Output of a simulation of overall cashflow (i.e. assets – liabilities) for various cashflow maturity buckets
Users can analyze advanced risk results graphically based on detailed or summarized output.
System Requirements
Client environment
- Windows 32- and 64 bit
Server environment
- Windows 32- and 64-bit, Solaris (SPARC and x86-64), HP-UX (PA RISC and Itanium), AIX and LINUX 32- and 64-bit
Midtier
- Windows 32- and 64-bit, Solaris (SPARC and x86-64), AIX, Linux 64-bit, HP-UX Itanium
Required/optional software
- Java, Adobe Flash Player, Web Application Server (JBoss, WebSphere, Web Logic)
Ready to learn more?
Call us at 1-800-727-0025 (US and Canada) or request more information.
