Asset and Liability Management
Value assets and protect the health of the firm from market shocks
" The better the data and the more sophisticated the analytics for managing risk, the greater the competitive advantage."
2010 Top 10 Business Drivers, Strategic Responses, IT Initiatives in the Financial Services Industry , Jim Eckenrode and Rodney Nelsestuen, TowerGroup, March 29, 2010, Reference No. V62:17ALL
How SAS® Can Help
SAS provides solutions to help you manage your firm's assets, liabilities and liquidity as a part of a firmwide risk management system. With SAS, you can:
- Determine liquidity at risk, earnings at risk and funding risks using scenario, simulation and traditional cash flow analysis techniques.
- Perform integrated asset and liability risk management and stress testing, taking into account things such as credit risks, market risks, liquidity risks and behavioral risks.
- Value portfolio profitability using a choice of funds transfer pricing (FTP) techniques that provide adjustments based on expected loss (EL) from credit risks, as well as spread adjustments from embedded options costs and cost of capital.
- Perform economic value calculations using a range of techniques to determine the equity value of portfolios under different market conditions and the contribution they make to the equity value of the institution as a whole.
- Assess the rating of credit portfolios and calculate advanced credit portfolio and counterparty exposure analytics, including netting, collateral and margining.
How SAS® Is Different
Only SAS delivers an asset and liability management solution as part of a complete enterprise risk management solution. SAS enables you to:
- Perform risk calculations for ALM, including cash flow analysis, funds transfer pricing, economic value calculation and cash flow optimization.
- Value traditional balance sheet instruments, such as loans and deposits, factoring in embedded options (e.g., prepayment and withdrawal) as well as credit risk, liquidity risk, etc.
- Assess fund transfer rates with or without risk-based spreads (e.g., credit and liquidity spreads and option-adjusted spreads) and calculate economic value.
- Perform advanced analysis across risk types, including stress testing and modeling of liquidity risk, net interest income and economic value.
- Assess the effect of hedge instruments and analyze optimal cash flow replication hedges.
Related Products and Solutions
SAS® Risk Management for Banking
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.
Ready to learn more?
Call us at 1-800-727-0025 (US and Canada) or request more information.