Asset and Liability Management

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.

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.