Successfully integrate risk management firmwide
" Failures in risk management policies, procedures and techniques were evident at a number of firms – in particular, the lack of a comprehensive approach to firmwide risk management often meant that key risks were not identified or effectively managed."
— Final Report of the IIF Committee on Market Best Practices: Principles of Conduct and Best Practice Recommendations
Institute of International Finance, July 2008
How SAS® Can Help
A firm's ability to integrate risk management firmwide may very well be the factor that determines its survival in the future. SAS can help you:
- Get up and running quickly with standard, preconfigured risk applications, whose open architecture supports both current and future data, risk analytics and reporting requirements, as well as your firm's proprietary models, data structures and reports.
- Calculate your firm's 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, such as market and credit risk.
- Determine your firm's risk-based performance based on the effects of balance-sheet and off-balance-sheet items.
How SAS® Is Different
Only SAS provides a framework that delivers functionality for all major risk types, as well as data management and reporting, in a solution that lets you aggregate risk results together while respecting the underlying correlations. With SAS, you get:
An underlying risk engine that supports correlated aggregations through a two-step process.
- Users define a correlation matrix using the underlying SAS Analytics to calculate these correlation measures from the marginal distributions.
- Users define a copula to combine all underlying market states together into an aggregated risk measure, specifying a normal, t-distribution or normal-mixture copula to calculate the aggregated risk measure.
- The ability to create performance measures by combining financial information with these integrated risk measures.
- Mapping tables and sample reports that let users create and surface reports to senior management, business unit directors or other management roles that can benefit from seeing risk performance measures.
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.
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