SAS® High-Performance Risk
Faster, better risk management decisions based on the most up-to-date views of your overall risk exposure
SAS High-Performance Risk merges the power of an integrated risk platform with a high-performance analytics infrastructure, enabling you to assess your risk exposures with speed and precision so you can make quick, well-informed decisions that will safeguard and enhance the overall financial position of the firm.
Benefits
- Get fast, accurate portfolio risk and exposure measures.
- React to market events faster and with greater precision.
- Quickly identify optimal actions and make the best decisions.
- Plan ahead and formulate contingencies.
Features
- A powerful, flexible risk engine
- Flexible risk analysis capabilities
- Interactive stress testing
- Centralized pricing model library
- Customizable, Web-based interface
- Comprehensive data management
How SAS® Is Different
- Results in minutes, not days. SAS delivers risk calculation results faster than anyone else, using patent-pending techniques that dramatically accelerate processing time for even the most complex risk calculations.
- Instantaneous, interactive scenario analysis. Dynamic, in-memory OLAP cubes enable you to interact with output to quickly locate desired information and immediately interpret model results.
- Real-time stress testing. Respond quickly and decisively to market fluctuations by stress testing firmwide portfolios in real time so you can make well-informed decisions on position hedging and unwinding.
- Intraday recalculation of risk and exposure. Update actual firmwide risk and exposure as often as needed to respond to changing market conditions and make timely decisions on portfolio strategies.
- A flexible, open environment. Configure new instruments, develop new pricing functions, construct more complex scenarios and produce custom reports so you can adapt the solution to fit your firm's future requirements as they evolve.
- A more comprehensive modeling regimen. Gain a greater understanding of the overall risk position and capital adequacy of the firm, which enables faster management decisions in times of high volatility.
Benefits
- Get fast, accurate portfolio risk and exposure measures.
- Perform complex risk analyses of very large portfolios using patent-pending techniques that enable significant performance gains.
- Analyze firmwide portfolio risk and perform dynamic stress tests on complex portfolios of almost any type of financial instrument – with hundreds of thousands to millions of positions – in just minutes or hours versus days or weeks.
- Calculate incremental VaR, counterparty exposure measures and complete risk aggregations in near-real time (intraday).
- Quantify and take into account millions of correlations spanning financial instruments, market indices, economic indicators and counterparties.
- React to market events faster and with greater precision.
- Perform intraday, large-scale simulations and ad hoc stress tests based on all available portfolio data – not just a sample.
- Accurately price and manage complex, intraday incremental trades based on the full distribution of market states.
- React to market shocks more precisely, while being poised to take advantage of better arbitrage opportunities.
- Quickly identify optimal actions and make the best decisions.
- Conduct rapid, on-demand scenario analyses to find optimized solutions to your liquidity and capital needs at the speed of the market.
- Produce what-if scenarios based on the most complex portfolios, positions and instruments across multiple time horizons.
- Quantify the impact of various scenarios on cash flow, P&L, and the balance sheet, then change parameters and rerun scenarios on demand to examine outcomes relative to potential capital gains/losses, changes in yield or cost of funds.
- Plan ahead and formulate contingencies.
- Simultaneously deal with millions of correlated positions, overlapping constraints and thousands of market states relative to market shocks, asset or currency depreciation, funding shortages, domino effects, etc.
- Generate a full range of possible scenarios in order to anticipate and quantify their effects on your firm's financial performance (i.e., earnings, cash flows, risk exposures and balance sheet structure).
- Determine which courses of action will produce the outcomes that are most beneficial to your business.
Features
- A powerful, flexible risk engine
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- An open environment that lets you configure new instruments, develop new pricing functions, add new risk factors and create new scenarios as needed.
- Multithreading techniques increase responsiveness and concurrency, which dramatically reduces run times.
- Risk analysis results are held in-memory, which enables instantaneous stress testing, scenario analysis and interrogation of results on multiple portfolios.
- Flexible risk analysis capabilities
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- Perform smarter analyses faster than your competitors using the most advanced analytics available.
- Analyze and measure risk using a range of techniques – VaR, sensitivity analysis, profit/loss analysis, etc.
- Compute base case calculations, including mark-to-market (MtM) valuation and current exposure.
- Perform interactive scenario analysis and stress testing on demand, as well as multiple types of simulation – covariance, Monte Carlo, etc.
- Interactive stress testing
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- Create and run complex shock and recovery scenarios interactively via a user-friendly interface.
- Create ad hoc scenarios, define subportfolios and compare scenario results, then interactively change parameters and rerun the scenarios to analyze the effects of extreme changes in risk factor values.
- Aggregate both the banking and trading books in a single environment that accelerates stress testing and allows the application of a common set of scenarios and factors.
- Integrate most existing stress-testing models, eliminating the need to rewrite them.
- Centralized pricing model library
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- Provides a centralized library of standard pricing models for a wide range of financial instrument types.
- Supports third-party (e.g., FINCAD) and in-house pricing libraries, enabling you to program, test and implement any pricing model.
- Customizable, Web-based interface
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- Customize the interface to suit the needs of individual users.
- Easily build new, custom risk analysis projects, and interact with analysis results based on user-defined outputs.
- Explore model output in a richer context for a better understanding of the firm's overall risk position and capital adequacy.
- Store model output in-memory in hierarchical risk cubes that include multiple dimensions (asset class, trading desk, line of business, etc.) and levels of data (trade-level, trader, security owner, execution window, etc.).
- Drill into risk cubes that reflect aggregate risk exposures, asset positions and capital allocations down to any level of granularity.
- Comprehensive data management
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- Rapidly aggregate portfolio and market data from a wide variety of both internal and external sources.
- Use common metadata and security frameworks that serve as a single source of information.
- Access large quantities of data from virtually any system in any form using a common set of native access engines.
- Eliminate or reduce data errors and inconsistencies with embedded data quality capabilities.
Screenshots
Risk analysis
Risk analysis gives with you the ability to expand and add measures on-the-fly.
On-demand queries
On-demand queries deliverd risk distribution analysis and risk measure ranking.
Ready to learn more?
Call us at 1-800-727-0025 (US and Canada) or request more information.
