Fortis ALM
Optimizing risk versus return - SAS improves efficiency of ALM reporting at Fortis Bank
| CUSTOMER CASE |
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Industry
Banking
Business Issue
Timely and accurate data analysis
on assets and liabilities
Solution
SAS® Risk Management
Benefits
1. Fortis now has a flexible framework
containing risk management best
practices; data structures, models,
analysis and reporting
2. Multi-user: various users can work in
parallel using up to date information
3. Modular: the solution is easily expandable
by users
4. User friendly: the graphical user interface
makes the tool easy to use
5. Quick and easy access to information on
the valuation and risks enables efficient
monthly ALM reporting |
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Vast amounts of market data from various sources. Similar products described differently
by various entities. Information delivered in different formats. In such an environment,
making asset and liability management (ALM) reports becomes a very time-consuming
process. Unless the proper tool is at hand. SAS provided Fortis Bank with the right building
blocks for a consolidated ALM risk management application.
Risk management is key
Fortis Bank is a leading Benelux-based
financial services provider. Since its
inception, Fortis has grown considerably
through organic growth as well
as through strategic acquisitions.
Risk management has played a
significant role in this expansion.
This key support function has
helped foster sound development
across both business units and
various national boundaries.
Asset and liability management (ALM)
is part of the investment department.
It focuses on managing structural risks
in interest rates, equity, and liquidity in
order to optimize risk versus return.
Assessing such risks calls for clear
and detailed reporting. However, it
had reached the point where this
was becoming ever more
complicated within Fortis Bank.
Setting the basis for frequent risk reporting
Fortis Bank’s widespread activities
have created a very complex
inflow of information. “Market data,
product descriptions, cash flow data,
and other necessary information
reached us from various sources and
in different formats,” explains Benny Degraeuwe, Head of Asset and Liability
Management at Fortis Bank. “Making
an ALM risk report based on such
heterogeneous information proved to
be a very time consuming task that
limited us to ad hoc reporting. But
management expects ALM reports
regularly, on a monthly basis, taking
into account all optional features of
different products. To adhere to this
call for transparency and completeness
we needed a new and improved ALM
risk management system.
One that is equipped with a reporting
tool that gathers all necessary data
and that enables us to create risk
reports for all assets and liabilities,
both consolidated and per entity.”
Improved efficiency with a robust reporting tool
“We immediately contacted SAS,”
Benny Degraeuwe continues. “We
have wide experience with SAS within
the bank and have excellent internal
support for its software. But more
importantly, the SAS ALM solution
has a modular structure, making it
easy to expand the system with new
modules. SAS also enables multitasking
- information from various sources
can be processed in parallel. In addition,
SAS is extremely user friendly. For instance, compared to the previous ALM
risk management system, the user/analyst
no longer needs to program in a code to
tailor an interest rate risk report. All of these
characteristics combine to create a robust
system with reliable performance.”
Working in parallel with constantly updated data
SAS ALM also adds flexibility to the
application. It is a perfect combination,
according to Benny Degraeuwe. “Our first ALM risk management system
could only be used by one person at a time.
Today, multiple users can make various
reports simultaneously. Each user is
guaranteed up-to-date information at
any time. Needless to say, the new system
frees up an enormous amount of time.”
More time for structural risk analysis
SAS brings vast efficiency to the ALM
reporting process. Today, ALM employees
at Fortis Bank only need a few mouse clicks
to generate such things as a duration or a
value-at-risk report. “The system collects
all of the necessary data, applies the
correct calculation method, and presents the
user with a transparent report. And there is
more. All information is easily exported to,
for instance, Excel where we can perform
additional analyses,” says Benny Degraeuwe. “Thanks to such improvements, we now have
more time available for thoroughly analyzing
and interpreting the data itself.”
Users convinced from the start
Initially, the users were reluctant to change
from the ALM reporting system they were
used to. After the project was concluded,
however, all analysts were very enthusiastic
about the application. “During the project,
the users were closely involved in the various
testing phases,” notes Benny Degraeuwe. “The combination of full documentation
and training sessions presented by the SAS
project staff ensured that all users developed
a thorough insight into how the system
functions. This has greatly improved their
confidence in the system. They are
convinced that the new solution provides
them with all the accurate information they
require. And this in a user friendly and
efficient manner.”
Prepare for the future
Today, the consolidated ALM risk reporting
application generates reports on the
valuation and risks attached to all assets and
liabilities of Fortis Bank. This can be carried
out using current market conditions as well
as various stress tests. “Currently, this
information is only accessible for ALM
employees at Fortis Bank Brussels.
But in the future, the tool will also be
applicable across national boundaries.
It is easily expanded, giving all ALM
employees access to up-to-date ALM
information - anytime, anywhere,”
asserts Benny Degraeuwe.
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