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Liquidity risk

New FSA regulations around liquidity have set pulses racing across the retail banking sector. Over the next few years, banks and building societies will be required to maintain as much as 10% of their assets in cash or government bonds, to improve stability during unpredictable times.

From a technical perspective, achieving this pushes traditional reporting applications beyond their capabilities. It requires integration and engineering of data and reporting systems across multiple geographies; it requires accurate and thorough cash flow assessments at regular intervals. And it requires delicate counterbalancing - to ensure liquidity buffers are neither too small and non-compliant, nor too large and unprofitable.



How SAS Can Help

SAS®Risk Management for Banking can help banks start to deliver confidently on FSA liquidity risk requirements. Based on our market-leading analytics software, it follows a robust five-step process:

  • Data integration - to consolidate data from different platforms, databases and formats.
  • Scenario configuration - to model the behaviour of existing and possible future balance sheets, and simulate the potential impact on liquidity.
  • Cash flow generation - based on scenarios and for a wide set of instruments, for easy assignment into different report formats.
  • Counterbalancing capability - to model and compare the liquidity of unencumbered and eligible assets with any underlying liquidity mismatch.
  • Flexible report generation - enabling organisations to comply with FSA047, 048 and 050 to 054.

SAS has more than 140 Basel II implementations worldwide and is ranked a visionary in Data Integration and a Leader in Data Quality by Gartner. This heritage and expertise make us perfectly placed to help banks tackle the challenges of liquidity risk head on.


Solution

SAS® Risk Management for Banking consists of three modules:

  • SAS® Detail Data Store for Banking, which enables banks to organise and prepare their data for analysis
  • SAS® Risk Dimensions®, a powerful and versatile risk engine that supports a wide range of risk analysis methods
  • SAS® Risk Reporting Repository, which supports the integration and reporting of enterprise risk measures.

SAS® Risk Management for Banking runs on multiple servers including Windows and Unix, and is easily accessed through familiar interfaces such as Microsoft Excel or a web browser.

 

Ready to learn more?

Call us at 01628 486 933 (UK) or request more information.

 

 

Questions?

 

Whitepaper

The Renaissance of Liquidity Risk - With liquidity risk in the regulatory spotlight, new IT challenges are looming.