Risk Management in Capital Markets
Strike an optimal balance between growth and returns, and meet regulatory demands
SAS understands that traders and risk managers need to make informed decisions, fast. Yet the traditional dependence on overnight batch data and VaR models means that financial institutions are exposed to intra-day volatility and fat-tail risks.
SAS Real-time Market Risk uses the power of Event Stream Analytics to simultaneously gather and analyse data within seconds, enabling faster and better-informed risk management and trading decisions. It is the most comprehensive and flexible High Performance Analytics tool for the financial services market.
See events as they happen
SAS Real-time Market Risk is able to calculate pricing, VaR, and Sensitivities, and is able to use the SAS High Performance Risk Engine for a number of different functions, in particular when intra-day re-calculation of sensitivities is required, and when models require re-calibration.
Powered with Event Stream Analytics, the SAS solution provides the front office with an aggregate view of events as they happen – enabling better hedging and a faster response to opportunities – on a firm-wide basis.
The SAS solution offers a wide variety of High Performance Analytics tools for model development and management, data integration, reporting, and distribution, which can all be customised to the financial institution's needs.
Regain Confidence Through Better Optimisation of Risk-Adjusted Pricing and Returns
The availability of credit in global financial markets contracted to the extent that it led to a liquidity crisis. Despite many efforts by governments and central banks to stimulate the credit markets, they have remained steadfastly inactive.
But today, there are signs that the worst may be over and that a recovery may be imminent. What will it take for banks to regain enough confidence in the financial system to get credit markets moving smoothly – without riking another financial breakdown? Better credit risk management practices are essential.
Best Practices in Data Management - Meeting the Goal of an Enterprise Risk Management Platform (PDF).
How SAS® Is DifferentThe SAS approach to risk management offers a more complete, end-to-end solution that includes data aggregation, analytics and reporting within a transparent framework. With SAS, you get:
- An open, extensible environment with complete capabilities for retail credit scoring, corporate credit rating and credit portfolio risk management.
- A robust risk engine that offers in-depth modeling and the analytical capabilities necessary for developing a propriety and market-differentiating economic capital model.
- The flexibility to anticipate future modeling methodologies and regulatory changes.
- Complete transparency and auditability, which facilitates supervisory review – internally, by rating agencies and by regulators – as required by Basel II and other regulations.
- Award-winning predictive analytics that can help you analyze and determine the best course of action for "toxic" (illiquid) assets.
- An integrated risk management environment that provides a firmwide view of all types of risks (credit, market, counterparty and liquidity) to help you maintain the profitability and health of the firm.
Credit Valuation Adjustment
SAS Credit valuation adjustment (CVA) for counter-party credit risk is one of the most data-demanding business areas within risk. The SAS CVA framework enables financial institutions to build real-time CVA solutions that make CVA desks more agile.
Utilising High Performance Analytics from SAS makes CVA more accurate, reducing risk and optimising the amount of CDS hedging used. This optimisation also enables financial institutions to better manage regulatory compliance, for example by minimising the Basel III CVA VaR capital charge.
Be More Competitive
CVA is one of the most data-demanding business area within risk, posing unique challenges to both CVA desks and supporting IS teams. Using Event Stream Analytics, the SAS CVA framework enables financial institutions to build real-time CVA solutions that make CVA desks more agile and more competitive.
Monitor and Manage in Real-Time
SAS CVA comes with a range of real-time capability modules which can be used together or in a bespoke implementation. From real-time sensitivities and mark-to-market prices for positions through to CVA scenario testing and stress-tests, with Event Stream Analytics SAS enables financial institutions to monitor and manage CVA in real-time.
SAS® High-Performance Risk
SAS® High-Performance Risk is a solution for market, credit and liquidity risk management that enables the generation of hundreds of thousands to millions of market states for simulation analyses. You can price large portfolios for each of the generated market states. You then can derive the values of financial variables such as profit/loss, exposure, and cash flows from those prices.
SAS High-Performance Risk utilizes in-memory analytics, grid computing and multi-threading techniques to accelerate risk analysis of large and complex portfolios of financial instruments.
SAS High-Performance Risk - Make faster, more accurate risk-based decisions (PDF).
SAS High-Performance Risk accelerates the analysis of market, credit and liquidity risk so that risk managers can calculate firm-wide portfolio risk attributions and perform stress tests on complex portfolios with hundreds of thousands to millions of positions during minutes or hours rather than days or weeks.
Risk managers can also calculate near real time (intraday) incremental Value at Risk (VaR) analytics and counter-party exposure measures that support timely and informed risk decisions. SAS High-Performance Risk is typically used for Monte Carlo simulation-based analysis to compute portfolio-level market, credit, and liquidity risk in global banks and capital markets firms. SAS High-Performance Risk can be used to analyze almost any type of financial instrument.
- 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.
- 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.