SAS® Asset and Liability Management
Cash flow generation & valuation coverage
- Generate both contractual and behavioral (interest and capital) cash flows for a large set of accounts and instruments. Value the most common trading instruments. Integrate custom pricing functions and/or external pricing libraries.
- Run scenario-based calculations and simulations based on market and/or behavioral risk factors, and see results with a dynamic balance sheet.
- Risk-adjusted performance functionality further decomposes/aggregates risk premiums (interest risk, credit risk and liquidity risk), behavioral components and embedded optionalities for more granular analysis.
Interest rate risk & liquidity risk analyses
- Economic value of equity and net interest income.
- Yield, durations and convexities.
- Liquidity and repricing cash flow gap analysis on user defined time buckets.
- Cash flow optimization.
- IRRBB, LCR and NSFR measures.
Stress testing & simulations
- Market/macroeconomic and behavioral scenario definition and management.
- Historical and model-based simulations.
- Balance sheet evolution assumptions with scenario analyses.
Regulatory & internal reporting
- Regulatory report generation and filing capability.
- Visual analysis and reporting with on-demand slice-dice and drill-down.
- EBA COREP template 2.9 support (requires SAS Regulatory Content for EBA Taxonomies):
- LCR: C72-C76.
- NSFR: C60-C61.
- ALMM: C66.
- Model development, implementation and validation tools.
- Data integration and quality management.
- Workflow and process management.