SAS^® Risk Engine

SAS Risk Engine

Calculate and analyze market, credit and liquidity risk exposures in near real time with scalable risk analytics, stress testing and scenario analysis.

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What is SAS Risk Engine?

SAS Risk Engine is scalable risk analytics software that helps organizations calculate, aggregate and analyze market, credit and liquidity risk exposures in near real time. It supports stress testing, scenario analysis, portfolio valuation and other complex risk calculations across large volumes of data.

SAS Risk Engine benefits

Calculate risk and exposure measures in near real time

Conduct complex analyses of very large portfolios using patented techniques that deliver significant performance gains. Calculate risk measures with a variety of models that deal with millions of marketable securities, market indices, financial assets and obligations. Complete risk aggregations. Assess market, liquidity and credit risk. And calculate exposure and CVA. All in near-real time (intraday).

Analyze scenarios to inform risk decisions

Conduct rapid, on-demand scenario analyses. 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. Change parameters and rerun scenarios on demand to examine outcomes.

Assess changing market and portfolio risks

Price and manage complex, intraday incremental exposures based on the full distribution of market states, and promptly recognize and address economic shocks to take advantage of better arbitrage opportunities.

Stress test portfolios and plan for market shocks

Simultaneously deal with millions of correlated positions, overlapping constraints and hundreds of thousands of market states relative to market shocks, asset or currency depreciation, funding shortages, domino effects, etc., using in-memory technology.

Key features

Powerful risk engine technology runs risk calculations and aggregates results over an in-memory grid. The software quickly handles complex calculations and stores large volumes of results so you can investigate risk information using on-demand hierarchies in near-real time. With fast, precise answers to questions about current and potential P&Ls, cash flows and risk exposures, you can make timely, well-informed decisions related to your portfolios – even in highly volatile and stressed environments.

Scalable in-memory risk engine

Holds risk analysis results in memory, enabling instantaneous stress testing, scenario analysis and interrogation of results on multiple portfolios.

Flexible risk analysis capabilities

Lets you perform smarter analyses faster using the most advanced analytics available. Configure new instruments, develop new pricing functions, add new risk factors and create new scenarios as needed in an open environment.

Open, centralized & risk-aware pricing model framework

Supports user-defined evaluation functions, third-party libraries (e.g., QuantLib, FINCAD) or both. Lets you easily program, test and implement any evaluation or scoring model.

Customizable, web-based interface

Lets risk analysts and executives explore risk information on demand by choosing dimensions, hierarchies and variables on the fly, versus traditional cubes that must be defined in advance.

Interactive stress testing

Enables all levels of users – from quantitative analysts to business users – to create and run complex shock and recovery scenarios interactively via a user-friendly interface.

Event stream processing integration

Works with SAS Event Stream Processing, which feeds high-speed data sources – including market and reference data feeds – to the risk engine for analysis.

Features List