Risk Management Solutions
Asset & Liability Management
Proactively manage the balance sheet with tight integration to stress testing and other risk and finance activities.
How SAS® Supports Asset & Liability Management
A holistic, granular approach to balance sheet and liquidity risk management.
Economic volatility and longer-term technology and regulatory trends are driving financial institutions to adopt a more holistic and granular approach to balance sheet management and liquidity risk management. SAS provides powerful analytical, computational and governance capabilities in a scalable, high-performance platform.
Comprehensive ALM functionality
- Includes interest rate sensitivity and stress testing, considering repricing risk, optionality, yield curve and basis risk.
- Enables interest income and EVE simulation using multiple approaches.
- Calculates risk sensitivity measures including durations and convexities for rate-sensitive instruments and Greeks for derivatives.
- Performs scenario-based ALM and liquidity risk analyses on static or dynamic balance sheets.
- Incorporates credit and behavioral assumptions along with macroeconomic and market scenarios.
- Performs risk-adjusted profitability calculations, including funds transfer pricing (FTP).
- Includes regulatory reporting classification and calculation for Basel III liquidity risk ratios (LCR and NSFR) and interest rate risk in the banking book (IRRBB).
Powerful data management with integrated governance & controls
- Supports both ad hoc analyses and fully automated production runs with sophisticated error detection, process monitoring and calculation transparency.
- Efficiently connects to virtually any data source while maintaining full auditability.
- Provides a user-friendly reporting framework that lets business users create their own reports or customize existing reports.
Robust, flexible architecture
- Integrates open source, in-house proprietary, and third-party libraries and risk models.
- Performs timely, on-demand analysis using high-performance execution.
- Adapts to changing business needs and market requirements.
- Provides great scalability with simplified maintenance through cloud-native, microservice-based architecture.
Why choose SAS® for asset & liability management?
SAS provides a high-quality, integrated solution for ALM.
Achieve greater efficiency with less risk
Reduce or eliminate manual effort and the resulting risk of misreporting or late reporting with a highly automated and transparent process. SAS allows you to spend less time moving data and performing calculations and more time analyzing the results.
Gain improved capabilities & controls
Perform fast and highly granular analyses with an underlying high-performance analytics platform that provides rich data management, analytics and reporting capabilities. It also incorporates robust workflow functionality for orchestrating the entire process with full transparency and auditability.
Align ALM with stress testing & other risk & finance functions
SAS asset and liability management offerings integrate with components for stress testing, CECL, IFRS 9 and model risk management. This allows you to achieve tighter alignment across risk and finance functions, as well as maximize your return on investment.
Chartis Names SAS a RiskTech 100® Category Leader for Risk & Finance Integration
Recommended Solutions for Asset & Liability Management
- Kamakura Risk Manager®Get transaction-level valuation, income simulation, liquidity stress testing, cash flow analysis, credit-adjusted economic capital adequacy assessment and regulatory/accounting reporting in a single, integrated ALM solution.
- SAS® Asset and Liability Management Flexibly employ cash flow projection and valuation methods with the ability to add sophisticated behavioral models and custom cash flow logic in a cloud-native, modular and transparent solution.
Solutions That Extend ALM Capabilities
- SAS® Solution for Stress TestingMeet the challenges of supervisory stress testing and strategic scenario planning with SAS Solution for Stress Testing.
- SAS® Solution for IFRS 9Accelerate time to benefit and quickly meet IFRS 9 standards.
- SAS® Solution for CECLQuickly meet new US Financial Accounting Standards Board current expected credit loss (CECL) standards with best practices for modeling, workflow and reporting.
- SAS® Model Risk ManagementSignificantly reduce your model risk, improve your decision making and financial performance, and meet regulatory demands with comprehensive model risk management.
Explore More on ALM & Beyond
- Article ALM in the Concept of Stress TestingRisk & Compliance magazine interviewed a panel of experts about the asset and liability management challenges facing financial institutions.
- Blog Post 3 Forces Driving Modern Asset Liability Management StrategiesDiscover how a few key external forces – regulatory pressures, market dynamics and rapid technological developments – are driving institutions to revisit their ALM strategies.
- Overview Brochure SAS for Asset and Liability Management and Liquidity Risk ManagementOur solution provides a comprehensive framework for managing interest rate risk and funding liquidity risk with easy-to-use, out-of-the-box capabilities for ALM and liquidity risk management, regulatory compliance and risk-adjusted fund transfer pricing.