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.
Recommended Solutions for Asset & Liability Management
- SAS® Asset and Liability ManagementManage interest rate and funding liquidity risk with powerful, flexible capabilities for static and scenario-based dynamic balance sheet assumptions.
- SAS® Asset and Liability ManagementFlexibly 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 establish a powerful data and modeling environment for scenario-based planning.
- 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 ManagementModel Risk Management(MRM)from SAS governs your entire model development and risk management life cycle. Find out how SAS MRM can reduce model risk and improve model governance. SAS UK.