SAS® Commodity Risk Analytics Features

Market & credit risk analysis

  • Mark-to-market (MtM).
  • Greeks and positions.
  • Potential future exposure.
  • Historical simulation VaR.
  • Monte Carlo VaR.
  • Delta normal VaR.

SAS® Commodity Risk Analytics data model

  • Normalized data structure for storing positions and prices.
  • Access provided through middle-tier services and validation layer. Controlled with audit trail.
  • Database agnostic.
  • SAS Data Integration available to support data import and quality.
  • Centralized reporting for enterprisewide risk measurement.

Settlement analysis

  • Ability to aggregate transactions for invoicing and confirm outflow payments.
  • Apply the appropriate taxation fees.
  • Forecast expected net cash flows.

User-friendly, thin-client GUI accessible through any web browser

  • Enables quick data entry for deal capture.
  • Lets you capture and visualize forward curves.
  • Runs business processes, such as mark-to-market, settlements and credit risk reporting.
  • Provides a user-friendly front end for analytics and reporting.
  • Provides dashboards for a quick overview of issues and problems.
  • Provides access to the latest information on key indicators.
  • Enables easy drill down to performance trends.
  • Disseminates strategic information across the organization.

Customizable risk portal

  • Portal provides a zero-footprint, browser-based customizable interface.
  • Point-and-click wizards enable users to create, delete and reorder pages, add and remove content, and modify page layout to organize content in their personal workspace.
  • Comprehensive search facility for locating content and applications by titles, keywords and descriptions.
  • Go from data-to-dashboard capabilities in seconds with point-and-click administration.
  • Customizable graphical or tabular dashboards enable users to easily understand key indicators.
  • Access various content types, including reports, advanced data explorations, and other structured and unstructured content based on IT security restrictions.
  • Single sign-on capabilities integrate the risk portal with SAS and other third-party products.

Open pricing model library

  • User-definable open pricing code.
  • Compatible with third-party or internal pricing libraries.
  • Broad instrument coverage – loans, mortgages, repos, equities, FX, fixed income, derivatives, structured products.

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