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 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.
- SAS® Asset and Liability Management (on SAS 9.x)Manage interest rate and funding liquidity risk with powerful, flexible capabilities for static and scenario-based dynamic balance sheet assumptions.
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 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.