SAS® Asset and Liability Management

Cash flow generation & valuation coverage

  • Generate both contractual and behavioral (interest and capital) cash flows for a large set of accounts and instruments. Value the most common trading instruments. Integrate custom pricing functions and/or external pricing libraries.
  • Run scenario-based calculations and simulations based on market and/or behavioral risk factors, and see results with a dynamic balance sheet.
  • Risk-adjusted performance functionality further decomposes/aggregates risk premiums (interest risk, credit risk and liquidity risk), behavioral components and embedded optionalities for more granular analysis.

Interest rate risk & liquidity risk analyses

  • Economic value of equity and net interest income.
  • Yield, durations and convexities. 
  • Liquidity and repricing cash flow gap analysis on user defined time buckets.
  • Cash flow optimization.
  • IRRBB, LCR and NSFR measures.

Stress testing & simulations

  • Market/macroeconomic and behavioral scenario definition and management.
  • Historical and model-based simulations.
  • Balance sheet evolution assumptions with scenario analyses.

Regulatory & internal reporting

  • Regulatory report generation and filing capability.
  • Visual analysis and reporting with on-demand slice-dice and drill-down.
  • EBA COREP template 2.9 support (requires SAS Regulatory Content for EBA Taxonomies):
    • LCR: C72-C76.
    • NSFR: C60-C61. 
    • ALMM: C66.

Additional capabilities

  • Model development, implementation and validation tools.
  • Optimization.
  • Data integration and quality management.
  • Workflow and process management.

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