SAS® RISK ENGINE

Calculate exposures on demand in near-real time across risk types.

Powerful risk engine technology runs risk calculations and aggregates results over an in-memory grid. The software can handle complex calculations very quickly and store large volumes of results so you can investigate risk information using on-demand hierarchies in near-real time. With fast, precise answers to questions about current and potential P&Ls, cash flows and risk exposures, you can make timely, well-informed decisions related to your portfolios – even in highly volatile and stressed environments.

Scalable in-memory risk engine

Holds risk analysis results in memory, enabling instantaneous stress testing, scenario analysis and interrogation of results on multiple portfolios.

Flexible risk analysis capabilities

Lets you perform smarter analyses faster using the most advanced analytics available. Configure new instruments, develop new pricing functions, add new risk factors and create new scenarios as needed in an open environment.

Open, centralized & risk-aware pricing model framework 

Supports user-defined evaluation functions, third-party libraries (e.g., QuantLib, FINCAD) or both. Lets you easily program, test and implement any evaluation or scoring model.

Customizable, web-based interface 

Lets risk analysts and executives explore risk information on demand by choosing dimensions, hierarchies and variables on the fly, versus traditional cubes that must be defined in advance. 

Interactive stress testing 

Enables all levels of users – from quantitative analysts to business users – to create and run complex shock and recovery scenarios interactively via a user-friendly interface. 

Event stream processing integration 

Works with SAS Event Stream Processing, which feeds high-speed data sources – including market and reference data feeds – to the risk engine for analysis. 

Assess firmwide risk exposure intraday or in near-real time across all risk types – market, credit and liquidity.

SAS Risk Engine showing statistics and subportfolio details on desktop monitor

Get fast, accurate risk and exposure measures. 

Conduct complex analyses of very large portfolios using patented techniques that deliver significant performance gains. Calculate risk measures with a variety of models that deal with millions of marketable securities, market indices, financial assets and obligations. Complete risk aggregations. Assess market, liquidity and credit risk. And calculate exposure and CVA. All in near-real time (intraday).

Identify optimal actions, make the best decisions. 

Conduct rapid, on-demand scenario analyses. Find optimized solutions to your liquidity and capital needs – at the speed of the market. Produce what-if scenarios based on the most complex portfolios, positions and instruments across multiple time horizons. Change parameters and rerun scenarios on demand to examine outcomes.

SAS Risk Engine explorer showing retail loans on desktop monitor
SAS Risk Engine showing box and whisker plots on desktop monitor

React to market events with speed and precision. 

Price and manage complex, intraday incremental exposures based on the full distribution of market states, and promptly recognize and address economic shocks to take advantage of better arbitrage opportunities.

Plan ahead and formulate contingencies. 

Simultaneously deal with millions of correlated positions, overlapping constraints and hundreds of thousands of market states relative to market shocks, asset or currency depreciation, funding shortages, domino effects, etc., using in-memory technology.

SAS Risk Engine showing crosstabs and graphs on desktop monitor

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