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.
- 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.