SAS Risk Management for Banking

SAS Risk Management for Banking is a complex of solutions for risk management of credit institution, it provides a unified environment for data management, risk analysis and preparation of reports on risks.

Description

Are a part of the solution SAS Risk Management for Banking following functional parts:

• SAS Asset and Liability Management for Banking,
• SAS Credit Risk for Banking,
• SAS Market Risk for Banking,
• SAS Firmwide Risk for Banking.

Components

The SAS Asset and Liability Management for Banking component allows to make assessment of traditional balance sheet tools, such as credits and deposits, and related hedges. The component also allows:

• define rates of transfers between funds, including or excepting the spreads created by such risks as credit risk or a liquidity risk and also optional spreads and, as a result, to calculate final economic value;
• make the expanded analysis on different types of risks, including stress testing and modeling of a liquidity risk, income from pure interests, etc.;
• perform assessment of hedge tools and analyze an optimal cash flow on hedges.

SAS Credit Risk for Banking component:

• provides identification and consolidation of data on risks for compliance to new requirements to assessment and confirmation of data for credit risk management and also creation of general reports on risks in all organization;
• provides assessment of probability of event of default by the companies, individuals, small and medium business and other parties using different models of assessment for different profiles of the counter party on different asset classes;
• the solution allows to develop and implement the internal models of assessment of solvency and creation of credit point of "cutting off" that allows them to adapt models for own needs, providing rapid implementation and adaptation to the changing market conditions;
• for compliance to regulatory requirements each step when developing model and in the course of assessment is recorded, guaranteeing necessary transparency.

The SAS Market Risk for Banking component is intended for:

• creations of an extensive data access mechanism which provides up-to-date information for means of the analysis and tools of the reporting; and also gives a complete overview of risks on all credit institution in different formats of the report;
• calculations of indicators of market risk according to necessary data and the applied analysis method;
• calculation of the statistics reflecting price variability. The variability connected with individual risk exposure integrates on all risks in the total risk value (Value-at-Risk – VaR). VaR values and performance adjusted for risk are provided to the persons making decisions. These reports allow to regulate the business strategy of the company taking into account market risk.

The SAS Firmwide Risk for Banking component - for calculation of aggregirovanoy risk on bank, using methods of correlation matrixes or the connected calculations of a kopula of marginal distributions of risks. Also the component allows:

• execute risk exposure calculations by method from below-up in general on bank, considering different sensitivity to different types of risks;
• calculate the cost efficiency of activity of credit institution considering the identified and calculated risks of different types.