Transcript SAS Risk Management Overview

SAS® Risk Management
for Banking
SAS® Risk Dimensions
Introducción
David Mermelstein
Sergio Uassouf
v1.2 28/09/2011
Copyright © 2010 SAS Institute Inc. All rights reserved.
Algunos Números Característicos
 Empresa de software privada
más grande del mundo.
 Sucursales en todo el mundo.
 #1 como best place to work en
16 países.
 U$S 2.430 millones de
facturación en 2010.
 12.000 empleados.
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¿Por qué SAS?
Brindamos soluciones integrales de negocio basadas en
análisis estadístico de la información.

Al basarse en el análisis estadístico: Analizan el
pasado y el presente para pronosticar que sucederá
en el futuro.

Por ser integrales: Abarcan la etapa previa de
corrección, optimización e integración de los datos; y
la etapa posterior de exponerlos de un modo útil y
significativo para el usuario.

Para ser de negocio: Hacen transparente al usuario
las complejidades propias del análisis estadístico
avanzado.
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Copyright © 2010, SAS Institute Inc. All rights reserved.
¿Por qué SAS?
Brindamos soluciones integrales de negocio basadas en
análisis estadístico de la información.

Al basarse en el análisis estadístico: Analizan el
pasado y el presente para pronosticar que sucederá
en el futuro.
¿Cómo adquirir nuevos clientes?.
¿Cómo aumentar los servicios de los clientes existentes?.
¿Cómo cobrar más eficientemente a los clientes morosos?.
¿Cómo cubrir a la compañía de los riesgos externos a ella?.
¿Cómo detectar preventiva o correctivamente
comportamientos fraudulentos?.
¿Cómo organizar los transportes en forma óptima?.
¿Cómo proveer flujos de efectivo en forma óptima?.
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SAS Business Analytics Framework
SOLUCIONES
LLAVE EN MANO
HERRAMIENTAS
PARA DESARROLLOS
ESTADISTICOS
INTEGRALES
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Soluciones SAS – Esquema Simple
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SAS Business Analytics Framework
SOLUCIONES
LLAVE EN MANO
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SAS Banking Solutions Architecture
Banking
Analytics
Architecture
Customer
Analytics
for Banking
Risk
Management
for Banking
Credit
Scoring
for Banking
Detail Data Store for Banking
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SAS® Risk Dimensions
MDDBs
Output datasets
Reportes
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SAS® Risk Dimensions: Overview
 Risk Dimensions provides a complete
environment for calculating a wide range of risk
measures, e.g.
» Mark-to-Market
» Cashflow Analysis
» Value at Risk
» Stress-Testing
» Expected Shortfall
» Exposure Metrics
» Risk Adjusted Return on Capital
 Risk Dimensions includes the framework for
managing data, analysing the data and reporting
the results.
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SAS® Risk Dimensions: Risk Analytics
 An open ended risk engine
 Access to SAS core functionality
»
»
»
»
Advanced models and simulation
Advanced optimization
...
Interactive graphics & reporting
 Contains method development
framework & process logic
»
»
»
»
»
RF transformations
Counterparty
Instrument
Mitigant
Post-process
 That is driven by:
 Interactive GUI, Web or
 SAS language, SAS tools and/or 3rd
party tools, C, C++
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SAS Risk Dimensions
Definición de Portafolio (Cartera)
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SAS Risk Dimensions
Definición de Estados de Mercado
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SAS Risk Dimensions
Definición de Proyectos
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SAS Banking Solutions Architecture
Banking
Analytics
Architecture
Customer
Analytics
for Banking
Credit
Scoring
for Banking
Risk
Management
for Banking
Detail Data Store for Banking
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SAS Risk Management for Banking
Riesgos No Financieros
Riesgos No Financieros: SAS EGRC
Reporting
Riesgo Tecnológico
Riesgo Operacional
Clasificación de Activos
Auto-evaluaciones
VaR de OpRisk
Auto-evaluaciones
Adm.de Incidentes
Problemas y
Planes de Acción
Adm.de Incidentes
Problemas y
Planes de Acción
Escenarios
Prueba de Controles
Escenarios
Prueba de Controles
Adm.de Políticas
Adm.de Auditorías
Adm.de Políticas
Adm.de Auditorías
Data Management – Data Models & Flows – DDS & Data Marts
Sistemas Fuente de Información
Sistema Contable
Sistemas Transaccionales
Logs / Mesas de Ayuda
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SAS Risk Management for Banking
Riesgos Financieros
SAS® Risk Management for Banking
Reporting
Riesgo de Mercado
Riesgo de Crédito
Adm. Activos/Pasivos
Fraudes / Lavado
Riesgos IR, EQ, FX
Expuestos Potenciales
GAP Analysis
Análisis por Reglas
Stress Testing
Stress Testing
Stress Testing
Patrones Desconocidos
VaR de Mercado
VaR de Crédito
Ingresos Netos por Interés
Advanced Analytics
Riesgo de Liquidez
Redes Sociales
Riesgo de Liquidez
Data Management – Data Models & Flows – DDS & Data Marts
Sistemas Fuente de Información
Enterprise Data Warehouse
Sistemas Transaccionales
Otros Sistemas de Riesgo
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SAS Evolucionando
Desde la Tecnología Hacia Soluciones
From tools to solutions
Tools
Framework
1995
2000
2010
Solution
Tools
Framework
Solutions
Base SAS®
SAS® Business Analytics
Framework
SAS® Banking Analytics
Architecture
SAS/STAT, SAS/GRAPH,
SAS/ETS, SAS/OR ...
SAS® Enterprise Guide ®
SAS® Risk Management
for Banking
SAS® Enterprise Miner ®
SAS® Enterprise Intelligence
Platform
SAS® Risk Dimensions®
SAS® Customer Anaytics
for Banking
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WHAT ARE THE RISK PRIORITIES FOR FS?
In which of the following areas do you think the most significant focus
should be to address current shortcomings in risk management? Select
up to three.
EIU/SAS- ERM “Rebuilding Trust” Research & Briefing took place February to March 2010 Survey of 346 financial services executives 50% C level – all
have responsibility for risk Even global distribution Programme of in-depth interviews with high-level experts
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Enfoque de Riesgo
Visión Tradicional Compartimentada
Integrated Vision / Risk Aggregation / Control
Market Risk
Credit Risk
Operational Risk
Business Risk
Data Warehouse
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Enfoque de Riesgo
¿Que pierde su companía con esta visión?
Aggregation
Transparency
Scenario
Capability
Problem areas of static
risk architectures
Single Point
of Truth
Integration
of Silos
End-to-End
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Enfoque de Riesgo
Visión Integrada
Reporting/Management
Portfolio 1
Market Risk
Credit Risk
Portfolio 2
Portfolio 3
Yesterday – Today - Tomorrow
Portfolio 4
Rep-Risk
Liquidity
Oper. Risk
xx-Risk
Scenario Generator
Micro economic &
endogenous factors
Macro-economic/external factors
Financial Market
Labour Market
Productivity
Environment
…..
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Enfoque de Riesgo
Diferentes Análisis Integrados
Scenario1
Interest Shift
VaR / Limit
Relations
Limit Utilisation
Market Risk/
Present Value
Evaluation
P/L Change
Return on Risk
RORAC, etc.
Scenario 2
Credit Spread Shift
Liquidity Risk
Liquidity Costs
Capital
Requirements
Credit Risk
Calculation
Credit Risk
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SAS Evolucionando
Desde la Tecnología Hacia Soluciones
Integration
Development
Development
Development
• Risk Framework
• Data model
• Ready-Risk Analysis
• Processes
• Risk Factor Modelling
SAS Base
SAS Risk
Dimensions
• Model
SAS Risk
Solution
• Reporting
• Simulation Engine
• Graphical Presentation
Layer
Integrated Solution Components
Advanced Functionality
Risk Integrated Assessment
Risk Aggregation
SAS Risk
Management
for Banking
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SAS® Risk Management for Banking
 The SAS® Risk Management for Banking Solution is
the only vertical risk offering for Banking from SAS
• The SAS® Risk Management for Banking solution is composed of
numerous integrated risk application components that a bank will be
able to deploy either together, individually, or as a combination of risk
application workflows.
 Why only one vertical risk offering for banking?
• Driven by the ability to deliver an integrated and scalable risk
management solution. That is, a solution that allows customers to
deploy SAS across specific risk applications e.g., asset and liability
management, fair value, market risk management, credit risk
management, as well as economic capital calculations.
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SAS ® Risk Management for Banking
Design Goals
Integrated Infrastructure
• An end-to-end solution with integrated data models, data
quality management, advanced analytics, risk applications
and reporting.
Methodology Capabilities
• Composed of numerous integrated risk application
components that can be used either together, individually, or
as a combination of risk application flows.
User Extendable
• User configurable to meet the needs of organizations specific
requirements on data, models, analytics and reporting.
User Friendly & Distributable across Enterprise
• Security enabled Web based risk analyst and reporting user
interface allows risk capabilities and reporting to be distributed
efficiently across the enterprise.
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RMfB: Flujo de Trabajo
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RMfB: Flujo de Datos
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RMfB: Interfase de Usuario
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RMfB: Vista de un Escenario
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RMfB: Tablas de Configuración
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SAS Market Risk for Banking
 Simulation approach
 Model based
 Empirical based
 Analytical approach
 Delta-Normal approximation
 Sensitivity approach
 Delta, gamma, theta …(“Greeks”)
 Scenario approach
 Stress test
 Decision making – portfolio optimization
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SAS Market Risk for Banking
Análisis Pre-Configurados
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SAS Market Risk for Banking
 Valoriza instrumentos complejos.
 Ejecuta tests de estrés. Calcula valores a riesgo,
déficit esperado y otras medidas de riesgos
utilizando métodos diversos.
 Ejecuta simulaciones basadas en datos históricos,
simulaciones de covarianzas, modelos analíticos y
modelos avanzados definidos por el usuario.
 Discrimina los riesgos de la cartera en los
diferentes riesgos que contribuyen. Analiza la
importancia relativa de los factores de riesgo en la
determinación de las pérdidas de valor de la
cartera.
 Ejecuta back-tests y tests de escenarios.
 Analiza los efectos de las estrategias comerciales
(fondeos, coberturas, colocaciones) y determina la
cartera óptima.
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RMfB: Market Risk for Banking
Reportes Pre-Configurados
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SAS Credit Risk for Banking
 Exposure calculation
 Current exposure
 Potential exposure
 Scenario exposure
 Actuarial model
 Structural factors model
 Dynamic transition matrix model
 Portfolio optimization
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SAS Credit Risk for Banking
Análisis Pre-Configurados
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SAS Credit Risk for Banking
 Calcula la exposición crediticias y realiza tests de
estrés, tomando en cuenta compensaciones
(netting), garantías, márgenes y derivados.
 Ejecuta simulaciones avanzadas de exposiciones
potenciales futuras. Calcula medidas de riesgos
de la cartera utilizando modelos avanzados de
riesgo de crédito tales como modelos actuariales,
multivariados de Merton y matrices de transición
estocástica.
 Optimiza la cartera de crédito respecto al tipo de
activos, garantías necesarias o ambos.
 Metodologías de Administración de Carteras de
Crédito:
 Credit Risk+
 Credit Metrics
 KMV
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RMfB: Credit Risk for Banking
Métodos de Correlaciónde Eventos:
Credit Risk+, Credit Metrics, KMV
Fuente: Modeling Correlations from Credit Risk
Factors, www.bbmms.org
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RMfB: Credit Risk for Banking
Reportes Pre-Configurados
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SAS Asset and Liability
Management for Banking
 Modela y valoriza los instrumentos tradicionales, tales como
préstamos y depósitos (on-balance), y sus coberturas
asociadas (off-balance).
 Considera pre-pagos y retiros.
 Análisis de descalces (Current | Simulation | Scenario)
 Análisis de duración.
 Valorización de transferencias de fondos (Fund Transfer
Pricing)
 Modelización y tests de estrés de riesgo de liquidez, NII y
valor económico.
 Análisis y optimización de reinversión de flujo de caja y
recuperos de activos maduros.
 Modelización de comportamiento de clientes en
renovaciones de toma de activos y colocación de pasivos.
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SAS Asset and Liability
Management for Banking
Análisis Pre-Configurados
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SAS Asset and Liability Management
for Banking: Reportes Pre-Configurados
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Snapshot of Traditional Vs. Advanced
Traditional Liquidity Risk Management: 100
a. Runoff Liquidity Gaps
80
b. Liquidity Ratios
40
Net Cumulative Gap Profile
Time to
insolvency
60
20
0
Now, focus on going concern behavioral
modeling under stress scenarios!
a.
8D
14 D
1M
3M
1Y
3Y
6Y
10 Y
-40
-60
Modeling Net Funding Requirements of Encumbered Assets and Liabilities
Reduced Cash
inflows
Business operations +
Maturing assets +
Early asset puts +
Assets pledged +
Credit lines (standby) +
Derivative positions
b.
c.
-20 1 D
Less
Increased Cash
outflows
Net Funding
Requirements
Business operations +
Maturing liabilities +
Early liability calls +
Off balance sheet
commitments +
Derivative positions
Counterbalancing Capacity comprising of Unencumbered Assets
Periodic Simulation of Contingency Funding Plan
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ALM Dinámico
 Dynamic ALM is a forward-looking risk analysis
that:
» Projects balance sheet components and the
resulting P&L...
» Under different market scenarios...
» Taking into account realistic evolution of the
balance sheet...
» Over a multi-period horizon (ranging from
months to years).
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ALM Dinámico en Banca
 Main aim is simulation of Net Interest Income
 Scenarios can be stochastic, but often deterministic
 Monthly time steps over a 1 to 3 year horizon
 Evolution of the balance sheet is driven by user-defined
parameters
 Newly simulated production can have different
amortization schemes and maturity profiles
 Future margins are typically user-defined and can
depend on product and scenario
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SAS Firmwide Risk for Banking
 Correlated risk aggregation approach
 Correlated approach (Multi-normality assumption)
 Copula approach (Normal, t, mixture, user-defined)
 Full risk simulation based approach
 Capital allocation
 Calculate risk-based performance based on the
effect from balance sheet items as well as offbalance-sheet items. (i.e. Risk adjusted
profitability (RAROC))
 Sample economic capital calculations provided
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SAS Firmwide Risk for Banking
Análisis Pre-Configurados
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RMfB: Riesgo de Empresa (ERM)
Análisis Pre-Configurados
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Duration Report
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Net Interest Income
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Balance Sheet Forecast
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Earnings at Risk
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Economic Value
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FTP
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SAS Information Delivery Portal
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SAS® Risk Management for Banking
The Solution
 Integrated risk solution for banks = Enterprise Risk Management
(ERM) - interlinking, modelling, simulation, transparency
 Remove current variety of point risk solutions
 Reduce spreadsheet-risk through improved integration
 Enables standardization across risk infrastructure
 Adapts to individual customer requirements by application of the
SAS technology
 Provides capabilities to support changing requirements to meet
future needs
 SAS investing in new developments in technology and solutions for
Risk
65
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RMfB: Arquitectura Tecnológica
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www.sas.com
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Slides Tipo
 Correlated risk aggregation approach
 Correlated approach (Multi-normality assumption)
 Copula approach (Normal, t, mixture, user-defined)
 Full risk simulation based approach
 Capital allocation
 Risk adjusted profitability (RAROC)
68
Copyright © 2010, SAS Institute Inc. All rights reserved.
Slides Tipo
 Integrated risk solution for banks = Enterprise Risk
Management (ERM) - interlinking, modelling, simulation,
ansparency
 Remove current variety of point risk solutions
 Reduce spreadsheet-sisk through improved integration
 Enables standardization across risk infrastructure
 Adapts to individual customer requirements by application of
the SAS technology
 Provides capabilities to support changing requirements to
meet future needs
 SAS investing in new developments in technology and
solutions for risk
69
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Slides Tipo
70
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