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Temenos Insight Risk

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An Enterprise Risk Management platform that enables financial institutions to be Basel II compliant, supports SharePoint 2010.

An Enterprise Risk Management platform that enables financial institutions to be Basel II compliant, supports SharePoint 2010.

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  • Treasury and risk managers and ALCO members are facing more pressure than ever to ensure their organization has a robust and comprehensive balance sheet risk management framework in place. Recent financial turmoil has placed greater emphasis on liquidity management, retail credit with tighter regulations and reporting requirements.

Temenos Insight Risk Temenos Insight Risk Presentation Transcript

  • Insight Risk
    November 2010
  • Agenda
    Slide 2
    Discuss your Risk requirement
    Overview of Insight Risk
    Basel II module
    Market Analytics module
    ALM module
    Q&A
  • Elevator pitch
    “Risk comes from not knowing what you are doing” –Warren Buffet
    30 November 2010
  • Risk Management beyond the Credit Crisis
    State of markets today
    The credit crisis has exposed some significant weaknesses in risk management across the financial services industry.
    Banking world has changed
    Banks have been forced to take a critical look at how they manage risk
    Financial service regulators have been forced to address the shortcomings of Basel II
    Forward looking to Basel III (tier I capital ratio increased and liquidity buffer)
    Insight-Risk addresses major challenges faced in banking today
    Market Risk Management
    Liquidity risk management/Asset & Liabilities
    Retail credit
    Home / host regulation
  • What is Insight Risk?
    Insight Risk is a modular enterprise risk management platform that enables Financial institutions to be basel II compliant.
    It uses Insight Base as its core platform to:
    Integrate data (T24 and 3d party)
    Store and analyse
    Report and display (Insight Dashboard, Risk UI, SharePoint, reports...)
    It offers 3 ad-on modules
    Basel II (regulatory capital engine)
    Market Analytics (advanced analytics engine)
    Asset and Liability management
    Slide 5
  • Insight Base
    Slide 6
    Insight
    Base
  • Insight Intelligence Platform
    Basel II
    Market Analytics
    ALM
    30 November 2010
  • Insight Risk
    T24
    Misys
    Fiserv
    Insight Risk benefits:
    Integration efficiency (E.g. 90 days implementation for the Basel II module- Standardised approach)
    Data integrity (reconciliation with the data source)
    Insight Base as the new T24 extraction and reporting solution (replace the MI module)
    Shared infrastructure with other Insight modules (financials...)
    Microsoft investment into Insight
    Supports SharePoint 2010
    Data
    Integration
    Staging tables
    DW.Export
    CSV
    Insight Base
    Data
    Storage/
    analytics
    Insight
    Database (SQL)
    Publisher
    Analyser
    Operational
    intelligence
    Risk
    Intelligence
    Customer
    Intelligence
    Financial
    intelligence
    Reporting
    Risk-UI
    Insight-UI
    30 November 2010
  • Insight Return on Investment Analysis
    Core Banking System
    Integration
    Layer
    Cube Design &
    Consolidation
    Presentation
    Layer
    INSIGHT
    TYPICAL DATA WAREHOUSE
    Data Model
    Insight Pre-packaged Solution – 75 to 100 man days
    Enterprise Data Warehouse Solution – 2 years+
    • Fixed Price Resourcing $115k
    • Insight Pre-packaged App $negotiable
    • Microsoft Platform $?
    • Hardware $?
    What is the resulting cost in:
    • Time?
    • Consultancy?
    • Software Licenses?
    • Hardware?
    ETL (Typically 3-6 months)
    INTEGRATOR / DATA CLEANSING
    • Software - $?
    • Consultancy - $?
    DW EXPORT (T24)
    ENTERPRISE DATA WAREHOUSE
    • Software License - $?
    • Hardware - $?
    • Consultancy - $?
    (Typical Cost $1-2m)
    INSIGHT PRE
    PACKAGED APPS
    RECOGNISED BI PACKAGE
    • Software License - $?
    • Consolidation - $?
    • Consultancy - $?
    CONSOLIDATION
    DASHBOARDS, KPI’S, FTP
    ON DEMAND REPORTING
    CORPORATE BRANDING
    COST ALLOCATION
    REPORTING & METRICS - $?
    FTP - $?
    COST ALLOCATION - $?
    TRANSACTION BASED COSTING - $?
  • Source - IBS Journal Case Studies – October 2010/Issue 20.2
    Mees Pierson Guernsey & Curacao (Temenos T24 Client)
    Have had a number of ‘attempts’ of implementing BI
    Customer Profitability & Account Officer New Business
    TM1 tool from COGNOS (now IBM’s analytics division)
    Resulted in the IT departments biggest failure to deliver
    Insight evaluated – Signed June 2009
    Phase 1 Customer Revenue (out-of-the-box solution)
    Phase 2 AUM (bespoke development) & KPI’s
  • Basel II framework fully supported by Insight Risk
  • Basel II module
    Slide 12
    Implementation
    In 90 days
    Insight Risk’s Basel II module permits our customers to set up a flexible Basel II framework in order to:
    • Calculate regulatory capitals for credit, market and operational risks
    • Exposures types
    • Regulatory Risk weights
    • Credit Rating (S&P, credit scoring engines...)
    • Credit risk mitigation engine (simple/comprehensive)
    • Home/host regulation
    • Simulate the Credit concentration risk (stress test)
    • Perform the Basel II reporting
  • Regulatory Capital engine
    Slide 13
    Market Risk
    Credit Risk
    External rating
    Standardised
    Standardised
    Sum of the building blocks
    Scope
    TradingBook
    BankingBook
    Fixed income
    Equity
    Commodities
    Currencies
    $100ml loan X 20% (AAA) X 8% capital= $1.6 ml
    Commodities
    Currencies
    $100ml loan X 100% (BB-) X 8% capital= $8 ml
    Claim type
    Internal Model (IMA)
    Foundation IRB
    Internal estimate
    Stress testing
    Qualitative Requirement
    Back testing
    Green: <5 exceptions
    Yellow: 5-9
    Red: 10+
    • 10 day horizon
    • 99% confidence
    • One year of data
    • Quaterly updating
    VaR
    3 elements (IRB):
    Risk components
    Risk weights functions
    Minimum requirement
    EAD
    PD
    M
    LGD
    Operational Risk
    Advanced IRB
    Basic Indicador Approach
    Credit Risk Mitigation
    K Op BIA= Last 3years Rev/3 X 12.5%
    Comprehensive approach:
    Reduce exposure by collateral (+ haircuts)
    Simple approach:
    RW on collaterals for Sec
    RW on counterparty for Unsec
    Standardised Approach
    BIA with Business unit segmentation and RW
    AMA
  • Market Analytics module
    Assess trading book exposures and perform advanced analytics
    Functionality Includes
    Yield Curve Modelling
    Calculation of Volatilities from history
    Calculation of Correlations from history
    Covariance based VaR – Online at any level
    Historical VaR
    Monte Carlo VaR
    Incremental VaR
    Marginal VaR
    Stress Testing
    Back Testing
    Pricing Tools
    Implementation depends upon Bank’s complexity and policies
    RWA calc:
    Internal models approach
    Insight-Risk calculates covariance based VaR on a certain horizon with a confidence level of 99.9% (10 days VaR under Basel II) and applies the regulator factor to determine the corresponding Capital Charge.
    Slide 14
    Implementation
    In 120 days
  • ALM
    The ALM module allows the bank to compute the bank exposure to interest rates, liquidity, inflation index and sensitivity to FX risk.
    Functionalities:
    Time buckets definition
    GAP analysis
    Past and future net interest income (NII)
    Maturity Pattern of Deposits and Advances and Cash Flow Mismatch
    Slide 15
    Implementation
    In 90 days
  • Thank you