Stress Testing x David Mermelstein de SAS
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Stress Testing x David Mermelstein de SAS

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En el encuentro del 18/8/11 David Mermelstein, especialista SAS, mostró metodología integrada de tratamiento de riesgos bancarios y stress testing. Además mostró ejemplos/demos de SAS Risk ...

En el encuentro del 18/8/11 David Mermelstein, especialista SAS, mostró metodología integrada de tratamiento de riesgos bancarios y stress testing. Además mostró ejemplos/demos de SAS Risk Dimensiones, solución SAS para manejo integrado de riesgos bancarios. (ver demos en www.youtube.com/analyticsconosur

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Stress Testing x David Mermelstein de SAS Stress Testing x David Mermelstein de SAS Document Transcript

  • Stress testing financiero David A. Mermelstein SAS INSTITUTE ARGENTINA david.mermelstein@sas.com Agosto 2011 Copyright © 2010 SAS Institute Inc. All rights reserved. Agenda De los escenarios tipo “business as usual” a los escenarios de estrés financiero ¿Qué es stress-testing? Metodologías y buenas prácticas Soluciones SAS para gestión de riesgos y stress-testing: SAS Risk Management for Banking ® » Características » Cumplimiento regulatorio: La reciente com A 5203 del BCRA SAS Risk Dimensions ® » Características » Ejemplos Consideraciones finales 2 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 1
  • Agenda De los escenarios tipo “business as usual” a los escenarios de estrés financiero ¿Qué es stress-testing? Metodologías y buenas prácticas Soluciones SAS para gestión de riesgos y stress-testing: SAS Risk Management for Banking ® » Características » Cumplimiento regulatorio: La reciente com A 5203 del BCRA SAS Risk Dimensions ® » Características » Ejemplos Consideraciones finales 3 Copyright © 2010, SAS Institute Inc. All rights reserved. Escenas de un lunes negro (08/08/2011) 4 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 2
  • Titulares financieros de estos días… EU banks might have to raise €29 billion, Goldman says A survey by Goldman Sachs Group shows that the 91 banks in the EU that were subjected to stress tests this year might have to raise €29 billion. Nine of the banks could fail, Goldman analysts said in a report. "A month ahead of the results release, there appears to be little consensus about how much might have to be raised and what the impact will be," the analysts wrote. Bloomberg (06 Jun.) 5 Copyright © 2010, SAS Institute Inc. All rights reserved. Titulares financieros de estos días… European bank "fragilities" complicate Greek crisis, Rehn says Olli Rehn, the EUs economic and monetary affairs commissioner, said efforts to resolve Greeces sovereign- debt crisis are complicated by a regulatory failure to require European banks to raise enough capital to weather a default. A Greek default is not an option, Rehn said, because of "fragilities" of the regions banking system. However, others are voicing concerns that officials are delaying the inevitable, which could result in additional economic pain. Bloomberg (07 Jun.) 6 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 3
  • Colas pesadas, riesgos extremos, cisnes negros, y la necesidad del análisis de escenarios 7 Copyright © 2010, SAS Institute Inc. All rights reserved. Cuando el escenario de “business as usual” no alcanza • Mercados con volatilidad histórica poco representativa, sometidos a eventos discretos (jumps) • Ausencia de información histórica • Mercados con cambios estructurales importantes (ej. devaluación) • Mercados en tendencias no sostenibles (ej. burbujas) • Instrumentos con respuestas no lineales a precios con factores de riesgo no capturados por un modelo VaR (ej. volatilidad implícita en opciones) 8 8 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 4
  • Agenda De los escenarios tipo “business as usual” a los escenarios de estrés financiero ¿Qué es stress-testing? Metodologías y buenas prácticas Soluciones SAS para gestión de riesgos y stress-testing: SAS Risk Management for Banking ® » Características » Cumplimiento regulatorio: La reciente com A 5203 del BCRA SAS Risk Dimensions ® » Características » Ejemplos Consideraciones finales 9 Copyright © 2010, SAS Institute Inc. All rights reserved. Definiendo la práctica de stress-testing Consiste en someter la valuación de los portafolios a condiciones macro-financieras extremadamente adversas, pero plausibles, y estimar el impacto en los KRI de la entidad Permite entender, cuantificar y manejar los diversos riesgos a los que se tiene exposición. Incluso cuando la mayoría de los escenarios de estrés nunca se materializarán, se debería contar con planes de contingencia para enfrentarlos. 10 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 5
  • Tres preguntas básicas en stress-testing ¿Cuánto se puede perder ante ciertos escenarios? ¿Bajo qué escenario se sufrirían pérdidas mayores a cierto umbral? ¿Qué grado de vulnerabilidad se enfrenta frente a dichos escenarios y, eventualmente cómo mitigar? 11 11 Copyright © 2010, SAS Institute Inc. All rights reserved. Características clave Provee información detallada de la cola de las distribuciones de P&L Complementa el análisis estadístico tradicional e incorpora juicio experto Funciona como sistema de alertas tempranas Permite acciones y mitigantes “forward looking” contra eventuales faltantes de liquidez y capital 12 12 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 6
  • Agenda De los escenarios tipo “business as usual” a los escenarios de estrés financiero ¿Qué es stress-testing? Metodologías y buenas prácticas Soluciones SAS para gestión de riesgos y stress-testing: SAS Risk Management for Banking ® » Características » Cumplimiento regulatorio: La reciente com A 5203 del BCRA SAS Risk Dimensions ® » Características » Ejemplos Consideraciones finales 13 Copyright © 2010, SAS Institute Inc. All rights reserved. Stress-testing en 4 grandes pasos 1. Determinar factores de riesgo y especificarlos en variables de impacto. 2. Estimar los escenarios macro-financieros eventuales para el horizonte temporal de análisis. 3. Para cada escenario, simular la valuación de los instrumentos en cartera, incorporando efectos de riesgo de mercado, crédito, ALM, e incluso operativos, contemplando efectos de correlación. 4. Agregar los resultados y generar una función de distribución de pérdidas. 14 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 7
  • Enfoques metodológicos Dos clases principales: Análisis de sensibilidad: ¿En qué medida cambia el valor del portafolio ante cambios en un factor de riesgo/parámetro? Análisis de escenarios: ¿Cómo impacta en el valor del portafolio la materialización de cierto escenario de estrés? Escenarios Top-down vs. Bottom-up 15 15 Copyright © 2010, SAS Institute Inc. All rights reserved. Alternativas metodológicas construyendo escenarios Hipotético: Juicio experto Evento: Utilizar parámetros de un evento extremo real ocurrido en el pasado (Event risk) Híbridos: Movimientos extremos históricos, no vinculados a un evento de crisis puntual «Reverse stress testing» Simulación: Utilizar modelos macroeconométricos y/o métodos de Monte Carlo para realizar simulaciones estocásticas de los drivers fundamentales. Complementar con “modelos satélite”. 16 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 8
  • Ejemplos de eventos y sus disparadores 1973: First oil crisis – increase of oil prices by OPEC 1979: Second oil crisis – cut of Iranian oil supply 1987: Black Monday – stock market crash in the US 1991: Gulf war – oil price increase 1992: European Monetary System crisis – weak currency speculation 1995: Tequila crisis – Mexican current account deficit 1997: East Asian crisis – US dollar peg cutting 1998: LTCM – Russian Debt & Currency spur LTCM collapse 2001: September 11 – terrorist attacks in the US 2001: .com Tech Equities Bubble 2007–08: Sub-prime mortgages crisis – rise in home foreclosures 2010: Sovereign Debt Crisis 17 17 Copyright © 2010, SAS Institute Inc. All rights reserved. Enfoque de stress-testing propuesto en Mermelstein (2009), y ADB (2010) Los fundamentals macroeconómicos Fuente: ADB (2010) 18 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 9
  • Enfoque de stress-testing propuesto en Mermelstein (2009), y ADB (2010) Los fundamentals macroeconómicos (cont.) Fuente: ADB (2010) 19 Copyright © 2010, SAS Institute Inc. All rights reserved. Enfoque de stress-testing propuesto en Mermelstein (2009), y ADB (2010) Variables «gatillo» en momentos de estrés Fuente: ADB (2010) 20 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 10
  • Enfoque de stress-testing propuesto en Mermelstein (2009), y ADB (2010) Factores de riesgo (drivers) Fuente: ADB (2010) 21 Copyright © 2010, SAS Institute Inc. All rights reserved. Enfoque de stress-testing propuesto en Mermelstein (2009), y ADB (2010) Factores de riesgo (drivers) (cont.) Fuente: ADB (2010) 22 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 11
  • Enfoque de stress-testing propuesto en Mermelstein (2009), y ADB (2010) El balance «estilizado» de la entidad Fuente: ADB (2010) 23 Copyright © 2010, SAS Institute Inc. All rights reserved. Enfoque de stress-testing propuesto en Mermelstein (2009), y ADB (2010) Estructura del modelo Fuente: ADB (2010) 24 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 12
  • Enfoque de stress-testing propuesto en Mermelstein (2009), y ADB (2010) Esquema general del modelo 25 Copyright © 2010, SAS Institute Inc. All rights reserved. Características necesarias para todo ejercicio de stress-testing Relevancia respecto a la situación/ operaciones de la firma Realismo respecto al escenario macro-financiero, con enfoque «forward looking» Consistencia interna entre los factores de riesgo modelizados Granularidad suficiente Plasmar hechos estilizados de los mercados: colas pesadas, estacionariedad/mean-reverting, jumps, volatility clustering, evolución de la liquidez, estacionalidades, correlaciones dinámicas, etc. 26 26 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 13
  • Aspectos organizacionales Comité de stress-testing: Poner frente a frente a los que toman y los que miden los riesgos para plasmar sus puntos de vista en los escenarios Definir reportes y sus contenidos Fijar límites, responsables de accionar sobre dichos límites Planes de contingencia y cursos de acción frente a escenarios 27 27 Copyright © 2010, SAS Institute Inc. All rights reserved. Una buena práctica de stress-testing debería permitir: Flexibilidad para desarrollar análisis de escenarios y de sensibilidad tanto en forma bottom-up como top-down Posibilidad de implementar stress-tests integrados a distintos niveles organizacionales (ej. unidades de negocio, firmwide, etc.) y a través de los distintos tipos de riesgos (ej. mercado, crédito, NII, liquidez, etc.) Satisfacer requerimientos regulatorios/ratings Aplicar las evaluaciones a medidas de performance usuales (ej. RAROC) Fijar límites de exposición en estrés e integrarlos con los otros límites Transparencia y trazabilidad de los ejercicios Comunicación al board y al senior management diaria 28 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 14
  • Stress Testing: Enfoque holístico Desde el enfoque de silos… Stress Factor Stress Factor Stress Factor … Stress Factor Retail/Mortgage Investment Banking Treasury & C&I Credit Risk … Credit Risk Market Risk Liquidity risk Economic Capital Economic Capital Stressed VaR … Earnings at Risk hacia un enfoque integral… Stress and scenario tests Retail/Mortgage Investment Banking Treasury & C&I Credit Risk Credit Risk Market Risk … Liquidity risk Risk exposure 29 Copyright © 2010, SAS Institute Inc. All rights reserved. Integración micro-macro Yesterday – Today - Tomorrow Reporting/Management Portfolio 1 Portfolio 2 Portfolio 3 Portfolio 4 Market Risk Rep-Risk Liquidity Credit Risk Oper. Risk xx-Risk Scenario Generator Micro economic & Macro-economic/external factors Financial Market endogenous factors Labour Market Productivity Environment ….. 30 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 15
  • Agenda De los escenarios tipo “business as usual” a los escenarios de estrés financiero ¿Qué es stress-testing? Metodologías y buenas prácticas Soluciones SAS para gestión de riesgos y stress-testing: SAS Risk Management for Banking ® » Características » Cumplimiento regulatorio: La reciente com A 5203 del BCRA SAS Risk Dimensions ® » Características » Ejemplos Consideraciones finales 31 Copyright © 2010, SAS Institute Inc. All rights reserved. 32 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 16
  • SAS Banking Solutions Architecture Banking Customer Credit Risk Analytics Analytics Scoring Management Architecture for Banking for Banking for Banking Detail Data Store for Banking 33 Copyright © 2010, SAS Institute Inc. All rights reserved. SAS Risk Management for Banking Riesgos Financieros SAS® Risk Management for Banking: Riesgos Financieros 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 Riesgo de Liquidez Redes Sociales Data Management – Data Models & Flows – DDS & Data Marts Sistemas Fuente de Información Enterprise Data Warehouse Sistemas Transaccionales Otros Sistemas de Riesgo 34 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 17
  • SAS Market Risk for Banking Market Credit Risk Risk Simulation approach Model based ALM Firmwide Risk Empirical based Analytical approach Delta Normal approximation Sensitivity approach Delta, gamma, vega, theta …(“Greeks”) Scenario approach Stress test Decision making – portfolio optimization 35 Copyright © 2010, SAS Institute Inc. All rights reserved. SAS Market Risk for Banking Market Credit Risk Risk Value complex market instruments Perform stress tests and calculate VaR, expected ALM Firmwide shortfall and other risk measures using a variety of Risk methods Historical simulation, covariance simulation, analytical models and advanced user-defined models. Decompose portfolio risk in additive risk contributions, and analyze the relative importance of risk factors in determining portfolio loss. Perform back tests and scenario tests of the model. Analyze the effect of static and dynamic hedges and trade strategies, and determine optimal portfolios 36 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 18
  • SAS Credit Risk for Banking Market Credit Risk Risk Exposure calculation Current exposure ALM Firmwide Risk Potential exposure Scenario exposure Actuarial model Structural factors model Dynamic transition matrix model Portfolio Optimization 37 Copyright © 2010, SAS Institute Inc. All rights reserved. SAS Credit Risk for Banking Market Credit Risk Risk Calculate and stress test credit exposures, taking into account the effect of netting, collateral and margining, as ALM Firmwide well as credit derivatives book. Risk Perform advanced simulation of potential future exposure. Calculate portfolio credit risk measures using advanced portfolio credit risk models, such as actuarial models, multivariate Merton models and reduced form stochastic transition matrix models. Optimize the credit portfolio with respect to assets held or collateral needed or both. Credit Portfolio Management Credit Risk+ Credit Metrics KMV 38 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 19
  • SAS Asset and Liability Management for Banking Model and value traditional balance-sheet instruments, such as loans and deposits, and their associated (off balance) hedges Include options such as prepayment and withdrawal Maturity mismatch analysis (Current | Simulation | Scenario) Repricing mismatch analysis (Current | Simulation | Scenario) Market Credit Risk Risk Duration analysis Analyze optimal cash flow replication hedges ALM Firmwide Fund Transfer Pricing (risk spreads – ej. Liquidity, credit) Risk Stress testing & modeling of liquidity risk, NII & economic value Re-investment method of matured asset cash flows and recoveries Model customer choice of asset reset time Model customer choice of funding volumes (non-maturing liabilities) 39 Copyright © 2010, SAS Institute Inc. All rights reserved. Snapshot of Traditional Vs. Advanced Net Cumulative Gap Profile Traditional Liquidity Risk Management: 100 80 Time to a. Runoff Liquidity Gaps 60 insolvency 40 b. Liquidity Ratios 20 0 -20 1 D 8D 14 D 1M 3M 1Y 3Y 6Y 10 Y Now, focus on going concern behavioral modeling -40 under stress scenarios! -60 a. Modeling Net Funding Requirements of Encumbered Assets and Liabilities Reduced Cash Increased Cash Net Funding inflows Less outflows Requirements Business operations + Business operations + Maturing assets + Maturing liabilities + Early asset puts + Early liability calls + Assets pledged + Off balance sheet Credit lines (standby) + commitments + Derivative positions Derivative positions b. Counterbalancing Capacity comprising of Unencumbered Assets c. Periodic Simulation of Contingency Funding Plan 40 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 20
  • Gaps de liquidez probabilísticos Modeled Dynamic Evolution Component 1 2 3 4 41 Copyright © 2010, SAS Institute Inc. All rights reserved. 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) 42 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 21
  • 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 43 Copyright © 2010, SAS Institute Inc. All rights reserved. SAS Firmwide Risk for Banking Market Credit Risk Risk Correlated risk aggregation approach Correlated approach (Multi-normality assumption) ALM Firm wide Risk 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 off- balance-sheet items. (i.e. Risk adjusted profitability (RAROC)) Sample economic capital calculations provided 44 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 22
  • 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 45 Copyright © 2010, SAS Institute Inc. All rights reserved. Reporting 46 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 23
  • SAS Risk Management for Banking Standard Market Risk Analysis 47 Copyright © 2010, SAS Institute Inc. All rights reserved. SAS Risk Management for Banking Standard Market Risk Analysis Reporting 48 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 24
  • SAS Risk Management for Banking Standard Market Risk Cubes 49 Copyright © 2010, SAS Institute Inc. All rights reserved. 50 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 25
  • Duration Report 51 Copyright © 2010, SAS Institute Inc. All rights reserved. Net Interest Income 52 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 26
  • Balance Sheet Forecast 53 Copyright © 2010, SAS Institute Inc. All rights reserved. Re-pricing Gap 54 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 27
  • Earnings at Risk 55 Copyright © 2010, SAS Institute Inc. All rights reserved. Economic Value 56 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 28
  • FTP 57 Copyright © 2010, SAS Institute Inc. All rights reserved. Portfolio Optimization 58 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 29
  • SAS Information Delivery Portal 59 Copyright © 2010, SAS Institute Inc. All rights reserved. SAS Risk Management for Banking 60 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 30
  • Agenda De los escenarios tipo “business as usual” a los escenarios de estrés financiero ¿Qué es stress-testing? Metodologías y buenas prácticas Soluciones SAS para gestión de riesgos y stress-testing: SAS Risk Management for Banking ® » Características » Cumplimiento regulatorio: La reciente com A 5203 del BCRA SAS Risk Dimensions ® » Características » Ejemplos Consideraciones finales 61 Copyright © 2010, SAS Institute Inc. All rights reserved. Algunos tópicos de la comunicación A5203 Modelización y gestión integral de riesgos financieros Análisis de escenarios Pruebas de estrés Responsabilidades, roles y políticas Sistemas: Medir exposiciones vigentes y las que puedan surgir Evaluar riesgos asociados a activos, pasivos, y posiciones fuera del balance Utilizar conceptos financieros y técnicas de medición generalmente aceptados Incorporar todas las posiciones relevantes en tiempo y forma Considerar todas las fuentes significativas de riesgo Considerar el uso de escenarios múltiples Considerar exposiciones en diferentes monedas Reporting – Dashboards - Alertas tempranas Las soluciones SAS proveen de todas las características regulatorias exigidas, además de funcionalidades adicionales que están a la vanguardia en lo que hace a riesgos financieros 62 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 31
  • Market Risk Management Regulaciones locales (Com “A” 5203) 63 Copyright © 2010, SAS Institute Inc. All rights reserved. Example: local regulation requirements Interest Rate Risk Capital Calculation (Com ‘A’ 3959) Market Risk Capital Calculation (Com ‘A’ 3959) 64 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 32
  • Example: local regulation requirements Market Risk: embedded option measures 65 Copyright © 2010, SAS Institute Inc. All rights reserved. Example: local regulation requirements Market Risk: embedded options valuation model 66 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 33
  • SAS RMfB ofrece lo exigido por la regulación y mucho más The capabilities that are mentioned in the rules are Value at Risk: specific calculation methodology is undefined but we assumed is historical simulation VaR. The 10 day and “at least 99% confidence” requirement is standard. SAS Market Risk supports historical simulation, covariance simulation, analytical models and advanced user-defined models. Job Name: MARKET_ANALYSIS Sensitivities: the ruling mentions Gamma and Vega as the two sensitivity measures to be calculated for bonds, equity and foreign exchange portfolios. SAS Market Risk calculates Delta, Gamma and Theta out of the box. Job name: SENS_GREEKS — Greeks sensitivity analysis. Embedded option valuation: the rules only refer to the Black Scholes model. SAS Market Risk supports European embedded option interest rate models that include Ho-Lee, Hull-White, Black-Karasinski, Vasicek and Black. Only Hull-White pricing is supported for American options. 67 Copyright © 2010, SAS Institute Inc. All rights reserved. Liquidity Risk Management Local definitions (Com “A” 5203) 68 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 34
  • Liquidity Risk Management Local definitions (Com “A” 5203) 69 Copyright © 2010, SAS Institute Inc. All rights reserved. Example: local regulation requirements Liquidity Risk: concepts 70 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 35
  • Example: local regulation requirements Liquidity Risk: concepts 71 Copyright © 2010, SAS Institute Inc. All rights reserved. Example: local regulation requirements Liquidity Risk: concepts 72 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 36
  • Example: local regulation requirements Liquidity Risk: concepts 73 Copyright © 2010, SAS Institute Inc. All rights reserved. Example: local regulation requirements Liquidity Risk: concepts 74 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 37
  • Example: local regulation requirements Liquidity Risk: concepts 75 Copyright © 2010, SAS Institute Inc. All rights reserved. Example: local regulation requirements Liquidity Risk: concepts 76 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 38
  • ALM Requirements vs. SAS Tool / Engine Group Capabilities Liquidity Static and Dynamic Gaps Liquidity & Repricing Earnings NII, EaR Economic Value NPV & VaR Stress Testing Single and multifactor stress testing Reports Out of the box and customized Limit Management Optimization & Reporting 77 77 Copyright © 2010, SAS Institute Inc. All rights reserved. Agenda De los escenarios tipo “business as usual” a los escenarios de estrés financiero ¿Qué es stress-testing? Metodologías y buenas prácticas Soluciones SAS para gestión de riesgos y stress-testing: SAS Risk Management for Banking ® » Características » Cumplimiento regulatorio: La reciente com A 5203 del BCRA SAS Risk Dimensions ® » Características » Ejemplos Consideraciones finales 78 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 39
  • SAS Risk Dimensions ® MDDBs Output datasets Reportes 79 Copyright © 2010, SAS Institute Inc. All rights reserved. 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. 80 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 40
  • SAS Risk Analytics – Risk Dimensions 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++ 81 Copyright © 2010, SAS Institute Inc. All rights reserved. Pre-configured Analytics Analytical methods Simulation methods » Covariance matrix » Historical » Monte-Carlo » EVT models » Mixed Sim. Method » Copula ALM type analysis Cash flow analysis Advanced portfolio optimization Credit exposure & netting Performance attribution and Risk adjusted Performance Backtesting Trading rules (cash account) within simulation horizons 82 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 41
  • Flexible Model / MC Engine Modelling subsystem based on SAS/ETS module Can be driven by GUI, code or a combination thereof Analyzes general systems of nonlinear models Advanced solve and estimation methods Advanced MC and forecast capabilities Standard time series models GBM, ARCH, GARCH, Vasicek, Mean Reversion, Jump Diffusion In-house developed models Correlation between risk factors using copula functionality Covariance matrix estimation 83 Copyright © 2010, SAS Institute Inc. All rights reserved. Example: GUI features Interactive risk analysis Interactive graphics & hierarchy drill-down » RF contributions » Exposure profiles » .. Model analyzer Curve analyzer SAS/Insight 3D analysis ….. 84 84 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 42
  • Pricing and method structure Advanced subsystem for pricing integration and building customized analysis SAS code SAS built in functs C, C++ Method structure RF transformation Counterparty rating Instrument pricing Mitigation Post-processing 85 Copyright © 2010, SAS Institute Inc. All rights reserved. Risk Dimensions process overview Scenario methods Method structure Analysis results Supporting analytics Model based SAS functions, procedures, libraries, C interface,… Covariance matrix Fitted models SAS data set Risk factor MDDB transformation Instrument ......... OLAP Non-model input based Counterparty User defined reports method Historical User scenario/stress Pre-defined Registered test processes reports RF curve/surface Delta-normal, VaR, ES, Cash flow analysis, ALM, portfolio optimization, …. 86 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 43
  • Pre-Configured Risk Applications Robust Modeling Methodology Library Stress Tests can utilize any number of methodologies Simulation & Time Series Methods Covariance matrices Historical simulation Monte Carlo engine Arma: Arch/Garch Proprietary user defined models Interest Rate Vasicek Model Option Pricing Black-Scholes CRR Binomial Trees Exposure Stochastic collateral modeling Counterparty Netting Credit Migration & Default Modeling Merton Models Actuarial Models Structural Factors Markov Processes Stochastic Mitigation Modeling Risk Aggregation Methodology Copula based risk aggregation 87 Copyright © 2010, SAS Institute Inc. All rights reserved. Algunos tipos de instrumentos financieros soportados Warrant Double barrier options Swaption Extendible options Asian options Extreme Spread options Barrier options Forward start options Binary barrier options Hindsight options Binary options Lookback options Chooser options Power options Compound options Reset options Double binary barrier options Soft barrier options Supershare options 88 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 44
  • SAS Risk Dimensions GUI 89 Copyright © 2010, SAS Institute Inc. All rights reserved. SAS Risk Dimensions – Ciclo de modelización 90 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 45
  • SAS Risk Dimensions – Análisis, post-procesamiento & Reporting 91 Copyright © 2010, SAS Institute Inc. All rights reserved. Agenda De los escenarios tipo “business as usual” a los escenarios de estrés financiero ¿Qué es stress-testing? Metodologías y buenas prácticas Soluciones SAS para gestión de riesgos y stress-testing: SAS Risk Management for Banking ® » Características » Cumplimiento regulatorio: La reciente com A 5203 del BCRA SAS Risk Dimensions ® » Características » Ejemplos Consideraciones finales 92 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 46
  • Agenda De los escenarios tipo “business as usual” a los escenarios de estrés financiero ¿Qué es stress-testing? Metodologías y buenas prácticas Soluciones SAS para gestión de riesgos y stress-testing: SAS Risk Management for Banking ® » Características » Cumplimiento regulatorio: La reciente com A 5203 del BCRA SAS Risk Dimensions ® » Características » Ejemplos Consideraciones finales 93 Copyright © 2010, SAS Institute Inc. All rights reserved. Consideraciones finales • Cumplir con los requisitos regulatorios actuales y anticiparse a los futuros • Generar análisis y reportes para una gestión mas proactiva y asertiva de escenarios de Objetivos stress • Pasar de la metodología manual y ad-hoc a una gestión proactiva de escenarios de stress • Incorporar factores de stress de riesgo (macroeconómicos, propios de los portafolios, etc.) que se reflejen en impactos en los estados financieros e índices de capitalización • Romper con los análisis fragmentados por tipo de riesgo (crédito, mercado, liquidez y Desafíos operacional) • Proceso manual de extracción, transformación y carga de datos • Habilidad para integrar los distintos tipos de riesgos en una sola aplicación (riesgo de crédito, mercado, liquidez y operacional) • Habilidad para generar simulaciones basadas en escenarios regulatorios y propios Requerimientos • Automatizar el proceso de captura de datos para generación de modelos y reportes • Ampliar el uso de escenarios de stress para la gestión interna y no solo para cumplimiento regulatorio • Contar con una calculadora avanzada que permita ingresar valores de factores de riesgo, actualizarlos y generar automáticamente información financiera estresada Beneficios • Potenciar el uso de herramientas de BI avanzadas así como el uso de Microsoft Office para reportes internos y externos 94 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 47
  • Preguntas… 95 Copyright © 2010, SAS Institute Inc. All rights reserved. ¡ Muchas gracias ! david.mermelstein@sas.com Referencias: Mermelstein, David A. (2009) «Hacia un indicador de vulnerabilidad bancaria basado en en pruebas de estrés (stress-testing)», Master in Finance’s final essay, mimeo. Kiguel M., Loser C. y D. A. Mermelstein (2010) «A Macroprudential Framework for the Early Detection of Banking Problems in Emerging Economies», Working paper Nro. 44, Working Paper Series on Regional Economic Integration, Asian Development Bank, March. 96 Copyright © 2010, SAS Institute Inc. All rights reserved.Copyright © 2010, SAS Institute Inc. All rights reserved. 48