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Copyright © 2014, SAS Institute Inc. All rights reserved.
make connections • share ideas • be inspired
Asset Liability
Man...
Copyright © 2012 SAS Institute Inc. All rights reserved.
Asset Liability Mangement – Key Considerations
• Data Governance
...
Copyright © 2012 SAS Institute Inc. All rights reserved.
Data Management
 Month End New Data
Portfolio and Market Data
Co...
Copyright © 2012 SAS Institute Inc. All rights reserved.
New Business Assumptions
 New Business Volumes and Rates
New bus...
Copyright © 2012 SAS Institute Inc. All rights reserved.
Cash Flow Analysis & Optimization
 Base Case
 Scenario
 Simula...
Copyright © 2012 SAS Institute Inc. All rights reserved.
Liquidity Risk
 Basel III Ratios
 Scenarios
•Deposit runoff sce...
Copyright © 2012 SAS Institute Inc. All rights reserved.
Behavioral Modelling & Liquidity
• Statistical methodology to
est...
Copyright © 2012 SAS Institute Inc. All rights reserved.
Behavioral Modelling Workbench
Copyright © 2012 SAS Institute Inc. All rights reserved.
Behavioral Model - Prepayments
Interest Rates
Risk Drivers
Model ...
Copyright © 2012 SAS Institute Inc. All rights reserved.
Behavioral Model – Core / Non Core
Interest Rates
Risk Drivers
Mo...
Copyright © 2012 SAS Institute Inc. All rights reserved.
FTP & Profitability
 Methodologies
Matched Maturity, WAL,
Durati...
Copyright © 2012 SAS Institute Inc. All rights reserved.
Risk Aggregation and ERM
Data Management – Data Models and Data F...
Copyright © 2012 SAS Institute Inc. All rights reserved.
SAS RISK MANAGEMENT FOR BANKING
Data Management – Data Models and...
Copyright © 2010, SAS Institute Inc. All rights reserved.
make connections • share ideas • be inspired
Copyright © 2014, S...
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Asset Liability Management

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Through this presentation, Mr. Vineet Khanna, Director - Practices, SAS India; talks about the key considerations for ALM, need for data management, analytics and optimisation.

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Transcript of "Asset Liability Management"

  1. 1. Copyright © 2014, SAS Institute Inc. All rights reserved. make connections • share ideas • be inspired Asset Liability Management Vineet Khanna
  2. 2. Copyright © 2012 SAS Institute Inc. All rights reserved. Asset Liability Mangement – Key Considerations • Data Governance • Data Integrity • Models • Processes • Documentation • Static NII, Repricing gaps, Economic value, duration convexity, projected balance sheet EV • Scenarios • Simulated values at risk values (NII, EVE), Data Handling FTP & Profitability Cash Flow Analysis & Optimization • Methodologies • Add on Costs Credit OAS Capital Cost Overheads • Period End Data Portfolio & Market GL Recon Behavioural Assumptions • New Business Templates Volume & Rates New Products Chart of Accounts • OutputData Asset Liability Management Liquidity Risk & Behavioural Models
  3. 3. Copyright © 2012 SAS Institute Inc. All rights reserved. Data Management  Month End New Data Portfolio and Market Data Correct errors Reviewing behavioral assumptions  Tying back to GL  New products  Behavioral Assumption Decay / Volume Curves / Draw Downs / Roll Overs
  4. 4. Copyright © 2012 SAS Institute Inc. All rights reserved. New Business Assumptions  New Business Volumes and Rates New business templates behavioral assumptions  Adding new product  Reviewing Chart of Accounts Creating / Updating Mappings portfolios  Run Analysis  Output data checks # exposure (in vs. out) Market data (base case and simulated states) Review analysis log files
  5. 5. Copyright © 2012 SAS Institute Inc. All rights reserved. Cash Flow Analysis & Optimization  Base Case  Scenario  Simulation Based  Optimization  Stress Testing
  6. 6. Copyright © 2012 SAS Institute Inc. All rights reserved. Liquidity Risk  Basel III Ratios  Scenarios •Deposit runoff scenarios •Risk factor scenarios •Scenario cash flows •Haircuts on asset values • Intraday Liquidity Risk • Behavioral Models
  7. 7. Copyright © 2012 SAS Institute Inc. All rights reserved. Behavioral Modelling & Liquidity • Statistical methodology to estimate future client behaviour. •Linear Regression, Logistic Regression •Time Series – AR, MA, ARMA, ARIMA, ARCH, GARCH, ARIMAX •Hazard Rate Models •Monte Carlo Simulation, Historical Simulation •Delta Normal (Analytical) Simulation •Trigger and Threshold Models • Adjust contractual cashflows to reflect the mostly likely client behaviour. • Transform results of these models into estimated cashflows ASSETS Prepayments Draw-downs Roll-over New Business LIABILITIES Core / Non-core Early redemption Roll-over New Business Administered Rates
  8. 8. Copyright © 2012 SAS Institute Inc. All rights reserved. Behavioral Modelling Workbench
  9. 9. Copyright © 2012 SAS Institute Inc. All rights reserved. Behavioral Model - Prepayments Interest Rates Risk Drivers Model Strategy Macro Factors Client Characteristics Endogenous Pre - Endogenous Discriminatory ∑ Prepayment_value1 ----------------------------- ∑ Asset_value1 Target Variable ContinuousTarget Variable Type Linear RegressionModel Type
  10. 10. Copyright © 2012 SAS Institute Inc. All rights reserved. Behavioral Model – Core / Non Core Interest Rates Risk Drivers Model Strategy Macro Factors Confidence Indices Endogenous Endogenous Endogenous Core ----------------------------- Total Target Variable ContinuousTarget Variable Type Historical Simulation / Linear Regression / Trigger ModelModel Type
  11. 11. Copyright © 2012 SAS Institute Inc. All rights reserved. FTP & Profitability  Methodologies Matched Maturity, WAL, Duration, Cash flow etc  Costs • Credit spread • Option-adjusted spread • Capital cost spread
  12. 12. Copyright © 2012 SAS Institute Inc. All rights reserved. Risk Aggregation and ERM Data Management – Data Models and Data Flows – DDS and Data Marts Trading Systems Core Banking Loan Origination >>> Mark to Market Portfolio Credit Risk Risk Aggregation Market Risk Credit Risk ALM Firm-wide Risk Scenario Analysis, Risk (VaR) Calculation Market Portfolio Optimization Counterparty Exposure Credit Portfolio Optimization Cash Flow Optimization Economic Value Calculation Firmwide Risk Analysis Firmwide Portfolio Optimization Application Common: Reconciliation, Portfolio Segmentation, Backtesting Risk Reporting Data Model SAS Risk Clients: Business User and Analytical Risk Users Executive Risk Portal Add-in for MS Office Other SAS Clients Cash Flow Analysis, FTP and Liquidity Risk Common Risk Foundation: Pricing Models, Cash Flow Models and Methods
  13. 13. Copyright © 2012 SAS Institute Inc. All rights reserved. SAS RISK MANAGEMENT FOR BANKING Data Management – Data Models and Data Flows – DDS and Data Marts Trading Systems Core Banking Loan Origination >>> Mark to Market Portfolio Credit Risk Risk Aggregation Market Risk Credit Risk ALM Firm-wide Risk Scenario Analysis, Risk (VaR) Calculation Market Portfolio Optimization Counterparty Exposure Credit Portfolio Optimization Cash Flow Optimization Economic Value Calculation Firmwide Risk Analysis Firmwide Portfolio Optimization Application Common: Reconciliation, Portfolio Segmentation, Backtesting Risk Reporting Data Model SAS Risk Clients: Business User and Analytical Risk Users Executive Risk Portal Add-in for MS Office Other SAS Clients Cash Flow Analysis, FTP and Liquidity Risk Common Risk Foundation: Pricing Models, Cash Flow Models and Methods
  14. 14. Copyright © 2010, SAS Institute Inc. All rights reserved. make connections • share ideas • be inspired Copyright © 2014, SAS Institute Inc. All rights reserved. Vineet.Khanna@sas.com

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