SAS Capital Requirements for Market Risk enables banks to analyze market risk associated with trading activities to achieve compliance with Basel III regulations. It provides prebuilt modules to calculate capital requirements under the Standardized Approach and Internal Model Approach. Banks can monitor positions, visualize the effect on capital, and comply with all Basel III reporting and disclosure requirements. The solution is designed for use by chief risk officers, heads of market risk, regulatory managers, analysts, and other compliance roles.
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nother great example of the innovations that HANA can provide. This time in Capital Markets, where it enables immediate intraday risk reporting and analysis.
We believe digitization and automation are the means for institutions to drastically improve their compliance return on investment. Technology solutions like Risk Assessments, customer on boarding, cross-channel risk analysis, monitoring and screening, etc… should be looked at as part of the overall business plan and growth in order to achieve Strategic Compliance Planning.
SAP HANA for Capital Markets Risk ManagementMartin Tenk
nother great example of the innovations that HANA can provide. This time in Capital Markets, where it enables immediate intraday risk reporting and analysis.
We believe digitization and automation are the means for institutions to drastically improve their compliance return on investment. Technology solutions like Risk Assessments, customer on boarding, cross-channel risk analysis, monitoring and screening, etc… should be looked at as part of the overall business plan and growth in order to achieve Strategic Compliance Planning.
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An exclusive presentation by Mr. Mayank Sahai, AVP - Corporate Marketing - Tata Teleservices Ltd. on ‘Enhancing Marketing Performance to drive Business Objectives.’ The presentation was made at SAS Forum India 2013.
An exclusive presentation by Mr. Nirlap Vora, Practice Manager - Information Management - SAS Institute India Pvt. Ltd . on ‘Data Management as a Strategic Initiative.’ The presentation was made at Government Analytics & Information Summit 2013.
Tata Tele Services, having devised measurable strategy and short/mid-& long-term oriented execution strategy to roll out the Integrated Marketing Management solution. Analytics as an area has started to fuse into the Operations and in process of building "Data Based Decision Support" across various functions of the Organization. Importantly how Analytics has gotten interspersed with the Enterprise's Strategic and Operational activities.
Business Discovery and QlikView 11 Keynote presentation Slides presented by John Callan, Senior Director of Product Marketing at QlikTech at the Business Discovery London event on 22nd November 2011
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The financial institutions must measure and manage operational risk in a scientific way – not just for regulatory purposes, but also for making sound business decisions – and that an organization's approach to operational risk must also be integrated to support the need for a complete view of the risks faced. This requires an architecture that supports the data and methodologies, usability criteria and ability to distribute key risk information effectively across the enterprise for a variety of different users.
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The ability to predict future business trends with reasonable accuracy will be one of the crucial competitive advantages of this new decade. And you won't be able to do that without Analytics.
Mr. Pareek from Maruti Suzuki India Limited shares his views on the criticality to embrace analytics in organizational decision making and the role it plays in high performance organizations. He also discusses its need in the India subcontinent and the way forward for enterprises to propel - the usage of analytics for competitive advantage in today's dynamic market place.
Protect Your Revenue Streams: Big Data & Analytics in TaxCapgemini
The game has changed since the onset of the financial crisis. Governments aiming to reduce budget deficits can only deliver so much through spending cuts. It is now even more vital that tax agencies ensure individuals and businesses pay the tax they owe, and that welfare fraud and error are minimised. Pretty will explain how he helps tax and welfare agencies tackle noncompliance, evasion and error. He will share client stories where billions of euros were saved, generating a return of at least 25 times the original investment.
By Ian Pretty,
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everis Marcus Evans FRTB Conference 23Feb17Jonathan Philp
everis was Gold Sponsor of the Marcus Evans Conference ‘4th Edition: Impact of the Fundamental Review of the Trading Book’ at Canary Wharf, London on 23-24th February 2017.
This was a timely opportunity to catch up with banks and solution partners as we move into the implementation phase of Fundamental Review of the Trading Book (FRTB) programmes. We heard views and case studies across a range of topics including market risk methodology, operating model definition and data and systems architecture design.
Our presentation at the conference focused on the architectural challenges posed by FRTB.
Analytics is the application of computer technology ,statistics and domain knowledge to solve problems in business and industry ,to aid efficient and effective design making.
An exclusive presentation by Ronald Fernandes, SVP - Compliance Department - Axis Bank on 'Automation of Compliance Management – Implementation Considerations. The presentation was made at SAS Forum India 2013.
SAS Customer Analytics for Insurance delivers specific analytical techniques to help you understand and drive decisions related to customer profitability. The solution enables you to segment customers according to a multitude of variables – including demographics, geographics, claims history and other behavioral attributes – to create more meaningful and targeted marketing programs that lead to improved retention rates.
SAS Risk Management for Insurance is a comprehensive solution for performing risk analysis and risk-based capital calculation for insurers. The solution enables life and P&C insurance companies to implement the Solvency II standard model approach for calculating risk-based capital and is built on a robust data management and reporting platform that includes an insurance-specific data model for complex risk analytics.
An exclusive presentation by Mr. Mayank Sahai, AVP - Corporate Marketing - Tata Teleservices Ltd. on ‘Enhancing Marketing Performance to drive Business Objectives.’ The presentation was made at SAS Forum India 2013.
An exclusive presentation by Mr. Nirlap Vora, Practice Manager - Information Management - SAS Institute India Pvt. Ltd . on ‘Data Management as a Strategic Initiative.’ The presentation was made at Government Analytics & Information Summit 2013.
Tata Tele Services, having devised measurable strategy and short/mid-& long-term oriented execution strategy to roll out the Integrated Marketing Management solution. Analytics as an area has started to fuse into the Operations and in process of building "Data Based Decision Support" across various functions of the Organization. Importantly how Analytics has gotten interspersed with the Enterprise's Strategic and Operational activities.
Business Discovery and QlikView 11 Keynote presentation Slides presented by John Callan, Senior Director of Product Marketing at QlikTech at the Business Discovery London event on 22nd November 2011
With more than 30 years of experience in the insurance industry, SAS can help you achieve long-term success and obtain peace of mind. Integrated and extensible insurance solutions built on a flexible business analytics framework and insurance-specific data model speed up both implementation and results, giving you a fast track to significant ROI.
An exclusive presentation by Mr. Mazhar Leghari, Business Development Solution Manager, SAS Middle East FZ LLC; on ‘Building for Success: The Foundation for Achievable MDM’. The presentation was made at SAS Forum India 2013.
The financial institutions must measure and manage operational risk in a scientific way – not just for regulatory purposes, but also for making sound business decisions – and that an organization's approach to operational risk must also be integrated to support the need for a complete view of the risks faced. This requires an architecture that supports the data and methodologies, usability criteria and ability to distribute key risk information effectively across the enterprise for a variety of different users.
This presentation covers Punjab National Bank's experience of implementing sound operational risk program.
Streamlining ITSM Operations Between ServiceNow and SAP Solution ManagerManeesh Joshi
A webinar presentation delivered jointly by SnapLogic and Alpha Sirius in August 2013. The topic mainly covers opportunities to streamline ITSM operations between ServiceNow and SAP Solution Manager. The common business processes that can be automated at incident ticket handling and helpdesk automation of end-to-end process.
The ability to predict future business trends with reasonable accuracy will be one of the crucial competitive advantages of this new decade. And you won't be able to do that without Analytics.
Mr. Pareek from Maruti Suzuki India Limited shares his views on the criticality to embrace analytics in organizational decision making and the role it plays in high performance organizations. He also discusses its need in the India subcontinent and the way forward for enterprises to propel - the usage of analytics for competitive advantage in today's dynamic market place.
Protect Your Revenue Streams: Big Data & Analytics in TaxCapgemini
The game has changed since the onset of the financial crisis. Governments aiming to reduce budget deficits can only deliver so much through spending cuts. It is now even more vital that tax agencies ensure individuals and businesses pay the tax they owe, and that welfare fraud and error are minimised. Pretty will explain how he helps tax and welfare agencies tackle noncompliance, evasion and error. He will share client stories where billions of euros were saved, generating a return of at least 25 times the original investment.
By Ian Pretty,
Vice President, Global Tax & Welfare Leader
everis Marcus Evans FRTB Conference 23Feb17Jonathan Philp
everis was Gold Sponsor of the Marcus Evans Conference ‘4th Edition: Impact of the Fundamental Review of the Trading Book’ at Canary Wharf, London on 23-24th February 2017.
This was a timely opportunity to catch up with banks and solution partners as we move into the implementation phase of Fundamental Review of the Trading Book (FRTB) programmes. We heard views and case studies across a range of topics including market risk methodology, operating model definition and data and systems architecture design.
Our presentation at the conference focused on the architectural challenges posed by FRTB.
Risk assessment usually involves complicated digital lending journeys of creating complex predictor and indicator models through multiple fragmented platforms. Siloed data across systems and spreadsheets delay risk reporting, updates to existing risk modelling system, increases costs and decreases operational efficiency.
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sas-capital-requirements-for-market-risk-108541
1. What does SAS® Capital Requirements for Market Risk do?
This solution enables banks to analyze market risk associated with their trading activities
for Basel III regulatory reporting. It provides prebuilt modules to calculate Basel d352’s
Standardized Approach and Internal Model Approach for market risk, including additional
risk measures defined by the regulation. Banks can monitor simulated or actual post-trade
positions, visualize the effect on capital and comply with all Basel d352 and related d356
requirements for regulatory reporting and disclosure.
Why is SAS® Capital Requirements for Market Risk important?
All banks with trading positions will be required to meet the Basel d352 regulation,
Minimum Capital Requirements for Market Risk, which will directly affect a bank’s balance
sheet,capital,business model,market data and analytics software technology.The timeline
for implementation may vary but full compliance is required by Jan.1,2019.Banksevery-
whereneed to begin planning and piloting compliance programs now to address all of
the business, regulatory and software challenges on time.
For whom is SAS® Capital Requirements for Market Risk designed?
The solution is designed primarily for compliance and will be used by the chief risk officer,
head of market risk, regulatory compliance managers, risk analysts and power users.
SAS®
Capital Requirements for Market Risk
Achieve compliance with Basel III regulations for Fundamental Review
of the Trading Book (FRTB)
FACT SHEET
Basel III is part of the continuing effort to
strengthen the regulation,supervision and
risk management of the banking sector.In
early 2016,new minimum capital require-
ments were introduced that determine how
much liquidity banks are required to hold for
certain levels of assets.As banks adjust to
the higher capital demands of Basel d352,
they will need to modernize and improve
their market risk infrastructures to support
the computations needed to comply with
the newest regulations in a timely manner.
SAS Capital Requirements for Market Risk
specifically addresses the Basel d352 regula-
tion,Minimum Capital Requirements for
Market Risk,for trading activities.It includes:
• An input data model.
• Prebuilt quality checks that align with
selected BCBS 239 data requirements.
• Standardized Approach and Internal
Model Approach calculations.
• A complete framework to implement
the Internal Model Approach.
• Extensive internal and regulatory
reporting capabilities.
Benefits
• Gain a comprehensive view of market
risk in prescribed categories.By applying
required analytical approaches, SAS
Capital Requirements for Market Risk
provides an enhanced view of each
category of risk – across legal entities,
trading desks and risk classes.This solution
also offers banks an opportunity to take
a fresh approach toward modernizing
aging market risk systems to improve
their overall market risk infrastructure
in the future.
• Adapt to changing business needs with
customized parameters, analyses and
reports. SAS Capital Requirements for
Market Risk uses a loosely coupled,
modular architecture so that you can
modify the analytics at any point in the
workflow. Customizable views help you
understand staging and results on an
ongoing basis.This solution can tackle
the various potential interpretations by
regulators of Basel d352.
• Extract, integrate and validate risk data
from almost any source. This solution
is designed to accommodate industry-
standard APIs, including support for the
ISDA-SIMM Common Risk Interchange
Format (CRIF).This enables it to consume
data from internally developed or third-
party applications – from sensitivity defini-
tions to reference data, market values,
portfolio/trades and positions data.
• Get up and running quickly with precon-
figured calculations and reports.
Prebuilt modules with embedded
quality controls,workflow and prescribed
standard calculations and reports make
it easy to get started on the path to
improved market risk management.
Intellectual property derived from com-
pleted projects is used to continuously
add to the SAS library of preconfigured
templates.
• Lower your total cost of ownership.
From data management to risk analysis
and reporting, this solution covers a high
level of Basel d352 functionality right out
of the box.
2. With SAS Capital Requirements for Market Risk, you can visualize and navigate through job flows easily with full transparency and
data traceability.
Capabilities
Market risk analytics
SAS Capital Requirements for Market Risk
provides prebuilt models to calculate the
Standardized Approach (SA) required by
Basel d352. It processes sensitivities,
including delta, vega and curvature as well
as high-medium-low correlations for each
prescribed category of risk, including credit,
interest rates, FX, equity and commodity
risk.ThesolutioncomputestheSASensitivity-
Based Capital Charge, a Default Risk
Charge and a Residual RiskAdd-On for each
desk separately and for all desks of the legal
entity (with and without interdesk diversifi-
cation) and combines these Capital Charges
for the SA desks with the Internal Model
Approach (IMA) Capital Charges of the
eligible desks.
Additionally, SAS Capital Requirements for
Market Risk provides a prebuilt framework
to develop a customized internal model
approach, including a review of the bank’s
firmwide internal capital model, desk-level
assessments and risk factor analysis.The
solution also calculates Expected Shortfall
(ES) and provides the ability to validate the
models with backtesting. Management and
analysts can review their positions for each
legal entity and desk, including the impact
on SA capital requirements vs. the IMA.
Intraday trading risk analysis
In addition to meeting regulatory require-
ments,intraday trading risk analysis provides
banks with new strategic capabilities,
including the optimization of assets for
competitive advantage.SAS solutions
enable in-memory calculations for a wide
range of what-if scenarios so they are
generated in a timely and scalable fashion.
The ability to run up to thousands of intra-
day simulations is critical for decisions that
impact risk,asset mix,capital and regulatory
compliance.
Visual workflow management
and monitoring
With SAS Capital Requirements for Market
Risk,you can easily visualize analytics opera-
tions,process flows and management
reporting for strategic decisions,including
risk capital at various hierarchical levels.
Firms implementing internal models will
be able to compare those results with SAS
Capital Requirements for Market Risk Stan-
dardized Approach models to decide which
is optimal for each desk.Firms reviewing
their plans to implement internal models will
be able to analyze whether they will reach
their hurdle rate to justify that investment vs.
using the Standardized Approach.
Integrated data management
Aggregating high quality data from across
the enterprise as well as from external
sources and third-party applications is a
major challenge.
SAS Capital Requirements for Market Risk
is an integrated risk management system
that provides an input data model. It lets
you extract, integrate and validate data
from almost any source – market data
providers, trade capture systems, clearing
systems and more. It also accommodates
industry-standard APIs, including support
3. Market risk analytics
• Compute risk capital at various hierarchical levels to identify capital-intensive
operations.
• Explore the regulatory capital impact of business decisions such as:
• Trading desk structure.
• Investment portfolio composition.
• Identify potential regulatory capital savings with an Internal Model Approach vs. the
Standardized Approach.
Manage workflow,monitoring and extension
• Modular approach that allows IT to fulfill the needs of multiple business divisions
while managing a single platform.
• Integrate multiple systems and third-party tools for more reliable decision making.
• Monitor job execution status with dashboards.
• Access historical data and provide data management and auditability.
• Visualize analytical operations via easy-to-understand process flows, and analyze
input and output of each step.
Data management
• Continuously monitor and assess data quality in alignment with BCBS 239
guidelines with interactive reporting. Support for integration with SAS risk solutions
and third-party applications.
• Create and amend user security for access, authentication and authorization.
• Create and review of audit trails.
• Analyze IMA results for comparison with SA results.
Risk reporting
• Interactivecapitalimpactanalysis,includingintradaychanges.
• Intradayupdatesof riskresultsandcapitalmeasuresinresponsetonewlyconfirmed
orhypotheticaltradesandpositions.
• Reportsdeliveredoutof thebox:
• Production - Entity Level Capital Charge vs. Capital Appetite and Upper Tolerance
Levels.
• Production - Trading Desk Level Capital Charge vs. Capital Appetite and Upper
Tolerance Levels.
• Production - Capital Charge Drill Down With and Without Trading Desk Level
Aggregation.
• Production - d356 - Market Risk Standardized Approach.
• Simulations - Capital Charge Drill Down With and Without Trading Desk Level
Aggregation.
• Simulations - Portfolios and Desks Allocation Strategies.
• Simulations – Expected Shortfall vs.VaR.
Key Featuresfor the ISDA-SIMM Common Risk Inter-
change Format (CRIF).This enables the
solution to acquire and consolidate histor-
ical data from both internal and external
sources for risk analysis and reporting.
Embedded quality controls
aligned with BCBS 239 guidelines
Data quality is a fundamental requirement
to ensure results are based on correct
inputs. In addition to the business require-
ments for correct results, finding errors
before they are caught by the regulators is
critical.
Embedded and out-of-the-box data quality
controls, such as rules for handling bad
data, unclassified data or data not fitting
the model, are preconfigured and can be
extended by business users to meet their
individual needs.These rules ensure that
the generated analytics are reliable and
robust.Visual reports surface the data
quality failures so they can be monitored
and acted on.
Risk reporting
A wide variety of preconfigured production
reports and simulations provide users with
the ability to monitor the evolution of capital
requirements across multiple dimensions
(intraday,end of day,regulatory reporting
date,etc.).Intraday insights at the desk level
provide an enhanced timely view of market
risk as well as the ability to optimize the real-
location of capital as required by events.
In addition,through a process of continuous
enhancement based on completed
projects,SAS Capital Requirements for
Market Risk provides a growing library of
reporting templates and related content.
This helps you get answers faster.
Learn more about SAS regulatory risk
software and services at sas.com/risk.
,