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Risk Reporting
Data Integration
Credit Risk
Market Risk
Operational Risk
SAS Risk Intelligence provides a faster, simpler and modular path forward to improved risk measurement and management.
This approach, with components that are easy to use and that integrate with existing systems, delivers cost-effective risk
intelligence. This comprehensive risk intelligence framework offers a 360-degree view of your organization’s risk activities, from
data integration to final risk reporting, along with a single point of control for managing them. The solutions for market risk, credit
risk, internal risk ratings and operational risk draw from a risk repository and portfolio of risk analytic and reporting capabilities,
giving you a consistent, forward-looking view of risk across your enterprise.
Faster—SAS Risk Intelligence incorporates a number of project accelerators based on industry best prac-
tices to increase the velocity of your risk projects—delivering meaningful results faster. These accel-
erators include logical and physical data models, predefined analytics for market and credit risk measures,
report templates, and a business intelligence framework that supports ad hoc analysis and reporting.
Simpler—SAS Risk Intelligence provides an environment to mix and match the artifacts and resources
required to produce regulatory and non-regulatory risk measures and support for data-driven risk
management decisions. Risk analysts and managers can easily assess data using a graphical user
interface and business terms instead of obscure batch code commands and unintelligible data labels.
Simple and easy access will facilitate accelerated data acquisition, modeling, risk measurement, and
reporting. The simpler approach also produces attractive and easy-to-understand process flows that
transform data integration, risk analytics and risk reporting into well documented processes for
auditors, management and regulatory reporting.
Modular—SAS Risk Intelligence enables customers to select the appropriate capabilities from SAS’
comprehensive portfolio of risk and compliance offerings that fit their needs without having to rip out
and replace existing systems. The SAS strategy is to help customers leverage existing technology
investments while improving risk measurement and management capabilities, and provide
a platform for integrated risk capabilities that can be deployed over time.
Key Features
Risk reporting and enterprise portal—Effectively communicate risk measures with our advanced business
intelligence reporting environment. SAS solutions provide Web-based, Excel-based and GUI-based reports, scheduled
and ad-hoc report delivery, multidimensional drilldowns and interactive analysis, security, and alerts.
Sophisticated analytic solutions—A portfolio of robust, integrated analytic applications empower your
organization to optimize strategies, investments and asset allocations. SAS delivers a full suite of modern credit, market
and operational risk analysis techniques, giving you virtually unlimited perspectives on your risk profile.
Data integration—Access and consolidate position and market data from around the world with SAS’ industry-leading
data integration capabilities, including automated data extraction from virtually any source; rules-based data cleansing;
self-documenting, rules-based workflow; and an integrated metadata model.
Centralized risk repository and data model—SAS provides a sophisticated data model that is designed
specifically for risk and is optimized for analytics and reporting. Structured modeling, data mapping, the integrated
metadata layer and a centralized risk repository ensure consistent, accurate information.
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SAS Risk Intelligence
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Results of rich SAS analyses and reports can be shared across all levels of the organization
through the portal, batch processes, e-mail or wireless devices. With ready-to-access key
performance measures and other risk indicators at their fingertips, managers throughout the
organization can contribute to more effective business strategies.
The self-service reporting environment enables risk staff to generate their own reports without
relying on IT. In addition, when reporting templates need to be altered, risk managers can make
those changes themselves. The portal and reporting environment consolidates all risk informa-
tion easily, rather than consolidating information from a myriad of spreadsheets. Risk profes-
sional can quickly look at risk at an organizational level and with a click of a mouse drill into the
information in more granular detail.
Risk Intelligence solutions
At the heart of SAS Risk Intelligence is a portfolio of robust analytic applications spanning
market risk, credit risk, internal risk ratings and operational risk.
• Market risk. SAS helps you consolidate information from across the organization, combine
multiple instrument types into one portfolio, perform scenario and stress tests, calculate
at-risk measures, and deliver customized reporting back to users.
• Internal risk ratings and Credit risk. SAS helps you gauge overall risk exposure and strike
the right balance between risk and reward. SAS Credit Risk Management is the most
complete end-to-end credit risk management application available.
• Operational risk. SAS OpRisk Management helps you identify, measure, monitor, aggregate,
evaluate and report operational risks to help you mitigate and control these risks, calculate
capital reserves and comply with regulatory requirements.
The SAS internal risk ratings platform consists of four components that enable financial institu-
tions to handle risk rating from a model development, model deployment, model repository
and model testing perspective.
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SAS also provides a user-friendly interface that enables business analysts to take advantage
of the sophisticated data analysis routines without the need for extensive SAS programming
experience or IT support.
The internal risk ratings platform is ideal for helping organizations meet evolving regulatory
requirements. The data management, modeling and reporting aspects of the solution are
integrated via a metadata layer to provide the audit trails necessary for meeting regulatory
SAS banking customers worldwide are using the internal risk ratings platform as a dual ratings
system platform for wholesale risk grading and retail credit scoring at both obligor and facility
ratings levels.
Model repository/management
• Enables development staff to keep track of
models as they are developed.
• Registration process ensures that audit
trails are kept as to the data used to
develop the model, the data used to test it,
and the model code itself.
• Handles the tasks of auditability and documentation of model development, including registration
of models, sharing models across business units, creating audit trails and comparing
models over time to:
• Demonstrate the model is well developed.
• Verify the model is working as expected.
• Perform outcomes analysis (i.e., back testing of models).
Model deployment
• Enables the creation of batch or real-time rating environments using
message queuing technology.
• Limits the need to integrate risk rating models within each product authorization system.
• Centralizes the risk rating function within one (or a few) rating
environment setup(s) on a dedicated SAS server.
• Significantly reduces implementation time.
• Enables quick upgrades to newer, improved risk rating models.
Model testing
• Set up customized back-testing and/or stress-testing environment.
• Automates the process for ongoing monitoring of model performance.
SAS Credit Risk Management
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SAS SOLUTION
SAS Credit Risk Management for Banking is an end-to-end credit risk solution designed to assist
institutions with both non-regulatory and regulatory credit risk management. It provides an enter-
prise-scale risk platform that combines risk analysis for both the banking and trading book, and
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is a comprehensive application for managing, analyzing and reporting credit risk in financial insti-
tutions of all sizes. Alternatively, it can serve as a credit risk application for a single line of busi-
ness on either the wholesale or retail side of the institution. The solution is highly configurable,
accommodates user-defined models and supports a wide range of risk analyses.
Summary Report
Counterparty General
Position Category Country provision
Historical
Historical
Counterparty General
Position Category Country provision Previous Period Previous Qtr Previous Year
GENERAL_PROVISION Aggregate Total 540,101,090
IRB Aggregate Total Aggregate Total Aggregate Total 18AUG2005 2,577,944,077 11AUG2005 2,556,621,608 -21,322,469 Report Generated: March 27, 2006 09:53:08 AM
Data current as of: August 18, 2005
RETAIL Aggregate Total Aggregate Total 18AUG2005 2,577,944,077 11AUG2005 2,556,621,608 -21,322,469
RETAIL Aggregate Total 18AUG2005 2,577,227,989 11AUG2005 2,555,430,518 -21,797,471 This reports shows the history of EAD analysis.
BUCKET01 18AUG2005 1,738,353,999 11AUG2005 1,737,244,497 -1,109,502
Summary of exposure at default : Graphical
BUCKET02 18AUG2005 23,240,646 11AUG2005 22,884,041 -356,605
IRBA Aggregate Total Aggregate Total Aggregate Total 18AUG2005 14,374,269 11AUG2005 19,071,466 4,697,197 Summary of exposure at default :
CORPORATE Aggregate Total Aggregate Total 18AUG2005 14,374,269 11AUG2005 19,071,466 4,697,197
BUCKET12 4,694,012
-4-
IRBF Aggregate Total Aggregate Total Aggregate Total -6,676,047
MDB Aggregate Total 18AUG2005 138,832 11AUG2005 105,504 -33,328 IRBA 19,071,466 .22%
Summary of limit status at the highest aggregate levels :
BUCKET11 18AUG2005 88,819 11AUG2005 88,819 0 IRB_SIMPLE_RW 1,274,040 .01%
-4-
Visual indicator of
Warning threshold limit status
Visual
Current Limit The Visual indicator
Counterparty Counterparty Risk Weight value of the warning amount of warning of limit
Approach Class subclass Bucket Risk indicator indicator Limit amount percentage limit left indicator status
IRB RETAIL Aggregate Aggregate Exposure at Default 2,556,621,608 2,694,798,690 90% 138,177,082
Total Total
IRBA CORPORATE Aggregate Aggregate Exposure at Default 19,071,466 18,746,017 90% -325,449
Total Total
IRBF BANK Aggregate Aggregate Exposure at Default 1,331,785,667 1,461,129,547 90% 129,343,879
Total Total
IRB_RBA CORPORATE Aggregate Aggregate Exposure at Default 491,430,546 456,439,194 90% -34,991,353
Total Total
SAS Market Risk Management
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SAS SOLUTION
solution gives you the power to consolidate information from across your organization, combine
different instrument types into one portfolio, perform scenario and stress tests, calculate at-risk
measures and deliver customized reporting back to users and decision makers.
SAS SOLUTION
Measure, monitor and manage operational risk
SAS OpRisk Management provides an integrated platform for continuous risk management.
It provides comprehensive modules for collecting operational loss data, conducting proactive
risk management activities and analyzing the operational risk profile from the enterprise wide
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view to the local business-unit level. It incorporates both qualitative and quantitative modules as
well as a global loss database.
The qualitative module encompasses functionality to estimate inherent risk, conduct risk and
control self-assessment, measure residual risk, capture actual loss event data and key risk
indicators, and provides integrated risk reporting for a 360-degree view of risk.
Scenarios
• Enables the capture and
assessment of future
risks and rare risk
event types.
• Associates risk assess-
ments with scenarios.
Key capabilities of SAS OpRisk VaR
Flexible methodology
• Supports the calculation of value-at-risk (VaR) capital following the Basic Indicator,
Loss Distributions or Advanced Measurement Approaches.
• Enables modeling under different assumptions (e.g. with or without insurance) and scenarios
with full audit tracking and reporting of all assumptions.
Modeling techniques
• Includes the industry’s most advanced math-
ematically derived methods for combining
internal and external data, and addressing
size, control and reporting biases in a
statistically valid way.
• Supports multiple forms of mathematical
and graphical analysis through a user-friendly
process.
• Includes advanced capability to scale loss
frequency and severity data to the current
size of a business.
• Supports user-specified covariance matrices.
Please send requests for additional information about SAS Risk Intelligence ®
offerings to riskmanagement@sas.com
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