algo risk application – reporting dashboard€¦ · · 2007-07-11algo risk application –...

Algo Risk Application – Reporting Dashboard

Curt BurmeisterDirector, Risk Solutions

Algorithmics

ERM SymposiumChicago

March 30, 2007

© 2007 Algorithmics Incorporated. All rights reserved.

Objective – flexible reporting tool

1. Integrate market risk, credit risk, and asset liability reports in a single dashboard

2. Easy to create and configure new reports

3. Rich set of visualization elements

4. Interactive and responsive


Technical Approach

Client server approachThin web client that runs in a browserAggregation engine that runs on a Unix or Linux server

Position server for loading portfolio hierarchySecurityIntra-day updates

Raw simulation data stored in binary filesOptimized for disk I/O


Step 1 - Create a report template

Choose a screen layout

Select and configure each element

Save the report


Step 2 - Select a report


Step 3 - Select a portfolio


Step 4 – Select an aggregation


VaR Report

Presenter�

Presentation Notes�

Introductory summary Not inclusive�


PV01 Report

Presenter�

Presentation Notes�

Introductory summary Not inclusive�


Credit Exposure Report


Collateral Report


ALM Gap Analysis


Lessons learned

Keep it simpleKeep frequently used menus and buttons visibleHide all the other stuff

Optimize the screen layoutEach user can customize the interface Ability to resize panels

Provide ability to “share” reportsPost to common area for retrieval by another userExport in pdf formatExport data in csv file

1ABN Amro/LaSalle Bank

ABN Amro/LaSalle Bank

Enterprise Risk Management Dashboard


Overall Dashboard Goal

•Achieve a consolidated view of risks within North America.

•Establish a sustainable process to assess and report a consolidated view of risks to governing committees.

•Continue to enhance reporting to provide a more forward-looking, integrated view of risk.

•Use enterprise-wide reporting as one means to increase accountability for risk management activities firm-wide .

“Everyone is a risk manager”


Our Story2005 and 2006


Last Three Months…..

•Executive Committee embraced ERM program

•Regulatory pressure provided “wind at back”

•Created first dashboard draft as one component of ERM program

•Input from across organization

•Hub and spoke approach –no technology (yet)

•Launched final product, reviewed at Executive Committee on a monthly basis

DEC 06 JAN 07 FEB 07


Commercial Real Estate Retail Credit Card Treasury Svcs. Total

Credit RiskMarket RiskOperational RiskInterest Rate RiskBusiness Risk

Capital Mgmt.AuditITLegalHRSOXAReputational

Key Performance Indicators

Keys to Success

Forward-looking, Actionable, Risk Escalation Tool

Integrated View of Risk, Reward and

Strategy

Executive Sponsorship

Comprehensive Risk Assessment






Comprehensive Risk Assessment


Forward Looking

Housing Market

6.0

6.5

7.0

7.5

8.0

8.5

9.0

Jan-00 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07150

175

200

225

250

Sales (left) Prices (right)Million units 000s $

Unemployment Rate

Fed Survey on Lending Conditions

Industrial Production

Slope of the Yield Curve

Corporate Profits

Equity Market Volatility (VIX)

High Yield Spreads

Interest Burden

Distress Ratio

S&P Outlook Distribution

Ratio of Downgrades to total Rating Actions

Proportion of SG issuance rated B- or lower

Economic Indicators

Financial Indicators

Credit Environment

U.S. Default Surveillance Tool Kit

•Business Risk Indicators

•Credit Risk Indicators

•ERM Stress Test

EL/P&L Impact

($mlns)Base Line

Stress Test

Net Increase

Non-Retail Credit RiskRetail Credit RiskAll Other Modeled RiskTotal Modeled Risk $ $ $ Captial for Un-modeled RiskTotal Assigned Capital $ $

Economic Capital


Actionable Risk Escalation ToolConcerns Recommended Action

Market Risk

.

Credit Risk

Operational Risk

Other

.


Integrated view of Risk, Reward and StrategyKey Risk Indicators 2007 Strategic Priorities

Key Performance IndicatorsTop 10 Risks – Heat Map

Bulger/MooreReport owner: Daw

Unacceptable Level Unknown - Need More Info Acceptable Level Un-Rated

Distribution of Risks by Probability and Impact

BE

F

G

H

IJK

L

M

0%

5%

10%

15%

20%

25%

30%

0 10 20 30 40 50 60

Average Expected Impact

Aver

age

Prob

abili

ty

Client/Corporate Credit Default (6)

Legal Risk (4)

General Economy Decline (4)

Declining Employee Morale/Loss of Top Employees (5)

Failed Business Practices (4)

Real Estate Decline (6)

Data Loss/Vulnerability (11)

Supplier Failure (2)

Regulatory / Ethical Failure (7)Material Unpredicted External Event (6)

Model Risk / Failure (6)

System / IT (7)

Control Breakdown (13)

Fraud Loss (9)

LOW RISK

MEDIUM RISK

MEDIUM RISK

HIGH RISK





Feb-07 YTD Target Status

Efficiency Ratio 60% 65%Revenue Growth (YoY) 10% 6%ROEC 25% 20%

Vision 1. Articulate vision/strategy & enhance internal alignmentEfficiency 2. Enhance productivity and efficiencyEfficiency 3. Services - optimize delivery & improve business alignmentEff & Growth 4. Credit Card TransformationGrowth 5. Develop enhanced capital management frameworkGrowth 6. Cross-sale/fee revenue growthGrowth 7. Third-market entry and/or in-fill acquisitionControls 8. Develop and implement ERM frameworkControls 9. Compliance: Transition to BAU, 'no surprises'People 10. Improve performance and talent managementPeople 11. Strengthen and unify our culture


Executive Sponsorship

•Only one component of overall ERM program, endorsed by ExecutiveManagement.

•Each page of the 20 page report is owned by an Executive Committee member.

•Distributed to ERM Committee for determination of key risk issues for escalation to Executive Committee

•Distributed monthly and discussed at Executive Level for Action.

Enterprise Risk Management Dashboards and ReportingBrad JeffersDirectorMarch 30, 2007

Agenda

About CognosCognos in Banking and Risk ManagementCognos’ Role in ERMHow Cognos Address ERM Dashboards and ReportingKey Barriers Overcome and Benefits of Using CognosLessons Learned and Critical Success FactorsA Picture is Worth 1,000 Words

Global Leader in Business Intelligence and Performance Management

$912.3 million annual revenue (T4Q)

$618.1 million in cash, no debt

Global coverage23,000+ customers in 135+ countries80% of Fortune 1000; target Global 3500Strong channel network: 3,000+ channel partners

Cognos employees –a competitive advantage

3,500+ employees890+ strong R&D team2,000+ customer-facing field force

Cognos: The Performance Management Leader in Financial Services

Cognos has over 500 financial services customers inNorth America alone; global penetration is approaching1,500 customers 10 of the top 10 US banks 9 of the top 10 European banks

In Risk Management, Cognos is used by dozens of the world’s largest banks for dashboards, reporting and analysis, including:

Cognos Role in Enterprise Risk Management (shown, for example, with IBM architecture)

Extract, Transform, Load (ETL)Information Integration

Source data

Customers

Loans &Collaterals

Other Sources

Market Data

Accounts

Transactions

Risk Cockpit

Compliance

Risk Mgt

Mgt Reporting

Enterprise Data Warehouse

Summary

AnalysisStaging

Area

SystemOf

Record

Classified Sources

Feedback

Data Marts

ROLAP

Relational

OLAPServer

Warehouse Mgmt & AdminMetadata Mgmt & Metadata Repository

% Risk

Engines

~ Score

BDW design

Profitability

Cognos Value in Enterprise Risk Management

Present Dashboards, Analysis, and Reportson risk in a consolidated manner across the enterprise, allowing more accurate and timely risk decisions

Create dashboards that allow risk executives to see key indicators for all risk types, across multiple data sources, ‘at a glance’Slice data as desired, such as regionally, by total position, by loan officer, by industry, etcPublish reports from centralized risk management group to risk managers, and allow self-service ad hoc reportingReceive timely notification of risk events, such as downgrades or crossing limits thresholds

The Cognos 8 Performance System

Cognos Performance Management System

By INDUSTRYBy INDUSTRY By BUSINESS FUNCTIONBy BUSINESS FUNCTION

Planning,Budgeting,

& ForecastingConsolidation

Query&

ReportingAnalysis Event

ManagementScorecarding

&Dashboarding

B U S I N E S S M O D E L I N G

PerformanceManagement

Platform

PerformanceManagement

Solutions

Key Barriers Overcome and Benefits of Using Cognos

Barrier: “I can’t get a single view of enterprise risk”Benefit: Dashboard allows graphical view of multiple risk types, from multiple data sources

Barrier: “I have a great engine for risk calculations, but I can’t distribute the information quickly enough”

Benefit: Distribute reports to one person or 10,000 quickly with a user-friendly reporting product, including the appropriate levels of security (users only see what they are entitled to see)

Barrier: “I can’t get the reports I need quickly enough from IT, especially when I request something new or a small change”

Benefit: Provide users with self-service capability, allowing them to make updates or build new reports with minimal or no IT involvement

Barrier: “My dashboard product doesn’t allow me to drill down”Benefit: Cognos’ dashboard capabilities are fully integrated with reporting and analysis, allowing all types of reports for all types of users

Critical Success Factors

Data, data, data…the data must be trustworthy, or no one will use the dashboardThe business must be intricately involved in shaping the requirements…just because you build it does not mean that they will comeEnsuring that the right content is on the dashboard must supercede creating a pretty – but useless – dashboardUse the right product for the each component of your risk management architecture, for example:

Algorithmics for engineIBM for data warehouse, hardware and servicesCognos for dashboard and reporting

Sample Dashboards

Additional Resources

Visit the Risk Management Resource Centres:

http://www.cognos.com/enterprise-risk-management.htmlhttp://www.cognos.com/risk_management/index.html

• Download James Lam’s executive White Paper • Demos, fact sheets, and more

Contacts:

Brad Jeffers, Director• [email protected]• 613.738.1338 ext. 5465

Laurence Trigwell, Financial Services Industry Director• [email protected]• +44 1344 707759

algo risk application – reporting dashboard€¦ · · 2007-07-11algo risk application –...

Documents