sas risk management best practices...title: sas risk management best practices author: fatih alali...

Company Confidential - For Internal Use Only

Copyright © 2015, SAS Insti tute Inc. Al l r ights reserved.

SAS BUSINESS ANALYTICS SUMMIT

3 FEB, 2016

BAKU, AZERBAIJAN

SAS RISK MANAGEMENT

BEST PRACTICES

PRESENTER: FATIH ALALI

RISK PRESALES LEAD

SAS INSTITUTE



BANKING EVOLUTION WHAT DOES THAT MEAN?

• Reaction time needs to be instantaneous

• Reaction to application, transaction, product promotion, complaint,

opportunity, fraud, risk, regulatory change

• Customer Loyalty rethought, rebuilt

• Bank Capital needs to be harnessed efficiently

• Risk Decisions need to be accurate and timely



BANKING EVOLUTION HOW TO DRIVE GROWTH

Old Days:

• Cost cutting and operational efficiencies

• Maintain profitability

Future:

• Cross selling opportunities

• New products and services

• New regions and customer segments



SAS RISK

MANAGEMENTRISK INTEGRATED FRAMEWORK

Risk and Finance Integrated Data Mart

Basel II/III, Risk Aggregation and Limits

CreditRisk

MarketRisk

ALM/FTP

OperationalRisk

/Governance Risk and

Compliance

IFRS9

Capital Planning &

Management/Stress Testing

Banking Detail Data Store

Trading Loans Treasury Deposits General Ledger

Credit Scoring andDecisioning

Self Service Reporting- SAS Visual Analytics

Dat

a Q

ual

ity

Go

vern

ance



SAS RISK

MANAGEMENTCREDIT SCORING LIFECYCLE

Provisioning and Loss Forecasting

Charge-Offs

Model / Decision Management

Collections Scoring / Arrears Management

Credit Assessment

Distance-to-Default & Migration

Application

Scoring /

Decisioning

Renewals /

Workouts /

Changes

CollectionsLoan

Monitoring

Behavior Scoring / Early Warning Default Models

Type o

f A

ctivitie

s



SAS RISK

MANAGEMENTINTEGRATED CREDIT SCORING LIFECYCLE BENEFITS

Reduction in bad debt/bankruptcy/claims/fraud

Increase in approval rates or market share

Increased profitabilitiy

Increased operational efficiency

Cost savings or faster turnaround through automation



SAS RISK

MANAGEMENTCREDIT RISK MANAGEMENT

• Standardized Approach

• IRB Foundation / Advanced

• Basel I, II, US, CRD, CRD4 definitions

• Mixed (hybrid) approach according to asset (counterparty) class and any other dimension(s)

Risk Weighted Assets (RWA)

• Minimize Capital required, using SAS’s powerful optimization routine (for handling many-Exposures-to-many-Mitigants )

CRM Allocation



SAS RISK

MANAGEMENTCREDIT RISK MANAGEMENT

• Regulator

• Entity

• Approach

• Currency

Multi…..

• Set of pre-defined regulatory reports

• Ad-hoc internal reporting tools

• VA Reports - drill down to desired level

Comprehensive risk reporting



SAS RISK

MANAGEMENTIFRS9 – MAIN COMPONENTS

Data Model Dev. Stage Rules Workflow and Reporting Model Implementation

Simulation Environment Production EnvironmentModel EnvironmentData Environment

Stage1 Stage 2 Stage 3 Stage 4 Stage 5 Stage 6

PD PIT

LGD PIT

EAD / CCF

Projected loss

Impairment

ECL

Stage rules

G/L recon

SPPI rules*

IFRS 9

workflow

Governance

Adjustments

Reporting

Disclosure

G/L posting

Account data

Collateral data

Historical behavior



SAS RISK

MANAGEMENTINTEGRATED FRAMEWORK



SAS RISK

MANAGEMENTINTEGRATED FRAMEWORK

SCREEN

Copyright © 2012 , SAS I ns ti tute I nc . A l l r ights reserved .

RISK

MANAGEMENT

STRATEGIC COMPETENCY

SAS is a leader in core risk capabilities

• 50+ Countries

• 10+ Years of risk engine refinements

• 50+ Risk engine deployments, including ALM

• 100+ Basel II deployments

• 40+ Solvency II deployments

• 200+ Credit risk deployments

Copyr i g ht © 2014, SAS Ins t i tu t e Inc . A l l r ights reser ve d .sas.com

THANK YOU

http://www.sas.com/

http://www.sas.com/

sas risk management best practices...title: sas risk management best practices author: fatih alali...

Documents