Today marks the announcement of the latest release of the SAS® High-Performance Risk solution at The Premier Business Leadership Series in Las Vegas. Nevada. In today’s environment, financial institutions need to make timely and well-informed decisions on a range of portfolio moves from individual security positions through to firm-wide exposures of credit, market and liquidity risk, and possibly macro-hedges.
SAS High-Performance Risk empowers risk professionals to ask questions – and get fast, precise answers – to address business issues that normally entail significant time delays before results can be obtained.
Risk managers in banking and capital markets need the power to know, and fully understand the implications of, their:
- price volatility of financial assets held
- earnings as risk
- aggregate risk position
- loss potential
- appropriateness of limits in risk policies
- minute-to-minute conformance with limits
- compliance with regulations
Meeting the challenges
The faster response times made possible by SAS High-Performance Risk enable firms to meet their significant business challenges head-on, while the solution’s scalability ensures the firm’s ability to meet the ever-increasing scope, scale, complexity and pace of change well into the future. Customer issues include real-time risk aggregation, dynamic portfolio valuation, continuous limits monitoring, liquidity management, and counterparty and concentration risk.
- Faster, more accurate portfolio risk and exposure measurement
- More targeted and profitable reaction to market events
- Ability to plan ahead, anticipate outcomes and formulate contingencies.
Accurate quantification of millions of correlations spanning marketable securities, market indices, economic indicators, and counterparties is no small feat. Aggregating results and calculating interest rate, liquidity, and counterparty exposure based on the full distribution of market states, all in near-real time, is an even greater challenge. Leveraging patent-pending in-memory technology, the SAS® High-Performance Risk solution achieves dramatically reduced run times, where results are maintained in-memory, enabling instantaneous stress testing, scenario analysis and interrogation of results on multiple portfolios.
Regulatory pressure a factor
In the aftermath of the financial crisis, regulators have come to view markets as more interconnected, with growing transactional volume across borders and ever-increasing complexity. Regulatory compliance pressures have stepped up to deal with a more systemic view that recognizes the linkages between institutions and across stock exchanges and country/regional jurisdictions that previously were supervised in a more micro-prudential fashion. Where previously there were silos in local jurisdictions due to differing requirements, different markets and market structures, we now see more of a blend with greater commonality and unification through to asset classifications.
This movement towards systemic regulation will not likely abate over the coming years. Consequently, global banks and capital markets firms must continue to evolve and hasten the ways in which they analyze big data for risk and compliance to meet Basel III, Dodd-Frank and other regulations. Basel III is a) requiring banks to increase Tier 1 capital, b) changing how firms assess, measure and report their liquidity, and c) requiring that they account for their counterparty credit risk via the credit value adjustment (CVA) metric. In addition, the US Dodd-Frank Act's mandate for central clearing and standardization of the synthetic securities market will require all firms that engage in swaps and derivatives transactions to transform their processes in order to achieve compliance. Yes, there is much work to be done on the regulatory front!
About SAS High-Performance Risk Release 2.2
- Fast distributed calculation for quick risk monitoring and decision making
End-to-end risk analysis for complete risk exploration
User or third-party risk methods and pricing model interface for openness
On-demand in-memory reporting for flexible slice-dice view
Integrated view of independently updatable information for enterprise aggregated risk analysis
Event driven risk information update for quick and automated data orchestration
The new release enables large scale simulations, portfolio pricing, and portfolio aggregation in minutes or seconds. Optional support for event stream processing rapid data injection and event orchestration is now available. For more information, please visit the SAS High-Performance Risk solution web page.