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SAS® VISUAL ANALYTICS IN RISK MANAGEMENT

PETER PLOCHAN, FRM FEBRUARY 2016

SAS® VISUAL ANALYTICS KEY FEATURES:

• ROBUST and CONTROLLED WEB application (online access via an internet browser) for risk data exploration, reporting and report sharing (one version of truth, no data, reports or excel spaghettis flying around the organization, strictly defined user rights)

• HIGH PERFORMANCE (all data loaded into memory and analyzed on-the-fly) with the possibility to drill-down to individual exposure level instantly

• EASE of use (no coding required, 95% of features can be taught in half a day, new reports can be build in few hours)

• INTUITIVE Drag-on-drop interface (you select the measures you want to analyze and we take care of the rest, answer to your questions is always just a few clicks away)

• POWERFUL ANALYTICS (correlation matrices, decision trees) helps you to find the patterns / answers that you are looking for in no-time

BCBS 239 Principles for Risk Reporting

RISK USE CASE EXAMPLE 1: AD-HOC RISK ANALYSIS

• Quickly asses performance of multiple relevant KRI’s and KRI’s at the same time and across relevant aggregations and spot the outliers / unexpected developments

• Create Rating migration matrices in seconds and identify relevant developments over time and across relevant sub portfolios

SAS® VISUAL ANALYTICS

RISK GENERICApplicable to:• Credit Risk• Market Risk• Liquidity Risk• Operational Risk• Model Risk

Management• ALM• ERM• IFRS 9• ….

SAS® VISUAL ANALYTICS

RISK USE CASE EXAMPLE 2: RISK REPORTING AND MONITORING

• Monitor performance of relevant KRI’s and KRI’s over time and across relevant subportfolios / periods

• Identify relevant concentrations and drill down to individual exposure level

RISK GENERICApplicable to:• Credit Risk• Market Risk• Liquidity Risk• Operational Risk• Model Risk

Management• ALM• ERM• IFRS 9• ….

SAS® VISUAL ANALYTICS

RISK USE CASE EXAMPLE 3: SUPPORT FOR RISK MODELING / MODEL VALIDATION

• Quickly identify risk factors relevant for risk modelling (Correlation matrix, Decision tree analysis..)

• Monitor / analyze developments of the relevant risk factors over time and across relevant segments in order to spot deviations that can lead to model (re)development

RISK GENERICApplicable to:• Credit Risk• Market Risk• Liquidity Risk• Operational Risk• Model Risk

Management• ALM• ERM• IFRS 9• ….

SAS® VISUAL ANALYTICS

RISK USE CASE EXAMPLE 4:CAPITAL AND SCENARIO ANALYSIS & REPORTING

• Quickly assess development of the multiple forecasted risk factors across the relevant (sub) portfolios and over multiple time horizons & scenarios

• Assess the impact of various management actions

PROCESS GENERIC

Applicable to:• Stress Testing• ICAAP/ ILAAP• ALM• ERM• ORSA• IFRS 9• Budgeting…