Enterprise Risk Management

Transcription

1 Enterprise Risk Management Managing Risk with Precision Market Risk Credit Risk Operational Risk Manage Risk across your Bank Market Risk Management Credit Risk Management Operational Risk Management BASEL & Capital Adequacy Compliance Value at Risk Calculator Balance Sheet Stress Testing Engine Asset Liability Management Limits Manager Reports & Dashboards Overview Metric Analysis KRI Breach Status Metric Trends Metric Analysis Status Trends Metric Name Month Actual Target Internal Loss (Gross) 1,180,486 2,000,000 Internal Loss Events New and Open Critical Issues ,476,863 65,000,000

2 Vision - Enterprise Risk Management Is our world more volatile today compared to the last decade? If you are responsible for managing risk in your organization what should you do? Risk Management's greatest challenge has been its inability to simplify its factual presentation and connect with board and executive team members in a language that they can understand and relate to. By using well established tools and combining it with more than thirty years of experience in the field, Vision Enterprise Risk Management (ERM) solutions takes users through a journey that cuts across models, frameworks, practice, data, markets, countries and reporting hierarchies. Vision ERM Modules Market Risk Management Credit Risk Management Operational Risk Management BASEL & Capital Adequacy Compliance Value at Risk Calculator Balance Sheet Stress Testing Engine Asset Liability Management Limits Manager Reports & Dashboards

3 Transaction Activity Account Number Date Currency Amount Jul- -24, Jul- -30, Jul- -9, Jul- -87, Jul- -640, Jul- -76, Jul- 1,712, Jul- -54, Jul- -521, Jun- For Bankers by Bankers Vision ERM delivers internal, regulatory & board risk reporting out of the box with one comprehensive solution Capital Adequacy Engine includes a broad array of functions such as ALM, Back testing, portfolio benchmarking, VaR etc. ALM suite encompasses interest rate risk, equity, liquidity, legal, currency and country risk Balance Sheet Stress Testing Engine supports all techniques such as Simple Sensitivity Analysis, Scenario Analysis, Extreme Value Shock etc. Overview Metric Analysis KRI Breach Status Internal Loss vs Exposure Internal Loss Trends VaR Calculator supports 3 prominent methods i.e. Variance Covariance, Historical simulation & Monte Carlo simulation Our team of bankers and Risk Experts work closely with customers to determine their business needs / compliance goals and recommend the best solutions to meet the goals and objectives

4 Account Number Date Currency Amount Jul- -24, Jul- -30, Jul- -9, Jul- -87, Jul- -640, Jul- -76, Jul- 1,712, Jul- -54, Jul- -521, Jun- Account Number Date Currency Amount Jul- -24, Jul- -30, Jul- -9, Jul- -87, Jul- -640, Jul- -76, Jul- 1,712, Jul- -54, Jul- -521, Jun- in t EUR *) selection is limited to major companies Vision is the art of seeing what is invisible to others! 1 Market Risk Management 7 Asset Liability Management Tracking Trailing Volatility Rolling Value at Risk tracker with thresholds Portfolio and position risk Multi asset class including Foreign Exchange, Fixed Income & Equities CRO Dashboard Market Risk Credit Risk Operational Risk Net interest income at risk (NII), MVE at Risk and Earnings at Risk (EAR) Price, rate and duration gaps Auto rollovers for maturing exposures Integration with rate VaR calculator Q4/FY10 Q3/FY10 Q2/FY10 Q1/FY10 2 Credit Risk Management 8 Limits Manager Basel compliant exposure categorization and breakdown Internal Rating approach with PD, LGD and EAD inputs Collateral netting and provision allocation Counterparty risk rating and capital allocation Track Stop loss, Value at Risk, Counterparty limits Use limit exception reporting for intelligent limit tracking Set limit tracking at product, position, dealer, counterparty or exposure levels 3 Operational Risk Management Integrated capital adequacy ratio calculations Estimating Operational Risk Capital Basic Indicator approach Standardized approach 9 Reports & Dashboards Many Standard reports covering ALM, VaR, Capital Adequacy, Market, Credit & Op Risk, Stress Testing and ICAAP Dashboards covering VaR, Capital Adequacy, Portfolio Benchmarking and implied forward rates Flexibility to generate new reports 4 BASEL & Capital 5 Value at Risk Adequacy Compliance Calculator 6 Balance Sheet Stress Testing Engine 10 Future Proof Configuration Design Basel Capital Adequacy Ratio (CAR) Calculator Capital Charge for Market, Credit and Operational Risk Supports Simplified, Standardized & Internal Models (IRB and IMA) Drill down across models and model choices Value at Risk using Variance Co-Variance, Historical & Monte Carlo Simulation Supports incremental and conditional VaR calculations Full Valuation as well as Delta Normal approaches Worst case scenarios and shocks for Market, Credit, Interest Rate and Liquidity risk Pre defined scenario analysis, Paper Trades, what-if and Sandbox mode Test multifactor interaction by changing balance sheet structure and comparing results Configuration screens covering the revised frame work document, Central bank parameters, model parameters, securities definition and Basel model weights No code change required for supervisory discretionary parameter or model weight changes Easy to maintain and flexible to handle the ever changing business and regulatory requirements Probability of Default (PD) Risk audit book Introduction Overview Regional Analysis Detail Analysis KRI Status Overview Metric Analysis KRI Breach Status Internal Loss vs Exposure Internal Loss Trends We call it performance management but are we managing performance or just appraising it? Vision s Performance Management highlights the strengths of Managers and shows how to improve on weaknesses with its multi-dimensional analytics and a best practices KPI driven appraisal process with individual scorecards to monitor growth. Overview Metric Analysis KRI Breach Status Internal Loss vs Exposure Internal Loss Trends Key Metrics Net Sales Gross Profit EBIT Total Equity Operating Cash Flow Free Cash Flow 82,577 12,488 1, ,562 5, % -14.2% -75.4% -6.0% -97.7% % Profit over Time - all consolidated companies KRI Details KRI Details Transaction Activity Transaction Activity Globe UK Status Trends Metric Name Month Actual Target Internal Loss (Gross) 1,180,486 2,000,000 Internal Loss Events New and Open Critical Issues ,476,863 65,000,000 Status Trends Metric Name Month Actual Target Internal Loss (Gross) 1,180,486 2,000,000 Internal Loss Events Globe Germany Globe France Globe Switzerland New and Open Critical Issues New and Open Critical Issues ,476,863 65,000,000

5 Vision Insight Customer Credit scoring, Internal rating, Probability of Default & Provisioning (LLR) Platform Vision Insight's power drives from a credit scoring design philosophy that marries the best of application and behavior credit scores. Vision Insight measures probability of default based on historical experience. In contrast to market-price based methods, our PD estimates reflect actual default probabilities, making the model suitable for Basel II capital requirement as well as internal loan pricing and analysis. Vision Insight Modules Risk Rating Probability of Default (PD) Calculations Customer Scoring & Dashboard Days Past Due (DPD) Tracking The DPD tracking piece is the most crucial analytic generated by the credit management function. It is used not just in collections tracking and client management but also in provisions projections and capital management. But the source and control of DPD data is crucial. If the credit management function relies on branches to generate and compile DPD data they are just asking for trouble. For DPD data to be reliable and effective it should be generated automatically without manual intervention by any concerned or related party. 1 Risk Rating 2 A combined approach using application and behavior scores Obligor Risk rating and facility risk rating Full incorporation of provision, collateral & payment history Back testing and benchmarking scoring engine performance 3 Customer Scoring 4 & Dashboards 5 Multifactor configurations Attribute selection and user defined sensitivity Frequency distribution and mapping Score composition and Percentile standing Customer score tracking and Dataset management Provisioning for delinquencies Regulatory or Internal definitions for Classification days past due Provision requirement Forced sale value Subjective downgrades Restructuring Stress test PD Calculations PD estimates based on historical credit events and outstanding exposure Classification by rating grades & attributes Variable frequency and look back period Credit event and update tracking with multiple default event definitions Customer Credit Profiling Balance sheet import and classification Rank and rate profiles based on relative criteria and credit score Prune and trim portfolios based on relative ranking and rating Funded vs. non funded facility classification Customer Credit Profiling Provisioning for delinquencies Internal Loss (Gross) 1,180,486 2,000,000 Internal Loss Events New and Open Critical Issues ,476,863 65,000,000

6 Sunoida Solutions is one of the fastest growing Business Intelligence and Analytics Company in the emerging markets. As a niche player in the area of Business Intelligence and Enterprise Risk Management for Financial Institutions, Sunoida provides technology solutions on the back of very strong domain consulting in the banking space. Our solutions have been designed For Bankers by Bankers. Agility Customer Centric Domain Expertise 100% Delivery Assurance The company has a perfect blend of business domain experts and technology experts and that combined knowledge is critical to succeed in today s dynamic business environment. Sunoida provides Best-In-Class Products & Services and ensures that we deliver top quality solutions to our customers, on time and within budget meeting or exceeding client expectations and helping our customers to achieve their business objectives. The Sunoida Difference Traditionally, Banks had to choose different companies for deep domain consulting and technology solutions. Often that meant that there was always a gap between the recommendations provided by the consulting partner and the capability / maturity of the technology solution & the implementation team. At Sunoida we provide a one stop solution to our customers where our team of seniors bankers first review our customers business challenges and based upon many years of banking experience, create a business blueprint to tackle all the challenges effectively and the same team then implements our robust world-class solutions that ultimately put our customers on a path of rapid growth and success. Corporate Headquarters Europe South Asia Sunoida Solutions JLT 2106 Tiffany Towers Jumeirah Lake Towers PO Box , Dubai, UAE Phone: Fax: marketing@sunoida.com Unit 3, Trent House Cranfield Technology Park University Way, Cranfield MK43 0AN, United Kingdom Asia Pacific Sunoida Insights Pte Ltd 1 North Bridge Road #19-04/05 High Street Centre Singapore Sunoida Infotech Pvt. Ltd. No 4 Bhuvaneswari Complex Dr. Thomas Road, T.Nagar Chennai , India Africa 7, Park Place Business Centre 2nd Floor, Park Place Building Limuru Road, POB Nairobi, Kenya