Curt Burmeister Director, Risk Solutions Algorithmics ERM Symposium Chicago March 30, 2007

Transcription

1 Algo Risk Application Reporting Dashboard Curt Burmeister Director, Risk Solutions Algorithmics ERM Symposium Chicago March 30, 2007

2 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 2007 Algorithmics Incorporated. All rights reserved.

3 Technical Approach Client server approach Thin web client that runs in a browser Aggregation engine that runs on a Unix or Linux server Position server for loading portfolio hierarchy Security Intra-day updates Raw simulation data stored in binary files Optimized for disk I/O 2007 Algorithmics Incorporated. All rights reserved.

4 Step 1 - Create a report template Choose a screen layout Select and configure each element Save the report 2007 Algorithmics Incorporated. All rights reserved.

5 Step 2 - Select a report 2007 Algorithmics Incorporated. All rights reserved.

6 Step 3 - Select a portfolio 2007 Algorithmics Incorporated. All rights reserved.

7 Step 4 Select an aggregation 2007 Algorithmics Incorporated. All rights reserved.

8 VaR Report 2007 Algorithmics Incorporated. All rights reserved.

9 PV01 Report 2007 Algorithmics Incorporated. All rights reserved.

10 Credit Exposure Report 2007 Algorithmics Incorporated. All rights reserved.

11 Collateral Report 2007 Algorithmics Incorporated. All rights reserved.

12 ALM Gap Analysis 2007 Algorithmics Incorporated. All rights reserved.

13 Lessons learned Keep it simple Keep frequently used menus and buttons visible Hide all the other stuff Optimize the screen layout Each user can customize the interface Ability to resize panels Provide ability to share reports Post to common area for retrieval by another user Export in pdf format Export data in csv file 2007 Algorithmics Incorporated. All rights reserved.

14 ABN Amro/LaSalle Bank Enterprise Risk Management Dashboard ABN Amro/LaSalle Bank 1

15 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 ABN Amro/LaSalle Bank 2

16 Our Story 2005 and 2006 ABN Amro/LaSalle Bank 3

17 Last Three Months.. DEC 06 JAN 07 FEB 07 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 ABN Amro/LaSalle Bank 4

18 Keys to Success Comprehensive Risk Assessment Credit Risk Market Risk Operational Risk Interest Rate Risk Business Risk Key Performance Indicators Commercial Real Estate Retail Credit Card Treasury Svcs. Total Integrated View of Risk, Reward and Strategy Capital Mgmt. Audit IT Legal HR SOXA Reputational Forward-looking, Actionable, Risk Escalation Tool Executive Sponsorship ABN Amro/LaSalle Bank 5

19 Comprehensive Risk Assessment Credit Risk Market Risk Operational Risk Interest Rate Risk Business Risk Capital Mgmt. Audit IT Legal HR SOXA Reputational Key Performance Indicators Commercial Real Estate Retail Credit Card Treasury Svcs. Total ABN Amro/LaSalle Bank 6

20 Forward Looking Housing Market Business Risk Indicators Million Sales (left) Prices (right) units 000s $ Jan-00 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Credit Risk Indicators Economic Indicators Financial Indicators Credit Environment U.S. Default Surveillance Tool Kit 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 ERM Stress Test EL/P&L Economic Capital Impact ($mlns) Base Line Stress Test Net Increase Non-Retail Credit Risk Retail Credit Risk All Other Modeled Risk Total Modeled Risk $ $ $ Captial for Un-modeled Risk Total Assigned Capital $ $ ABN Amro/LaSalle Bank 7

21 Actionable Risk Escalation Tool Concerns Recommended Action Credit Risk Operational Risk. Market Risk Other. ABN Amro/LaSalle Bank 8

22 Integrated view of Risk, Reward and Strategy Bulger/Moore Report owner: Daw Key Risk Indicators 2007 Strategic Priorities Credit Risk Market Risk Operational Risk Interest Rate Risk Business Risk Capital Mgmt. Audit IT Legal HR SOXA Reputational Key Performance Indicators Commercial Real Estate Retail Credit Card Treasury Svcs. Total Vision Efficiency Efficiency Eff & Growth Growth Growth Growth Controls Controls People People 1. Articulate vision/strategy & enhance internal alignment 2. Enhance productivity and efficiency 3. Services - optimize delivery & improve business alignment 4. Credit Card Transformation 5. Develop enhanced capital management framework 6. Cross-sale/fee revenue growth 7. Third-market entry and/or in-fill acquisition 8. Develop and implement ERM framework 9. Compliance: Transition to BAU, 'no surprises' 10. Improve performance and talent management 11. Strengthen and unify our culture Top 10 Risks Heat Map Key Performance Indicators Average Probability 30% 25% 20% 15% 10% MEDIUM RISK Fraud Loss (9) System / IT (7) E Regulatory / Ethical Failure (7) Distribution of Risks by Probability and Impact Control Breakdown (13) H Model Risk / Failure (6) M General Economy Decline (4) B Data Loss/Vulnerability (11) G I Material Unpredicted External Event (6) F Client/Corporate Credit Default (6) K Failed Business Practices (4) J Declining Employee Morale/Loss of Top Employees (5) Real Estate Decline (6) L HIGH RISK Legal Risk (4) Feb-07 YTD Target Status Efficiency Ratio 60% 65% Revenue Growth (YoY) 10% 6% ROEC 25% 20% 5% Supplier Failure (2) LOW RISK MEDIUM RISK 0% Average Expected Impact Unacceptable Level Unknown - Need More Info Acceptable Level Un-Rated ABN Amro/LaSalle Bank 9

23 Executive Sponsorship Only one component of overall ERM program, endorsed by Executive Management. 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. ABN Amro/LaSalle Bank 10

24 Enterprise Risk Management Dashboards and Reporting Brad Jeffers Director March 30, 2007

25 Agenda About Cognos Cognos in Banking and Risk Management Cognos Role in ERM How Cognos Address ERM Dashboards and Reporting Key Barriers Overcome and Benefits of Using Cognos Lessons Learned and Critical Success Factors A Picture is Worth 1,000 Words

26 Global Leader in Business Intelligence and Performance Management $912.3 million annual revenue (T4Q) $618.1 million in cash, no debt Global coverage 23,000+ customers in 135+ countries 80% of Fortune 1000; target Global 3500 Strong channel network: 3,000+ channel partners Cognos employees a competitive advantage 3,500+ employees 890+ strong R&D team 2,000+ customer-facing field force

27 Cognos: The Performance Management Leader in Financial Services Cognos has over 500 financial services customers in North America alone; global penetration is approaching 1,500 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:

28 Cognos Role in Enterprise Risk Management (shown, for example, with IBM architecture) BDW design Source data Enterprise Data Warehouse Data Marts ROLAP Risk Cockpit Customers Loans & Collaterals Accounts Transactions Market Data Other Sources Staging Area System Of Record Classified Sources Summary Analysis Feedback Extract, Transform, Load (ETL) Information Integration Warehouse Mgmt & Admin Metadata Mgmt & Metadata Repository OLAP Server Relational Engines Risk Score % ~ Risk Mgt Compliance Mgt Reporting Profitability

29 Cognos Value in Enterprise Risk Management Present Dashboards, Analysis, and Reports on 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, etc Publish reports from centralized risk management group to risk managers, and allow self-service ad hoc reporting Receive timely notification of risk events, such as downgrades or crossing limits thresholds

30 The Cognos 8 Performance System

31 Cognos Performance Management System Performance Management Solutions By INDUSTRY By BUSINESS FUNCTION Planning, Budgeting, & Forecasting Consolidation Query & Reporting Analysis Event Management Scorecarding & Dashboarding Performance Management Platform B U S I N E S S M O D E L I N G

32 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

33 Critical Success Factors Data, data, data the data must be trustworthy, or no one will use the dashboard The business must be intricately involved in shaping the requirements just because you build it does not mean that they will come Ensuring that the right content is on the dashboard must supercede creating a pretty but useless dashboard Use the right product for the each component of your risk management architecture, for example: Algorithmics for engine IBM for data warehouse, hardware and services Cognos for dashboard and reporting

34 Sample Dashboards

35 Additional Resources Visit the Risk Management Resource Centres: Download James Lam s executive White Paper Demos, fact sheets, and more Contacts: Brad Jeffers, Director brad.jeffers@cognos.com ext Laurence Trigwell, Financial Services Industry Director laurence.trigwell@cognos.com