PROJECTS

Asset-Liability Management and Market Risk Automation


Challenge

The data which was present in the bank systems within the scope of Asset-Liability and Market Risk Management applications, was not in present in one source, and did not have the flexibility allowing the scenario analysis and displaying the financial properties of the product. Also, it was requested to remove the inconsistencies caused by the production of the legal reports related with Asset-Liability and Market Risk Management departments from different systems and in different ways. 

Solution

With the implementation of the SAS RMB* solution and the installation of the proper data module and analytical structure, necessary bank and market data for Asset-Liability Management and Market Risk analyses were added to the system. Data design was created to provide the necessary flexibility at the best possible granular level and in a way to meet the needs of different bank units and allowing scenario analysis. With this granular and flexible structure, an integrated data suitable for different needs and uses and an analytically powerful product were provided to the bank.

*Risk Management for Banking Solution: A platform developed by SAS with asset-liability management, market risk, credit risk and firmwide risk frameworks and it provides instrument pricing and advanced financial analyses.

Benefits

All the balance sheet of the bank were transferred into the system and all the analytical calculations were made possible (Cash Flow, Net Interest Income Analysis, Liquidity Analyses etc.). The system is able to price all accounts on B/S and generate all cash flow. Besides, legal reports (LR101, FR400, BRSA LCR, Basel LCR, NSFR) and stress and sensitivity analyses which are acknowledged globally can be produced through the system.