Ambit Market and. Ambit BancWare

Transcription

1 Ambit Market and Credit Risk MANAGEMENT Ambit BancWare Marco

2 Key Features Market Risk Risk factors equity prices interest rates, exchange rates, commodity prices Greeks (delta, gamma, vega, theta, rho) Sensitivity analysis based on flexible scenarios for all risk factors Value at risk reporting (VaR) Duration reporting and cash flow decomposition for fixed income Credit Risk Exposure reporting current and potential future exposure Collateral & credit slicing Spread risk (risk adjusted pricing) Expected loss Concentration risk Legal Reporting Calculation of capital adequacy for Basel II market risk compliance Limit Administration and Monitoring Counterparty limits Portfolio limits Dealer limits VaR and sensitivity limits Nominal and risk limits Limit administration with 2-layer security Multidimensional limit monitoring Instrument Coverage More than 150 instruments covered, including a full range of interest rate products, foreign exchange, equities, commodities, structured products and various derivatives. Master financial risk and control your business Understanding the impact of market and credit risk on banking and trading book activities and on client portfolios is critical to managing your business. Designed specifically for small to mid-sized banks, SunGard s Ambit BancWare Marco delivers a comprehensive, scalable framework combining market, credit, stress and scenario-based risk management with Basel II compliance reporting in a single, integrated suite. Used by risk managers, credit administrators, auditors and financial planners, Ambit BancWare Marco is an affordable and complete solution that can be tailored to the needs of your bank. Unlike other vendor solutions that simply provide a reporting tool, Ambit BancWare Marco is much more, delivering a robust calculation engine that allows risk managers to drill directly into the lowest level of data to gain a more accurate understanding of risk exposures including derivatives exposures. This granular drill-down facility makes auditing easier and more transparent. Risk calculations can be leveraged for better internal decision making. With an intuitive user interface, Ambit BancWare Marco can be installed quickly and deployed to business users immediately. Limit Administration and Monitoring With Ambit BancWare Marco, you can limit calculated risk figures at any aggregation level, and efficiently manage hierarchical limit systems. You can easily define, review and maintain complex limit structures, archive expired limits and calculate derivative limits. For credit risk limit administration, Ambit BancWare Marco lets you define limits for single counterparties or the overall credit portfolio and define sub-limits for products, branches, or time bands. Changes and composition of the aggregated risk figures can be traced down to position level with a simple mouse click. For enhanced auditability, limit level and limit usage data are archived, and limits can be defined in a 4-Eyes Principle. Three key modules facilitate the management of market and credit risk, and Basel II market risk compliance. Market Risk Control Measuring and managing market risk effectively at any level in the organization is an essential foundation of any risk policy. Ambit BancWare Marco identifies and evaluates market risk wherever it originates, for reliable measurement and proactive management of risk. Exposure and Sensitivity Analysis To support effective market risk control, Ambit BancWare Marco calculates key risk figures, such as duration and convexity for rate-sensitive positions and greeks for derivatives positions. Data can be presented at any aggregation level, providing a bird s eye or detailed view of the bank s current risk profile, and the origin of its exposures. Scenario Analysis Scenario analysis constitutes an important tool for risk assessment in a given portfolio (trading and banking book or client portfolio). In addition to the calculation of the Greeks and the delta equivalents for the market scenario, multiple standard shifts of the risk factors are used to re-price the instruments. The effect of a change in risk factors on the actual portfolio can be simulated. A set of pre-defined scenario types is available, and for more customized analysis,

3 Profit & Loss Distribution Drill Down on Risk Factors Total Trading Book 26/04/02 VaR(99%, 10 days) = $8.863 Mio. Contribution of each risk factor to total VaR based on historical simulation Ambit BancWare Marco offers a user-friendly interface for the bank to define individual what-if scenarios (including complex interest rate shifts). Value at Risk Ambit BancWare Marco facilitates VaR calculations based on historical simulation, and covers all relevant risk factors affecting the trading book (equity prices, interest rates, exchange rates, commodity prices, spread risk). An extensive market data archive captures and manages all data needed for historical simulation, and sophisticated validation and enrichment ensures high data quality. New time series can be defined and manipulated easily to support moves into new markets and asset classes. Portfolios are then revalued based on the historical data. A profit & loss distribution allows for the calculation of the HSVaR at different aggregation levels. Client Risk Reporting Ambit BancWare Marco delivers a series of comprehensive yet easy-to-understand risk reports that enable you to deliver value-added services to your clients. They can use the reports to assess their portfolio risk using the same information that you use. Credit Risk Control Ambit BancWare Marco provides the tools your institution needs for comprehensive credit risk management. With Ambit BancWare Marco s flexible limit architecture, you can set and view credit limits at any level of aggregation. Credit data is collected from multiple sources including pricing (market data), positions, counterparty details and hierarchy. Exposure Calculation With Ambit BancWare Marco, you can monitor and report credit exposure (loans, OTC derivatives, etc) to clients and client groups against limits and available collateral. In addition to current exposure, you can also easily calculate potential future exposure (PFE) according to regulatory authorities or to your own internal credit policy. Collateral Management Ambit BancWare Marco facilitates active collateral management through a sophisticated feature set, including the ability to define individual lending ratios for securities and accounts of single clients, to define limiting amounts and time periods for third party pledges, and to approve individual lending ratios by credit sanctioners (so-called 4 Eyes Principle ). Ambit BancWare Marco also facilitates the calculation of loanable value for individual clients or client groups taking into consideration third-party pledges and individual lending ratios. Concentration Risk With Ambit BancWare Marco, you can monitor risk concentrations in securities portfolios of individual clients, and in the overall collateral and credit portfolio of the bank. Our unique ability to monitor risk concentrations across the bank s entire client portfolio helps easily identify concentration risk of the bank in specific countries, in specific counterparty segments, against a particular security issuer, etc. all critical to understanding and managing that risk.

4 Why Choose AMBIT BancWare Marco? A Complete Solution Ambit BancWare Marco is an integrated solution, combining market, credit, stress and scenario-based risk management with Basel II regulatory reporting into a single solution providing an affordable, comprehensive risk reporting framework. Ambit BancWare Marco is also tightly integrated with Ambit BancWare Focus ALM for asset/liability management, sharing a common data layer. Designed for Risk Professionals Designed for risk professionals by risk professionals, Ambit BancWare Marco delivers a best of breed solution for market and credit risk. Our software has been optimized for maximum efficiency, allowing for rapid calculation of valuation results without sacrificing accuracy. Ambit BancWare Marco is easy to learn, and easy to use saving time and resulting in a lower total cost of ownership. Comprehensive Instrument Coverage Extensive risk calculations are available for more than 150 financial products covering a full range of interest rate products, foreign exchange, equities, commodities, structured products and various derivatives. A 360 Partner At SunGard, we deliver more than just software. Our commitment to your success is delivered through a complete offering including software, consulting services and educational resources. This unique suite is designed to ensure our customers get the most from our partnership, and ultimately to improve risk management results. Excess Monitoring and Reporting Monitoring and reporting of market and credit excesses can be challenging, error-prone and tedious. Unlike inefficient paper-based systems, with Ambit BancWare Marco all monitoring and approval of excesses happens online, ensuring increased accuracy. Daily results for various types of excesses (loans over loanable value, excess of loans over limits, etc.) are conveniently summarized in a single screen. Excesses can be sorted by severity, for convenient viewing. Authorized users can monitor, sign off and comment on activity directly within the application, ensuring a secure audit trail. With extensive historical monitoring capabilities, it is possible to see a customer s history retrospectively, and identify concerning patterns before they turn into larger problems. Ambit BancWare Marco eliminates paperwork, improves oversight and increases process efficiency. Basel II Compliance Ambit BancWare Marco facilitates the calculation of capital requirements for market risk according to the standardized measurement method required for compliance with Basel II regulations. Within the standardized measurement method, capital charges are calculated separately for each risk factor category (interest rate risk, equity and commodity price risk, currency risk). For enhanced auditability, Ambit BancWare Marco enables drill-down in single positions, to verify the aggregated risk figures reported to the supervisory authorities. Capital adequacy calculations for market risk are also fully integrated into Ambit BancWare Capital Manager for regulatory compliance with Basel II regulations.

5 INTEGRATED RISK AND PERFORMANCE SOLUTIONS A leader in risk management, Ambit Risk & Compliance solutions offer scalable technology and proven solutions that help financial firms effectively measure and manage risk, forecast balance sheet performance, meet regulatory requirements and make critical business decisions. Our modular, integrated solutions for asset/liability management, profitability, strategic planning, credit risk, operational risk, economic capital and regulatory compliance provide a complete picture of your banking business. A unified view of risk and performance measurements across all activities and markets drives greater understanding of your complete financial picture and allows decisions to be driven by common strategy and assumptions. Ambit Risk & Compliance solutions can integrate critical financial management systems, giving you the power to share comprehensive analytics, decision-support and performance measurement at all levels of your business. With over 25 years of banking technology experience and more than 500 clients in more than 40 countries, Ambit Risk & Compliance solutions deliver high-caliber, actionable intelligence to meet the specific needs of financial institutions both large and small. proven track record Ambit BancWare Marco delivers rapid time to value with fast and easy installation and implementation. Delivered and supported by our team of industry experts, we provide predictable implementations on time and on budget. Our expert consulting and support team strive to exceed expectations, and are proud of the consistently high customer satisfaction rankings we receive. about sungard With annual revenue of $5 billion, SunGard is a global leader in software and processing solutions for financial services, higher education and the public sector. SunGard also helps information-dependent enterprises of all types to ensure the continuity of their business. SunGard serves more than 25,000 customers in more than 50 countries, including the world s 50 largest financial services companies. about AMBIT SunGard s Ambit is a banking solution suite for retail, commercial and private banks. It provides banking professionals with solutions that support front-, middle- and back-office operations, as well as solutions for financial management, risk and compliance. Ambit helps banks improve customer service management, streamline business processes, comply with regulations and capture growth opportunities. For more information, visit

6 For more information contact us at Americas Boston, MA Calabasas, CA Livingston, NJ New York, NY Sao Paolo, Brazil Stamford, CT Western Europe Antwerp, Belgium Frankfurt, Germany Geneva, Switzerland London, UK Luxembourg Mechelen, Belgium Milan, Italy Paris, France Surrey, UK Winterthur, Switzerland Zurich, Switzerland Eastern Europe Bratislava, Slovakia Middle East Dubai, United Arab Emirates Asia Bangkok, Thailand Beijing, China Hanoi, Vietnam Hong Kong, China Kuala Lumpur, Malaysia Manila, Philippines Seoul, South Korea Shanghai, China Shenzhen, China Singapore Taipei, Taiwan Tokyo, Japan Karachi, Pakistan Australia / New Zealand Melbourne, Australia Perth, Australia Sydney, Australia Christchurch, New Zealand SunGard s solutions for banking are used by more than 800 banks in 70 countries including 41 of the world s top 50 banks. SunGard provides a comprehensive core banking solution and best-of-breed point solutions for retail, commercial and private banking, straight through enterprise processing, treasury management, finance, risk and compliance, including Apsys, BancWare, STeP and System Access SunGard Trademark Information: SunGard, the SunGard logo and Ambit, Apsys, BancWare, STeP and System Access are trademarks or registered trademarks of SunGard Data Systems Inc. or its subsidiaries in the U.S. and other countries. All other trade names are trademarks or registered trademarks of their respective holders.