Asset and liability management - sasCommunity · Asset and liability management. Zagrebačka banka...
Transcript of Asset and liability management - sasCommunity · Asset and liability management. Zagrebačka banka...
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Asset and liability management
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Zagrebačka banka
• Zagrebačka Banka d.d. • The ALM function • The Application
• Summary
The purpose The Structure and Organization of DataGenerating reports Additional featuresRisk analysis
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Zagrebačka banka
Zagrebačka Banka d.d. • the largest bank in Croatia according to assets (3.9 bln USD = 30% of total Croatian banking sector), innovation & financial indicators• began operations back in 1914 as “The City Savings Bank” • in 1989 became a joint stock company, privatized in 1994 • listed on LSE, FSE and is the 2nd largest company on ZSE by market capitalization
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Zagrebačka banka
Zagrebačka banka d.d.• ranked #10 of 100 best banks in CE (The Banker, May 2000)• the best bank in Croatia (CE Awards, Apr. 2000)• the best bank in Croatia (Euromoney Awards for Excellence, Jul. 1999)• highest rated bank in Croatia by Moody’s Investors Service
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Zagrebačka banka
Zagrebačka banka d.d.• 33% market share in total deposits
• 32% in corporate deposits
• 30% of total loans granted to individuals
• that makes us the leading bank in Croatia
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Zagrebačka banka
The ALM function• Initiating profitable growth of the Bank by providing strategic balance sheet management involving all market risks and liquidity management
• Becoming the most critical function of financial institutions
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Zagrebačka banka
The ALM function
Analitycal frameworkSimulations, duration,
gap,Value-at-Risk
Strategic frameworkBoardALCO
Organisational framework
Risk Mngt, Treasury
Operational framework
Internal policies withdirection to AL
Reporting (incl.regulatory
compliance) framework
Technology frameworkpreparation of data
Technology frameworkpreparation of data
ALM application
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Zagrebačka banka
The ALM function• The main issues of RM:
Eliminate risk?Quantifying present risk (Value-
at-Risk) as a potential loss “Is it too much? “
BIS recomendationsbacktesting – enabling
bussiness activitiesanalysis of P&L – strategic
decisions
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Zagrebačka banka
The ALM function• Analyis result:
the ALM policies with the prescription of desired behaviour -setting the limits
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Zagrebačka banka
The application
Zagrebačka banka d.d.Risk Management Division
Authors
Sanja VučkovićTomislav Grebenar
User specification:
Development and design:
Ljiljana Čortan Nišević
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Zagrebačka banka
Purpose• supplies management and analysts with accurate and complete reports based on data previously stored in different databases on different platforms• enables application of statistical and analytical methods• represents complex tool for risk analysis and measurement
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Zagrebačka banka
The Structure & Organization of Data• application libraries divided into 3 groups:
application library - contains catalogues with frames, SCLs, formats, methods
MDDB library - contains repository, SAS/EIS Application databases with MDDB’s and multidimensional reports definitions
DATA library - contains data sets, MDDB tables
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Zagrebačka banka
The Structure & Organization of Data• SAS/MDDB tables are created from SQL views
proc sql;create view WORK.FORMDDB as
select VAR1 as VAR1 format=$FORVAR. label='Variable 1 – less detailed',VAR1 as VAR2 format=$VAR. label='Variable 1 - detailed',VAR3 format=$FORMAT. label='Variable 3'
from DATA.DATASETwhere VAR1 = VAR4outer union correspondingselect VAR1 as VAR1 format=$FORVAR. label='Variable 1 – less detailed',
VAR1 as VAR2 format=$VAR. label='Variable 1 - detailed',VAR3 format=$FORMAT. label='Variable 3'
from YEAR.DATASETwhere VAR1 = VAR4;
quit;
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Zagrebačka banka
The Structure & Organization of Data• SAS/MDDB tables and SAS/EIS applications are registered in MDDB library at design time• SAS/MDDB tables are using proc mddbcreated after downloading and processing data sets from MVS• optimizing SAS/MDDB tables in order to achieve best performance
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Zagrebačka banka
The Structure & Organization of Data• example of proc mddb:
proc mddb data=FORMDDB out=DATA.MDDB1;class VAR1 VAR2 VAR5;class VAR3 / ascending;
hierarchy VAR1 VAR2 VAR3;hierarchy VAR1 VAR2 / name=‘HIER 1’ display=yes;
hierarchy VAR3 VAR5 VAR1;hierarchy VAR3 VAR5 / name=‘HIER 2’ display=yes;
var VAR6 / sum;run;
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Zagrebačka banka
The Structure & Organization of Data•According to the main principle of ALM:
•The data are exported daily/monthly into SAS datasets. Some of the datasets contains more than 4 mln observations.
the whole application is based on a table extracted from several applications – analytical balance sheet structure
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Zagrebačka banka
The Structure & Organization of Data•Datasets are compressed and merged togather•Problems:
Incorrect or missing data –collecting additional reports (Excel) from different organizational units of the Bank
Duplicating data from different applications
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Zagrebačka banka
The Structure & Organization of Data•Importing data from excel with ODBC
proc sql;connect to odbc (dsn=filename);create table work.tab1 asselect * from connection to odbc
(select * from “Sheet1$");disconnect from odbc;
quit;
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Zagrebačka banka
The Structure & Organization of Data•Starting Excel from the SAS
options noxwait noxsync;data _null_;command='g:\appl\office97\office\excel /e
d:\…\MyFile.xls';call system(command);
run;
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Zagrebačka banka
The Structure & Organization of Data•Exporting files to Excel
filename MyFile dde excel|Sheet1!r1c1:r20c2';data tab2;
file MyFile;set tab1;put var1 var2;
run;
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Zagrebačka banka
The Structure & Organization of Data•Importing files from Excel
filename MyFile dde excel|Sheet1!r1c1:r20c2';data tab1;
infile MyFile;input var1 var2;
run;
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Zagrebačka banka
Generating reports•SAS/EIS multidimensional reports used to display information
multidimensional reports are simple to use and easy to understand. The training of end-users isn’t very time consuming
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Zagrebačka banka
Generating reports
• multidimensional reports as standalone (.MULTI), within application screens (.APPLSCR) or desktops (.DESKTOP)
CALL EXECCMDI ( ‘RUNEIS APPL=library.eis database. application screen. APPLSCR’);
• calling SAS/EIS application from SCL:
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Zagrebačka banka
Additional feature
• Format review
The constant increased number of variables and formats
Allowing users to better understand report structure
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Zagrebačka banka
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Zagrebačka banka
Risk analysis • The basic activities of RM:
analysis of the risk exposure –simulations, affects on P&L, “What if scenarios”
monitoring and reporting on compliance with all risk exposure limits prescribed by legislation and Bank’s internal policies
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Zagrebačka banka
Risk analysis• The reports are generated
Monthly:Balance sheet structured by
maturity, interest rates, business segments, products and FX
Gap analysis, liquidity indicators
Daily: FX balance sheet structure, FX
position, ratio of the open position, Value-at-Risk.
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Zagrebačka banka
Risk analysis•FX risk is monitored daily
Ratio of the net open FX position
Internal and external (CNB) reports based on FX position are generated from the application including risk measures:
Potential loss (Value-at-Risk, variance-covariance method)
Daily P&L due to FX rate fluctuation
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Zagrebačka banka
Risk analysis
• Submitting the SAS procedures from the SCL programfile='d:\. . . \MyProcedure.sas'submit continue;
%let PAR1=&PAR11;. . . %let PARn=&PARnn;%include '&file';
endsubmit;
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Zagrebačka banka
Risk analysis• The purpose of the report
discovering the causes of the changes in daily P&L from the report
proper and on-time background for stress scenarios and simulations of the future projects with the impact on FX risk (possibility to insert the additional transaction from the application)
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Zagrebačka banka
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Zagrebačka banka
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Zagrebačka banka
Risk analysis• Implementation of the Value-at-Risk model:
posibility to calculate contribution of a single currency in the total potential loss
hedging risk
monitoring correlations and volatilities of the currencies through the values of incremental VaR and non-diversified VaR
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Zagrebačka banka
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Zagrebačka banka
Summary• the efficient usage of SAS/MDDB requires:
detailed analysis of data structure, user needs, business processes and technical configuration
optimization of ratio between performance, number of MDDB tables and multidimensional reports, disk usage and user friendliness
indexing and compressing data sets
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Zagrebačka banka
Summary• the efficient function of ALM:
integrity of all business segments in the Bank
On-time exchange of information –establishing comunication between RMD and operative divisions
understanding present situationpredicting future impacts