RISK MANAGEMENT

The Risk Dashboard supports the asset and liability management with comprehensive analysis and simulations. The interest rate risk as well as the liquidity risk can be analyzed via (a combination of) scenarios. Prepayment scenarios for banks with mortgage portfolios can be analyzed with other scenarios on a single integrated base. The results are displayed numerically as well as graphically with drill down facilities to the level of individual days and deals.

Fig.1 Scenario: Senario Down (19-5-2011) vs Scenario UP (19-5-2011) - PV A&L time buckets

VaR analyses are executed and presented extremely efficient. 

Afb.2 Var: Gap consecutive (19-5-2011)

Value at Risk and loss functions can be easily calculated (user-defined parameters and definitions) and are an integral part of the Risk Dashboard.

Reports are available for ALCO meetings to have a complete overview of risks e.g. for a future time period, duration of asset and liability and the gap.

Operationally the Exposure Manager module provides more control over counterparty limits and settlement risk per counterparty; exposures are calculated for a wide range of instruments and monitored for counterparty and settlement limits. Exposures can also be managed by received or delivered collateral; requests for collateral are generated and monitored; a separate collateral administration provides real-time insight into exposures for each counterparty.