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Temenos Insight Risk

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An Enterprise Risk Management platform that enables financial institutions to be Basel II compliant, supports SharePoint 2010.

Veröffentlicht in: Business, Wirtschaft & Finanzen
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Temenos Insight Risk

  1. 1. Insight Risk November 2010
  2. 2. Agenda Slide 2 1.Discuss your Risk requirement 2.Overview of Insight Risk 3.Basel II module 4.Market Analytics module 5.ALM module 6.Q&A
  3. 3. Elevator pitch “Risk comes from not knowing what you are doing” –Warren Buffet 30 January 2015
  4. 4. Risk Management beyond the Credit Crisis  State of markets today  The credit crisis has exposed some significant weaknesses in risk management across the financial services industry.  Banking world has changed  Banks have been forced to take a critical look at how they manage risk  Financial service regulators have been forced to address the shortcomings of Basel II  Forward looking to Basel III (tier I capital ratio increased and liquidity buffer)  Insight-Risk addresses major challenges faced in banking today  Market Risk Management  Liquidity risk management/Asset & Liabilities  Retail credit  Home / host regulation
  5. 5. What is Insight Risk? Insight Risk is a modular enterprise risk management platform that enables Financial institutions to be basel II compliant. It uses Insight Base as its core platform to: 1. Integrate data (T24 and 3d party) 2. Store and analyse 3. Report and display (Insight Dashboard, Risk UI, SharePoint, reports...) It offers 3 ad-on modules 1. Basel II (regulatory capital engine) 2. Market Analytics (advanced analytics engine) 3. Asset and Liability management Slide 5
  6. 6. Insight Base Slide 6 Insight Base
  7. 7. Insight Intelligence Platform 30 January 2015 Insight Base Risk Intelligence Performance Intelligence Customer Intelligence Financial Intelligence Basel II Market Analytics ALM
  8. 8. Insight Base Insight Risk 30 January 2015 Insight Database (SQL) T24 DW.Export CSV Data Integration Data Storage/ analytics Reporting Misys Fiserv Publisher Analyser Staging tables Operational intelligence Risk Intelligence Risk-UIInsight-UI Customer Intelligence Financial intelligence Insight Risk benefits:  Integration efficiency (E.g. 90 days implementation for the Basel II module- Standardised approach)  Data integrity (reconciliation with the data source)  Insight Base as the new T24 extraction and reporting solution (replace the MI module)  Shared infrastructure with other Insight modules (financials...)  Microsoft investment into Insight  Supports SharePoint 2010
  9. 9. Insight Return on Investment Analysis Insight Pre-packaged Solution – 75 to 100 man days • Fixed Price Resourcing $115k • Insight Pre-packaged App $negotiable • Microsoft Platform $? • Hardware $? Enterprise Data Warehouse Solution – 2 years+ What is the resulting cost in: • Time? • Consultancy? • Software Licenses? • Hardware? INSIGHT Integration Layer Data Model ETL (Typically 3-6 months) INTEGRATOR / DATA CLEANSING • Software - $? • Consultancy - $? ENTERPRISE DATA WAREHOUSE • Software License - $? • Hardware - $? • Consultancy - $? (Typical Cost $1-2m) RECOGNISED BI PACKAGE • Software License - $? • Consolidation - $? • Consultancy - $? REPORTING & METRICS - $? FTP - $? COST ALLOCATION - $? TRANSACTION BASED COSTING - $? Core Banking System Presentation Layer Cube Design & Consolidation DW EXPORT (T24) INSIGHT PRE PACKAGED APPS DASHBOARDS, KPI’S, FTP ON DEMAND REPORTING CORPORATE BRANDING COST ALLOCATION CONSOLIDATION TYPICALDATAWAREHOUSE
  10. 10. Source - IBS Journal Case Studies – October 2010/Issue 20.2 Mees Pierson Guernsey & Curacao (Temenos T24 Client) Have had a number of ‘attempts’ of implementing BI Customer Profitability & Account Officer New Business TM1 tool from COGNOS (now IBM’s analytics division) Resulted in the IT departments biggest failure to deliver Insight evaluated – Signed June 2009 Phase 1 Customer Revenue (out-of-the-box solution) Phase 2 AUM (bespoke development) & KPI’s
  11. 11. Basel II framework fully supported by Insight Risk Pillar I Credit Risk Standardised Approach IRB-Foundation Approach IRB-Advanced Approach Market Risk Standardised Approach InternalModels Approach Operational Risk BasicIndicator Approach Standardised Approach AMA Pillar II ConcentrationRisk InterestrateRisk LiquidityRisk Stress/Backtesting Pillar III Regulatory reporting Home/host reporting guideline Insight Risk modules Basel II ALM Market Analytics
  12. 12. Basel II module Slide 12 Implementation In 90 days Insight Risk’s Basel II module permits our customers to set up a flexible Basel II framework in order to: •Calculate regulatory capitals for credit, market and operational risks •Exposures types •Regulatory Risk weights •Credit Rating (S&P, credit scoring engines...) •Credit risk mitigation engine (simple/comprehensive) •Home/host regulation •Simulate the Credit concentration risk (stress test) •Perform the Basel II reporting
  13. 13. Regulatory Capital engine Slide 13 Credit Risk Standardised 100 % External rating Claim type $100ml loan X 20% (AAA) X 8% capital= $1.6 ml $100ml loan X 100% (BB-) X 8% capital= $8 ml Foundation IRB Advanced IRB PD EAD LGD M Internal estimate 3 elements (IRB): 1. Risk components 2. Risk weights functions 3. Minimum requirement Market Risk ScopeTrading Book Fixed income Equity Commodities Currencies Banking Book Commodities Currencies Sum of the building blocks Standardised Internal Model (IMA) Qualitative Requirement •10 day horizon •99% confidence •One year of data •Quaterly updating VaR Stress testing Back testing Green: <5 exceptions Yellow: 5-9 Red: 10+ Operational Risk K Op BIA= Last 3years Rev/3 X 12.5% Basic Indicador Approach BIA with Business unit segmentation and RW Standardised Approach AMA Credit Risk Mitigation Simple approach: 1. RW on collaterals for Sec 2. RW on counterparty for Unsec Comprehensive approach: Reduce exposure by collateral (+ haircuts)
  14. 14. Market Analytics module Assess trading book exposures and perform advanced analytics Functionality Includes  Yield Curve Modelling  Calculation of Volatilities from history  Calculation of Correlations from history  Covariance based VaR – Online at any level  Historical VaR  Monte Carlo VaR  Incremental VaR  Marginal VaR  Stress Testing  Back Testing  Pricing Tools Implementation depends upon Bank’s complexity and policies RWA calc: Internal models approach Insight-Risk calculates covariance based VaR on a certain horizon with a confidence level of 99.9% (10 days VaR under Basel II) and applies the regulator factor to determine the corresponding Capital Charge. Slide 14 Implementation In 120 days
  15. 15. ALM The ALM module allows the bank to compute the bank exposure to interest rates, liquidity, inflation index and sensitivity to FX risk. Functionalities: Time buckets definition GAP analysis Past and future net interest income (NII) Maturity Pattern of Deposits and Advances and Cash Flow Mismatch Slide 15 Implementation In 90 days
  16. 16. Thank you