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We propose to create DWH/BI Competence Center for banks within an existing consulting or software development company. We bring there our solutions and experience.
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ETL/DWH/BI competence center
Speaker VASYL BUZUYEV2014
MAIN Competences and experience
Core banking systems (development and support)
Retail banking systems (consulting, development and support)
Internet banking systems (development and support)
Invoicing systems (Utilities) Billing systems (ISP, Utilities) Exchanges (CURRENCY, STOCK)
BI/ DWH/ ETL for banks
Application integration (IBM WEB Sphere ESB)
J2EE CODE Generation Systems (Metasoft Rapid Development Machine)
SOA, Software landscape optimization
Business Process management (REENGINEERING, BPMN, BPEL)
RISK MANAGEMENT CONSULTING for banks
Goals
Complex ETL/DWH/BI solutions delivery based upon proven and scalable platforms
Consulting support in building of:o CES (Controllability Enhancement
Strategy)o DSS (Decision Support systems)o Enterprise level risk management
systems
Market Segments
Competence Centre
Banks
Insurance companies
Retailers
Financial service providers (Invoicing, billing, asset management)
Business is in the trend
Gartner Predicts Business Intelligence and Analytics Will Remain Top Focus for CIOs Through 2017http://www.gartner.com/newsroom/id/2637615
Our Solutions
Enterprise Risk Managemento Credit Risk Management o Liquidity Risk Management o Market Risk Management o Operational Risk Management
Basel II/ Basel III
We possess the following well-known and author's approaches in:
Balance sheet statement analysis Asset Liability Management (ALM) Liquidity and Cash Flow
Management Funding Transfer pricing models Portfolio management
BI & DWH, Risk management consulting for banks
Decision-centric system and processes Action-oriented system and processes Predictive analytics
It marks a transition from MIS (Management Information Systems) to DSS (Decision Support Systems)
Our Solutions ENHANCEMENT of CONTROLLABILITY
We propose new generation systems based on :
We provide our customers with: Decision making effectiveness control at
each management level Shifting from rational decisions to optimal
ones
Our Solutions ENHANCEMENT of CONTROLLABILITY
We consider management processes holistically: Finance – Business – Treasury – Risk Management – Marketing.
We base our solutions on Decision-making and Optimal automatic control and modern finance theories.
Our Solutions
Based on Gary Cokins cash flows models we developed an author’s Complex Risk Management System for banks which integrates all the following risks: Credit risk Deposit risks Market risks Operational risk Liquidity risk
Using the system ensures the target return on equity, liquidity and coverage of risks.
ENHANCEMENT of CONTROLLABILITY
Our Solutions
the construction of arbitrage-free and risk-free zero-coupon yield curves building up marketing supply curves of deposits (total and across to
maturities) assessing the early withdrawal and rollover risks of deposits based on "cash
flow at risk“ approach deposit pricing taking into account the mutual influence of early withdrawal
and rollover risks, migration between the deposit products and embedded options
Retail Deposit Portfolio management
We have competence in addressing the full range of tasks of managing a portfolio of retail bank deposits, including :
Our Solutions
building the dynamic optimal pricing of deposits based on automatic control theory that allows increasing the controllability of attracting the retail deposits
an novel estimates of lifetime of cash on non-maturity accounts, and their present value (which differs from the well-known Jarrow-van Deventer model)
Thus, we can solve daily problems - how to achieve planned, target volumes (or deposit market share) with a minimum interest expense and controlled levels of deposit risks.
Retail Deposit Portfolio management
We have competence in :
The application of these approaches in the largest Ukrainian banks permits increasing its competitiveness by providing planned inflow of deposits at lower interest expense and controlled levels of deposit risks. Interest rates fell by 0.2 ... 0.5% at a general level interest rates of 18%.
Our Solutions
pricing loans based on "cash flow at risk“ approach and the continuous time model (continuous accrual of interests and assessment of default) taking into account the liquidity premium (otherwise the loan remains undervalued as Bohn & Stein said)
obtaining direct, explicit analytic function for the borrower’s survival probability that is free of assumptions about the type of default process, unlike the standard approaches suggesting that the default process subjects to the Poisson, Cox, Markov laws or others; assessment of the new unified measure taking simultaneously into account the both prepayment and default events
stochastic modeling defaults by Monte Carlo Techniques for the first time the dynamic optimal pricing and cut-off scoring for the
retail loan portfolio based on automatic control that allows increasing the controllability of retail lending including the quality of the loan portfolio
Retail Loan Portfolio management
We have the competencies to meet the challenges of portfolio management of retail loans, including:
Our Solutions
We have experience in modeling of the bank’s financial activities including the prediction of the balance sheet, income and cash flow statements
In particular, the original models for the forecast of the bank's ability to create provisions for loan losses taking into account the balance sheet and profitability requirements were developed
Forecasts based on Financial activities models
Due to using these models the large (by the Ukrainian standards, with a balance-sheet of 2.6 BLN US dollars) Ukrainian bank was successfully restructured its debt to international financial institutions (80% discount)
Our Solutions
Construction of internal models for integrated assessment of liquidity cushion for coverage of credit, deposit, market and off-balance sheet risks
It fully meets the requirements of Basel III
Liquidity cushion
This approach declares principle: having this cushion “may sleep quietly”
We have competencies in :
Our Solutions
This is the only method that uniquely distributes cash flows from assets and liabilities between them by terms remaining to maturity
It allows directly allocating the funding cost on the loan price It takes into account the specific characteristics of a bank to attract and
allocate resources. The approach seamlessly integrates risks, in particular, credit risk and liquidity
risk, as well as the capital requirement imposed RAROC-approach
Asset and liability management (ALM)
We have competencies in the building a two-dimensional funding matrix for solving problems in asset and liability management :
Our Solutions
It is suitable for both pricing of new assets and liabilities, as well as to evaluate the effectiveness of existing deals for performance measurement
The matrix is useful for funding transfer pricing The method is applicable to both the banks and insurance companies
Asset and liability management (ALM)
We have competencies in the building a two-dimensional funding matrix for solving problems in asset and liability management :
Using the matrix in control of a large Ukrainian bank allowed it to optimize the pricing assets and liabilities taking into account the regulatory requirements of the Central Bank to the capital adequacy. We developed rigorous mathematical integral models to modeling cash flow streams occurred in banks.
Our Solutions
Building internal models to estimate capital under credit, market and operational risks including creditworthiness ones
Assessment of provisions for credit losses from non-homogeneous loan portfolio with dependent defaults
Collateral management
Basel II
Our Solutions
The estimation of the Liquidity Coverage Ratio (LCR) and the Net Stable Funding Ratio (NSFR) in accordance with the requirements of Basel III
Building the internal models for integrated assessment of liquidity cushion size for coverage of credit, deposit, market and off-balance sheet risk, that is fully compliant with Basel III
The development of bank’s cash flow models The evaluation of behavioral streams of cash flows
Liquidity and liquidity risk management (Basel III)
The LCR and NSFR calculations were implemented in a large Ukrainian bank and worked successfully during 2008-2013
Our Solutions
The direct, explicit extraction of forward and spot yield curves from fixed coupon bond prices
The evaluation of survival probabilities of bond issuers that is free from any assumptions about kind of default process
The estimation of credit spreads from fixed coupon bond prices
Building yield curves
We possess knowledge and experience in :
Solution architecture example (IBM)
Our advantages
In-depth knowledge of banking activity Extensive practical experience in creating core banking, retail banking, card
processing systems Successful experience in creating Banking Datawarehouse, BI solutions
based on IBM and SAS platforms Solid experience of working in banks We possess a knowledge how to translate the partly-structured problems in
banking to fully structured ones and thus how to increase the bank's controllability
The presence of an English-speaking team, core competencies holders for such projects and ready to change their place of work and markets (see resumes in the attachment)
Knowledge of DWH/BI solutions development methodologies and development tools
The deep skills to use modern advanced approaches in finance: the (Value at Risk, Cash Flow at Risk, time value of money (present and future values), the risk-neutral pricing derivatives, free-arbitrage approach, stochastic simulation by Monte Carlo, etc.
We know what to do with the data
Thank you
Vassily.Buzuyev@gmail.comTel. +38 (067) 232-16-45Skype ID: buzuyev
Our contacts
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