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The following is intended to outline our general
product direction. It is intended for information
purposes only, and may not be incorporated into any
contract. It is not a commitment to deliver any
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relied upon in making purchasing decisions.
The development, release, and timing of any
features or functionality described for Oracle’s
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OPERATIONAL RISK REG RISK MARKET RISK FOUNDATION INITIATION VISION FINANCE
Starting Out: Sample Roadmap to Assess Risk Systems
BUSINESS INFRAS’TURE CAPITAL MGNT EXTEND SOFTWARE GROUP BUSINESS DESIGN ICAAP Pillar II COST ALLOCATIONS GRC CONTROLS FSAH GRANULAR DATA DAILY RWA CREDIT RISK TRANSPARNECY DECOMM WALKER
STRESS & SCENARIO TESTING
OPTIMISE GRDW TECH
DECOMM ALGO
REVIEW MARKET RISK
MIGRATE & DECOMM ESTABLISH LOSS DATABASE OP PRICE VAL’N & P&L ATTRIB’N ECONOMIC CAPITAL REPUTATIONAL RISK PLANNING & BUDGETTNG ECONOMIC CAPITAL ENTERPRISE PERFORMANCE MANAGEMENT PRIORITISE DATA DISCREPANCIES ASSESS DATA CONSISTENCY (DRM)
BEST PRACTICE VISITS DATA INVENTORY EDUCATION & AWARENESS REVIEW BASEL II SYSTEMS RATIONALISE CREDIT RISK SYSTEMS DECOMM FERMAT STRESS TESTING CONSOLIDATE MARKET RISK SYSTEMS
REAL TIME RISK
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Topics
•
Framework
•
Applying the Framework
•
Liquidity Risk
•
AML/Fraud
•
Credit Risk
Compliance
• Multi Dimensional Profitability
• Customer Profitability Available to Front Office
• Product and Branch Profitability
• Activity Based Costing
• Transfer Pricing
Risk
Management
Managing Risk, Performance & Profitability Across the Enterprise
Performance
Profitability
• Planning & Budgeting
• Performance Scorecards
• Operational Cost Analysis
• Risk Adjusted Performance Mgmt
• Liquidity Risk
• Credit, Market & Operational Risk Measurement
• Complete & Transparent Audit Trail • Asset/Liability Mgmt • Regulatory Compliance • Basel II • SOX • Anti-Money Laundering • Regulatory Reporting
• Internal Controls Manager
• Fraud Analytics Server BI Dashboards Profitability / Risk Engine Databases Data Warehouse
Standard
ETL
Process
Data Model
General Ledger Instruments Results Meta DataProposed Best Practice Solution
End to End Performance and Risk Management
Best Practice Risk Technology & Architecture
C ommon E T L La y er (e.g. : O racl e D ata -I ntegrator)Common Operational Framework
Common Security Framework Rules Services Modeling Services Workflow Manager (BPEL) Bus. App. Services Adhoc Querying / Reporting / Viewing OLAP Analysis Alerts User Portal Repo rti ng / Q ue ry ing / O LA P V iew ing La y er Business-App Interface Data
Delivery Platform
Rule-Run Engine Modeling Sandbox Metadata Ser v ic es Java / J2EE Web Service s Java / J2EEApplication Layer
Metadata
Key Requirement: Reconciliation with the GL
•Operational balances GL accounts mapping •Identification of differences
•Adjustment entries •Correction entries
•Running balance of residual adjustments •Reports for verification and validation:
•Differences
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Topics
•
Framework
•
Applying the Framework
•
Liquidity Risk
•
AML/Fraud
•
Credit Risk
Liquidity Risk Stress Testing
Typical Process Flow
Define Baseline Assumptions using Baseline Rules • by business user
• rule definitions based on
pre-defined business hierarchies / dimensions and business processors (formulae)
Step 2: Execute Baseline Run
• baseline data from lines of
business
• can be scheduled to run
overnight as and when data arrives from each LOB
Step 3 : Define Stress Rules and group them to form a stress scenario
• by business user
• users can select any baseline
assumption rule and modify and “save as” stress rule
Step 4: Map the Stress Scenario to the Baseline Run to form a Stress Run
Step 5: Execute the Stress Run in the system
to produce Stressed Liquidity Gap Report
Step 6: Define
Counterbalancing Strategy • by business user
• Business user can choose
and apply strategies like sale of collateral, repo of
collaterals, new funding sources, etc.
Step 7: System produces Revised Stressed Liquidity Report showing
the effect of counterbalancing
Rates
• Historical Interest Rates • Historical FX Rates • Forecast Interest Rates • Forecast FX Rates
• Term Structure Parameters • IRC Details • IRC Terms GAP • Repricing GAP • Liquidity GAP • GAP Runoff • GAP Prin Runoff • GAP Reprice Runoff • GAP Int CF
• GAP Runoff Net Rate
Market Value
• Market Value • Duration
• Current Balance • Current Rate
• Weighted Avg Remaining Maturity
Balance Sheet Forecasting and Income Simulation
• Beginning Balance • Avg Balance • Ending Balance • Beginning Rate • Ending Rate • Avg Rate • Interest Accrued • Interest Cash Flow
Value at Risk
• VaR Term
• Weighted Avg Probability • Gross Probability
• Probability Decile • Product Value at Risk • Portfolio Value at Risk • Market Value
Earnings at Risk
• Product Earnings • Net Interest Income • Net Income
• Rate Path
Oracle Liquidity & ALM Analytics
• Benchmark Values,
• Delta to Bench, Index to Bench
• Value Change Over Time Series,
• Month Change Over Time Series,
• Rankings
• Month Ago, Quarter Ago, Year Ago values
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Topics
•
Basel II
•
Applying the Framework
•
Liquidity Risk
•
AML/Fraud
•
Credit Risk
Challenges in Financial Services
•
Financial Services agencies must make decisions
intelligently
•
What valuation controls and principles should be applied to avoid mis-markings?
•
Which credit requests should be authorized, adjusted, or denied?
•
What criteria should drive audit selection? How should programs be funded?
•
Which transactions are fraudulent? Which adjustments are non-compliant?
•
How should credit history, bank activity, and lifetime events be weighted?
•
Most agencies can’t make the best decision for each interaction
•
They lack a “decision framework” to express the logic of real-time decisions
•
They lack analytics focused on interactions
•
Business Goals cannot be effectively applied and measured
•
Risk and compliance expertise is anecdotal and applied inconsistently
Business Process Optimization
Business Process Execution
Enterprise Information Model
RTD
Business Rules &
Self-Learning Predictive Models
Inputs
Process data & contextProcess decision point & feedback
•
Makes decisions in real time in the
context of each transaction
•
Takes into account multiple,
competing business priorities e.g.
maximise revenue whilst minimize
cost and ensure channel compliance
•
Automatically learns and self-adjusts
based on feedback to continuously
improve results
•
Significantly more advanced and
scalable than “rule-based” systems
•
Integrates across multiple interaction
channels e.g. web, call centre, teller,
kiosk, etc
RTD for Risk, Fraud, and Compliance
Capabilities Model
Operational
Process
Intelligence
Process
Secondary
Process
RTD
•
Integrated Risk Assessment
•
Clear or review transactions based on risk profiles,
compliance controls, and operational metrics
•
Real-Time Analysis and Reports
•
Web-based reports and analytical views for risk mgmt
•
Risk Profile Management
•
Manage and define risk profiles for automation
•
Inline measurement of risk profile efficacy
•
Predictive Analytics and Self-Learning
•
End to end risk process analytics
•
Trending and Best-fit profiles for Risk Discovery
•
Inspection outcome propensity to avoid false positives
•
Identify outliers for compliance measurement
•
OOTB Business Controls
•
Risk Sensitivity
•
Randomization
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Topics
•
Framework
•
Applying the Framework
•
Liquidity Risk
•
AML/Fraud
•
Credit Risk
Recommend Next
Best Audit Step
Closing the Loop
Risk Assessment Risk Indicators Detected No Risk or Exception Approved
Accept as Declared?
Submission
Predictive Risk
Models
Predictive Model
Risk Propensity
Review Product offering – Rate? Different Amount?Verification/Validation
Customs Review
and Treatment
Case Resolved
Yes NoPolicies and Overides
Inspection
Recommendation
Credit Risk Decisioning
RTD Risk Management Downstream Decisions
Case Handling
Internal & External
Credit Rating/Scoring
KYC/AML Check
Origination
How Oracle Applies the Framework
Functional View of Architecture
Enterprise Wide Analytics: Risk MIS & Regulatory Reporting
Risk Dashboards & Reporting Advanced Solutions ICAAP Basel II Credit Risk Risk Measurement & Management Asset Liability Management
Credit Risk Economic Capital
Corporate & Retail Credit Risk Risk Modeling Financial Services Data Warehouse PD Modeling
Data Quality Checks, G/L Reconciliation, Manual Data Adjustments Common Data Repository
Cash Flow
Modeling LGD Modeling VaR Models
Data Sources Credit Rating Systems Stress Testing Risk Based Pricing RAPM RAROC / SVA
Market Risk (VaR)
Operational Risk Economic Capital Operational Risk Management Instrument Pricing Models Frequency & Severity Models Operational Systems Market Data Sources Data Repositories General Ledger Liquidity Risk Management Portfolio Models A n al yti ca l A p p lic ati on In fr as tr u ct u re O FSD W
© 2011 Oracle Corporation – Proprietary and Confidential 18
Oracle Calculation Engines In-house Calculation Engines Third Party Calculation Engines
Oracle Pre-built Reports/Dashboards in OBIEE External BI tools with custom built content
Oracle Analytic Applications for Financial Services
Governance
Risk &
Compliance
Enterprise Risk
Management
Enterprise
Performance
Management
Customer Insight
Governance & Compliance Governance Compliance Risk Regulatory Compliance Anti-Money Laundering Trading Compliance Broker Compliance Fraud Detection Operational Risk Operational Risk Credit RiskRetail Credit Risk Corporate Credit Risk
Treasury Risk
Market Risk Asset Liability Management
Regulatory Capital
Basel II : Credit Risk Basel II : Market Risk Basel II : Operational Risk
Economic Capital EC : Credit Risk EC : Market Risk EC : Operational Risk Performance Management Multidimensional Profitability Customer Profitability Funds Transfer Pricing
Finance
