A faster, comprehensive way to manage portfolio risk

Bank of India dramatically reduces the time it takes to gain a consolidated view of its portfolios

Being able to understand portfolio risk is critical to growth and profitability. But as Bank of India learned, trying to do it with manual processes and spreadsheets presents its own risk.

“We were dependent on our treasury department for all our data, and we couldn’t merge it with outside sources or get a consolidated picture of investment risk,” explains Shyamal Karmakar, Assistant General Manager of the Risk Management Department. “Only routine regulatory reporting could be done,” he adds. And even that basic reporting took days to do.

As a rapidly growing commercial bank with a flourishing international presence, the institution needed an end-to-end solution – including data management, analytics and reporting – to manage risk. It chose SAS^® Market Risk for Banking.

Bank of India has 4,892 branches and operations in 10 countries. “Prior to using SAS, it took us days to arrive at a consolidated picture, and by then the analysis was a theoretical exercise as the portfolio composition had likely changed,” Karmakar says. “Now we can get a consolidated picture from seven centers and portfolio positions in 17 currencies in one day. And risk reports that were once run quarterly can now be done daily.”

Help for both internal and regulatory needs

The bank isn’t just doing risk calculations faster; it can also do more of them. Market-to-market regulatory scenarios, sensitivity measures, limits monitoring, value-at-risk measures and more can be done in a day and pushed out to the officers and traders on visual dashboards. The necessary data is automatically pulled from the bank’s treasury department and combined with outside data (like global market information). The SAS data model helped the bank to create a repository for the portfolio and market data with time stamps for easy retrieval at any point.

With direct access to data, the Risk Management Department can run its own testing and auditing on current and historical data – a regulatory requirement mandated by the Reserve Bank of India. The risk group can also work on ad hoc analysis to fine-tune how the bank should proceed, instead of expending all its efforts to simply meet reporting requirements.

Bank of India, like others with increasingly complex portfolios, must meet regulator expectations for robust risk management frameworks, including quantitative and qualitative measures to assess risk and respond quickly. It is imperative for risk management departments to have the capability to independently conduct ad hoc analysis and create reports.

“SAS has helped us solve our teething problems with respect to data and analytical capabilities,” says Karmakar. “We now have excellent risk management capabilities for both regulatory and internal requirements.”