Copyright © 2003, SAS Institute Inc. All rights reserved. Basel II and Beyond… SAS Risk Intelligence Simona Bonghez, PMP Consulting Manager - SAS Institute Romania

Copyright © 2003, SAS Institute Inc. All rights reserved. 2 Agenda SAS Institute SAS Risk Intelligence Strategy Key Strengths Current Market Position

Copyright © 2003, SAS Institute Inc. All rights reserved. 3 Agenda SAS Institute SAS Risk Intelligence Strategy Key Strengths Current Market Position

Copyright © 2003, SAS Institute Inc. All rights reserved. 4 SAS Institute - Global Reach & Local Presence Connecting with Customers  156 offices in 53 countries  9,332 employees  4 million users worldwide 41,708 sites 108 countries  Hundreds of local user groups globally  Since 2000 – present also in Romania

Copyright © 2003, SAS Institute Inc. All rights reserved. 5 Agenda 1. SAS Institute 2. SAS Risk Intelligence Strategy 3. Key Strengths 4. Current Market Position

Copyright © 2003, SAS Institute Inc. All rights reserved. 6 Boards usually determine the risk management development pace Adapted from: “Risk Management” by Michel Crouhy, Dan Galai and Robert Mark, 2001, p 662 Quality of Decision-Making Identify, Monitor and/or Avoid Stress Test and Scenario Analysis Stage of evolution Statistical Risk Measures Active Portfolio Management Economic Capital Allocation Differentiated Hurdle Rates Limit Management Risk Analysis RAROC Increasing Knowledge Requirement Basic exposure management Risk de-construction & forward looking measures Optimal capital investment Risk transfer

Copyright © 2003, SAS Institute Inc. All rights reserved. 7 Boards usually determine the risk management development pace Adapted from: “Risk Management” by Michel Crouhy, Dan Galai and Robert Mark, 2001, p 662 Quality of Decision-Making Identify, Monitor and/or Avoid Stress Test and Scenario Analysis Stage of evolution Statistical Risk Measures Active Portfolio Management Economic Capital Allocation Differentiated Hurdle Rates Limit Management Risk Analysis RAROC Increasing Knowledge Requirement Fully developed Enterprise Risk Management relies upon: a risk oriented management culture significant data history (5+ years) a risk analysis skill base calibrated measurement tools supporting Information systems effective policies & procedures Basic exposure management Risk de-construction & forward looking measures Optimal capital investment Risk transfer

Copyright © 2003, SAS Institute Inc. All rights reserved. 8 SAS Industry Framework

Copyright © 2003, SAS Institute Inc. All rights reserved. 9 SAS Industry Framework

Copyright © 2003, SAS Institute Inc. All rights reserved. 10 SAS Industry Framework

Copyright © 2003, SAS Institute Inc. All rights reserved. 11 SAS Industry Framework

Copyright © 2003, SAS Institute Inc. All rights reserved. 12 SAS Industry Framework  Credit Scoring & Rating  Portfolio Analysis  Capital Calculation  Capital Allocation Credit Risk

Copyright © 2003, SAS Institute Inc. All rights reserved. 13 SAS Industry Framework Fraud  Investigation Workflow  Link Analysis  Transaction Monitoring  Fraud Modeling  Fraud Analysis

Copyright © 2003, SAS Institute Inc. All rights reserved. 14 SAS Industry Framework Market Risk  Asset Liability Analysis  Risk Projection  Analyze & Model Risk  Manage & Control Market Data

Copyright © 2003, SAS Institute Inc. All rights reserved. 15 SAS Industry Framework Anti-Money Laundering  Investigation Workflow  Transaction Monitoring

Copyright © 2003, SAS Institute Inc. All rights reserved. 16 SAS Industry Framework Operational Risk  Self Assessment/SOX  Loss Data Collection  External Loss Data  KPIs & Fraud Scenario Analysis  Analytics & Capital Calculation

Copyright © 2003, SAS Institute Inc. All rights reserved. 17 Enterprise Intelligence Platform OpRisk AML Market RiskALMFraud Credit Risk Shared Risk Repository Shared Risk Metadata Dashboard (KRIs) Diagnostics Analytics Process View SAS Risk Governance SAS Risk Intelligence Platform

Copyright © 2003, SAS Institute Inc. All rights reserved. 18 Agenda 1. SAS Risk Intelligence Strategy 2. Key Strengths 3. Current Market Position

Copyright © 2003, SAS Institute Inc. All rights reserved. 19 Gartner Magic Quadrant for Basel II Risk Management Application Software (Aug 2005) The Magic Quadrant is copyrighted August 2005 by Gartner, Inc. and is reused with permission. Gartner’s permission to print or reference its Magic Quadrant should not be deemed to be an endorsement of any company or product depicted in the quadrant. The Magic Quadrant is Gartner’s opinion and is an analytical representation of a marketplace at and for a specific time period. It measures vendors against Gartner-defined criteria for a marketplace. The positioning of vendors within a Magic Quadrant is based on the complex interplay of many factors. Gartner does not advise enterprises to select only those firms in the Leaders segment. In some situations, firms in the Visionary, Challenger, or Niche Player segments may be the right match for an enterprise's requirements. Well-informed vendor selection decisions should rely on more than a Magic Quadrant. Gartner research is intended to be one of many information sources and the reader should not rely solely on the Magic Quadrant for decision-making. Gartner expressly disclaims all warranties, express or implied of fitness of this research for a particular purpose. This Magic Quadrant graphic was published by Gartner, Inc. as part of a larger research note and should be evaluated in the context of the entire report. The Gartner report is available upon request from SAS Institute

Copyright © 2003, SAS Institute Inc. All rights reserved. 20 Gartner Magic Quadrant for Basel II Risk Management Application Software (Aug 2005) The Magic Quadrant is copyrighted August 2005 by Gartner, Inc. and is reused with permission. Gartner’s permission to print or reference its Magic Quadrant should not be deemed to be an endorsement of any company or product depicted in the quadrant. The Magic Quadrant is Gartner’s opinion and is an analytical representation of a marketplace at and for a specific time period. It measures vendors against Gartner-defined criteria for a marketplace. The positioning of vendors within a Magic Quadrant is based on the complex interplay of many factors. Gartner does not advise enterprises to select only those firms in the Leaders segment. In some situations, firms in the Visionary, Challenger, or Niche Player segments may be the right match for an enterprise's requirements. Well-informed vendor selection decisions should rely on more than a Magic Quadrant. Gartner research is intended to be one of many information sources and the reader should not rely solely on the Magic Quadrant for decision-making. Gartner expressly disclaims all warranties, express or implied of fitness of this research for a particular purpose. This Magic Quadrant graphic was published by Gartner, Inc. as part of a larger research note and should be evaluated in the context of the entire report. The Gartner report is available upon request from SAS Institute

Copyright © 2003, SAS Institute Inc. All rights reserved. 21 Source: Chartis Research – Copyright OpRisk Software Market This chart was published by Chartis Research Limited in 2005 as part of a larger research note and should be evaluated in the context of the entire report. The Chartis report is available

Copyright © 2003, SAS Institute Inc. All rights reserved. 22 Source: Chartis Research – Copyright OpRisk Software Market This chart was published by Chartis Research Limited in 2005 as part of a larger research note and should be evaluated in the context of the entire report. The Chartis report is available

Copyright © 2003, SAS Institute Inc. All rights reserved. 23 Agenda 1. SAS Risk Intelligence Strategy 2. Key Strengths 3. Current Market Position

Copyright © 2003, SAS Institute Inc. All rights reserved. 24 Critical Success Factors Functionality Data Experience Flexibility Value Proposition

Copyright © 2003, SAS Institute Inc. All rights reserved. 25 Financial Insights, Marketplace FIN1449, April 2004, Peter Keppler, Deborah Williams Financial Insights: Credit Risk Solution Elements

Copyright © 2003, SAS Institute Inc. All rights reserved. 26 Credit Risk Solution Elements covered by SAS Credit Risk Management SAS Credit Risk Warehouse SAS Credit Scoring SAS Credit Portfolio Risk Mgmt SAS Credit Risk Dashboard

Copyright © 2003, SAS Institute Inc. All rights reserved. 27 Critical Success Factors Functionality Data Experience Flexibility Value Proposition

Copyright © 2003, SAS Institute Inc. All rights reserved. 28 Data organisation will drive success Risk Data Store Operational Systems (Teradata) Analysis & Aggregation Extract, Transform, Load (ETL) & confirm Quality Operational Systems (SAP) Metadata Layer Data CubeTable Report

Copyright © 2003, SAS Institute Inc. All rights reserved. 29 Rapid and Low Risk Data Management  Data Model for Credit Risk Management  Out of the box ETL from within ETL Studio  Configured “ready-to-go” credit risk management data mart Credit Risk Data Mart

Copyright © 2003, SAS Institute Inc. All rights reserved. 30 Data Management

Copyright © 2003, SAS Institute Inc. All rights reserved. 31 Critical Success Factors Functionality Data Experience Flexibility Value Proposition

Copyright © 2003, SAS Institute Inc. All rights reserved. 32 Flexible Architecture Leveraging Your Existing Technology Investments Credit Risk Detailed Data Business Unit Analysis Business Unit Results Consolidated Results Feedback Management Information Data

Copyright © 2003, SAS Institute Inc. All rights reserved. 33 Flexible Analytics Meeting Your Evolving Needs  Portfolio Definition  Risk Factor Modelling  Asset Pricing  Monte Carlo Simulation  Market, Credit & Operational Risk

Copyright © 2003, SAS Institute Inc. All rights reserved. 34 Critical Success Factors Functionality Data Experience Flexibility Value Proposition

Copyright © 2003, SAS Institute Inc. All rights reserved. Review Assessment Requirements Design Construction Final Test Deployment SAS Basel 2 Implementation Methodology More than 60 SUCCESSFUL Basel 2 Customers Over 1000 banking industry customers

Copyright © 2003, SAS Institute Inc. All rights reserved. 36 Reporting Structure: Professional Services – Risk Practice Resourcing Implementation Partners Solutions Implementation Support

Copyright © 2003, SAS Institute Inc. All rights reserved resources with Good to Excellent Risk Management knowledge Basel II, Credit Risk, Risk Mangement Risk Dimensions … probably some double counts for these categories

Copyright © 2003, SAS Institute Inc. All rights reserved. 38 Risk Practice – Knowledge Sharing   CDI Toolpool

Copyright © 2003, SAS Institute Inc. All rights reserved. 39 Resources  Resource Sharing  Key sources: Belgium (Lead Practice), Denmark, South Africa

Copyright © 2003, SAS Institute Inc. All rights reserved. 40 Critical Success Factors Functionality Data Experience Flexibility Value Proposition

Copyright © 2003, SAS Institute Inc. All rights reserved. 41 Copyright © 2003, SAS Institute Inc. All rights reserved. 41