Best Practices in Reporting_risk management

Best Practices in Reporting

Meeting the goal of an enterprise risk management platform

WHITE PAPER

SAS White Paper

Table of Contents

Executive Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1Reporting Framework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2Report Data Quality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .6Report Consumers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .8

Best Practices in Reporting

Executive Summary

This paper is part of a series highlighting technologies related to best practices in enterprise risk management (ERM) . Other SAS papers in this series include Best Practices in Data Management: Meeting the Goal of an Enterprise Risk Management Platform, emphasizing the importance of data management in achieving the goals of an enterprise risk framework, and Best Practices in Credit Risk . Reporting — the subject of this paper — is another important and equally crucial component of an ERM framework . A sound reporting framework Data is managed and stored for the purpose of analyzing it and reporting on the results . Reporting is critical for every risk management department for a variety of reasons: Banks must comply with regulatory obligations, and doing so always involves an element of supervisory review that demands sound, clear reporting . Banks encounter various risks depending on the exposures they carry, their own internal risk limits and economic capital standards . A sound reporting framework allows a bank to monitor all the risks pertaining to its portfolio (e .g ., market, credit, liquidity, etc .) and intervene if necessary, as well as ensure that all decision makers have the intelligence needed to determine the appropriate course of action on the daily activities of the bank . As part of a sound enterprise risk management platform, reporting should cover many aspects of the risk management process, such as: Exposure profile. Limits adherence. Risk factor sensitivities.

VaR, CVaR and other expected shortfall measures.

Model structure inputs and assumptions (e.g., asset correlations for a contingent claims model or GARCH model assumptions in estimating volatility of an underlying asset for option pricing) . Regulatory capital adequacy requirements.

All of the above share data. For example, data used to report on exposure profiles would be used for economic and regulatory capital reporting . Therefore, we have one of two main frameworks for generating all of these reports:

» 1 . Disparate systems that communicate via middleware and require a considerable amount of work to move data from one to the other .» 2 . A framework that processes data without the need for “bridges,” seamlessly moving data from one processing step to the next.In the SAS paper Best Practices in Data Management: Meeting the Goal of an Enterprise Risk Management Platform, we explained the importance of data

management in this framework. Here, we will describe the benefits that the reporting management framework brings to the process of risk management .

allows a bank to monitor all the risks pertaining to its portfolio (e.g., market, credit, liquidity, etc.) and intervene if necessary, as well as ensure that all decision makers have the intelligence needed to determine the appropriate course of action on the daily activities of the bank.

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SAS White Paper

Reporting Framework

What is a reporting framework? Where does it exist? How does it function? What benefits does it bring?

First of all, reports require data, which – as we have described – should reside in a framework that is capable1 of generating and processing this data according to business rules to produce intelligence . Therefore, data and reports should share the same architecture to achieve an unhindered flow of data and accurate result and report representation with as little IT management as possible . Do not forget that IT departments have a lot on their plates .

A reporting framework must share the same architecture with the data management (and analysis) component . This architecture can function well when it implements a common framework of metadata, security and services .2

Reporting client applications can be as perse as is required by today’s multichannel working environment (e.g., some users prefer Microsoft Excel, others a Web portal, others a .NET or Java client application, etc .) . A proper architecture should allow APIs to surface these services and access the servers that will process the data and produce results . Architecture, here, means an n-tier architecture, where a reporting client is separated from the software server that will do the processing. Below is an example of the flow of data within this architecture:

A Java GUI can create business metadata for an OLAP cube created in batch using the OLAP server functionality of the framework. Both the business metadata and the OLAP cube share the same metadata framework, allowing metadata to be shared and accessed via the various applications that will process the data . A report is created by (for example) a drag-and-drop Web report application client – e .g ., a WAR deployed in an application server – or via a .NET application (the architecture should allow us this flexibility). The report is deployed by submitting it to channels of a risk management portal so that it is accessible by users with the appropriate access rights . If desired, the report could be dynamically generated by using a macro …… 此处隐藏：13191字，全部文档内容请下载后查看。喜欢就下载吧 ……