ERMAS™ Suite

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Overview

ERMAS™ (Enterprise Risk Management Solution) Suite unifies liquidity, credit, and interest rate risk measures into a methodologically consistent framework, providing full coverage of ALM, IRRBB, integrated liquidity, fund planning, P&L simulation, provisioning and capital planning.

This integrated suite covers the full spectrum of Balance Sheet Management needs, with a strong emphasis on retail and corporate banking business. The integrated platform supports all key processes of CRO, CFO and Treasury departments, starting from the same input data and leveraging a common methodological framework. ERMAS™ encompasses a set of tools and analytical modules covering ALM, Traded and Non-Traded Market Risk, Liquidity & Funding Risk, Credit Risk, IFRS9, Economic and Regulatory Capital analysis, and FTP and Margin analysis according to international best practices and in full compliance with the local regulation.

ERMAS Lab delivers multi-scenario simulations of balance sheet, income statements and key risk indicators, through a user-defined model library that orchestrates macro-economic scenarios, planning tools and satellite models, within a sophisticated stochastic analytical environment. ERMAS Lab is the natural complement to ERMAS Balance Sheet Management module, designed to support deterministic simulations within a more traditional Asset Liability Management framework.

Key Features

Main features of the ERMAS™ BSM Platform

Methodologies:

  • Integrated framework for IRRBB, Liquidity and Credit Risk
  • Equation Editor to implement users-defined models, in particular for pricing and behavioral dynamics
  • Fully compliant with BCBS and EBA principles for IRRBB and Liquidity Ris
  • Fully compliant with latest EBA guidance on Stress Testing
  • Advanced FTP framework based on a building block approach, offering comprehensive pricing capabilities
  • Full integration with FTP framework and Margin Analysis
  • Scenario-dependent Behavioral Modelling capabilities
  • Support to P&L analysis on ex-post basis for Margin Backtesting

User Experience

  • Full support to data cleansing and transformation
  • Parameterization intuitive and fully supported by GUIs
  • Comprehensive diagnostic and integrity controls
  • Availability of a pre-configured reporting library and the possibility to generate customized reports, metrics, ratios, etc.
  • Automatic production of all regulatory templates and dashboards for ALCO
  • Interactive “in memory” simulation to generate dynamic forecasting of Earning and EV metrics in real-time
  • Interactive Liquidity Platform enabling users to perform regulatory and managerial analyses and simulations in real-time both for static and forecasting analysis
  • Interactive “on line” FTP simulator supporting external pricing needs of Treasury / Corporate units

Architecture

  • Compatible with on-premises, IAAS, PAAS, SAAS schemas
  • Distributed calculation to ensure high performance with big data and Hadoop compatibility
  • Multi-department management via work-spaces
  • Support to partial, incremental and scheduled (re)running
  • Full auditability and traceability
  • Users profiling functionalities to manage multiples roles
  • Flexible input data dictionary, with multiple interface options
  • Workflow-driven configuration of analytical processes

Key Benefits

Key Benefits of the ERMAS™ Suite

  • Balance Sheet and P&L forecasting, explicitly designed to support strategic planning and portfolio optimization
  • Interactive simulation of future business and market scenarios, automatically comparable with realized P&L of past periods
  • Static and dynamic sensitivity analysis, performed according to the latest BCBS and EBA guidance on Non Traded Market Risk
  • Flexible interest rate scenarios set-up, enabling to meet the six prescribed BCBS scenarios
  • Automatic generation of optimal hedging portfolio, designed to stabilize or maximize a predefined risk indicator under given constraints
  • Interactive workspace for managing liquidity strategies and metrics, enabling the users to rerun analyses and simulations in real-time
  • Automated production and full auditability of all EBA templates: historical data, initial state and projections, with the possibility to drill-down each result to understand the underlying dynamics.

Key Benefits of the complementary solution, ERMAS LAB:

  • Scenario library: access to a library of more than 3,500 dynamic models, generating baseline projections and assuring a fully consistent evolution of the macro-economic, financial and market variables. The predictive power of econometric models is guaranteed through periodical assistance for their calibration and re-estimation.
  • Satellite models: allowing transmission of risk factor volatilities for the risk parameters of the bank (PD and LGD, RE prices, rates, government yields, etc.).
  • Planning model: enabling comprehensive simulations of the balance sheet and income statement variables according to the financial characteristics of the assets/liabilities, their dependencies to the changes occurring to the scenario variables, and the future managerial actions.
  • Pillar 1 Risk models: empowering accurate estimations of capital adequacy ratios under multiple scenarios and managing different regulatory approaches for the Credit RWA calculation: standardized approach vs AIRB approach.
  • Pillar 2 Risk models: enabling ICAAP analysis and simulations of economic capital measures according to multiple risk maps (e.g. credit VaR, Monte Carlo VaR, real estate risk, pension risk, business risk, strategic risk, etc.) and supporting advanced estimation of the diversification benefit through the simulation of copulas and structural modeling approaches.
  • Behavioral Models: developing probabilistic approaches to sight deposit attrition, pre-payment, NFCI and other behavioral metrics.
  • Data management tools: exploiting Python libraries to automate data-driven tasks and build up fully customized data management components.