Ermas Consulting Inc. : Exceeding Expectations

Our Approach to Integration Consulting

Ermas Stress Testing

  1. Overview
  2. Benefits
  3. Features
  4. Screenshots
  5. System Requirements

Overview

  • Ermas Stress Testing supports both supervisory and ad-hoc stress testing.
  • Ermas Stress Testing supports Automated Stress Testing: Running predefined scenarios regularly in an automated way allows senior management to review stress testing results periodically, for instance as a component of the Internal Capital Adequacy Assessment Process (ICAAP).
  • Ermas Stress Testing supports Ad-hoc Stress Testing: The user can create ad-hoc scenarios based on certain situations occurring as-of-today in order to analyze the referring stress impact allowing to take action in a timely manner.
  • The user can compute Stress results for the total portfolio, for user defined sub-portfolios, and at the transaction level.

Benefits

Cost efficient
  • Ermas Software deployment is based on basic SAS Modules referring to SAS BASE, STAT, ETS, IML, Graph, Integration Technology and SAS Share. This is a very cost effective way of deploying Risk Analytics.
  • Ermas Software also supports R language, C and C++ code. This enables the user for example to build Risk Analytics based on R open source language, in order to reduce commercial Software Fees.
Integrated with SAS
  • Proprietary SAS Model code can be fully applied within Ermas software.
  • Ermas Software is fully integrated with the SAS language and enables the user to develop proprietary SAS models and to expedite the deployment of new production SAS models.
Scalable
  • Ermas Software can leverage a multi-core computing infrastructure and can be grid-enabled for fastest processing and scalability.
  • For example, Ermas Software can use SAS Connect (MP/Connect) to distribute processing load across multiple CPU cores fastest processing and maximum scalability.
  • No limitation in data volume processed.
Flexible
  • Open integration with proprietary or third party models allows to apply 'best-in-class' models for each financial product type ensuring unlimited financial product coverage and leveraging full pricing.
  • Each individual model (such as cash flow model, pricing model, PD-, LGD- and prepayment model, term structure model, credit-Value-at-Risk model, Economic Capital model, or other model) can be chosen by the user allowing leveraging proprietary knowledge and propriety models to perform most accurate risk management.
  • The Ermas Risk Framework allows banks to develop, validate, deploy, and track risk models faster, cheaper, and more flexibly than outsourced alternatives or desktop solutions.
Consistent
  • Ermas Risk Framework provides a risk management framework that is consistent with best practice of risk modeling in the financial services industry.
  • Consistent, accurate and reliable data is required in order to achieve best practice in risk management. Based on Ermas Risk Framework you can efficiently manage vast quantities of data from across the enterprise - this includes data from loan capture systems, trading systems, and risk factor agencies, loan performance data, among other data.
  • Ermas Risk Framework ensures to apply risk models and model parameters consistently across all portfolio and exposure types.

Features

  • The user can apply shocks to individual risk factor(s) (one or multiple), individual risk factor curves/vectors (one or multiple), entire risk factor categories (one or multiple) or any combination of the previously mentioned, allowing for instance to jointly stress market, credit and macroeconomic risk factors.
  • Ermas Stress testing features second-round effects allowing to relate changes of observable variables to changes of risk components through Stress Testing Models.
  • Stress Testing Models can be linear or non-linear multi-factor regression models or other models.
    • For example, PD or LGD shocks can be modeled in dependency on shocks of macroeconomic factors such as unemployment rate, gross domestic product growth rate or house price indices among other factors.
  • Ermas Stress Testing is extendable to cover shocks of user defined risk factors.
  • Ermas Stress Testing supports Stress Capital Analysis: For Regulatory Stress Capital Analysis for credit risk the shocked risk components PD, LGD and EAD across risk segments are available as system output, and Stress Capital Analysis is performed based on open integration with Basel II Regulatory Capital engines from third parties such as Fermat, Reveleus, SAS or in-house developed systems. Regulatory Stress Capital results are reported based on standardized reports.

Screenshots

System Requirements

SAS Software Requirements - SAS 9.1.3 or 9.2
  • SAS 9.1.3 or 9.2
  • SAS BASE, STAT, ETS, IML, Graph
  • SAS Connect
  • SAS Integration Technology
  • SAS Share
Java Requirements
  • Java 1.6
Web Portal Requirements
  • LifeRay 6.0