Controlling bank risks

Raising bank profit, controlling its risks, as well as MaRisk

Frank Kathage

Your Contact Person

Frank Kathage | Senior Manager
Hammer Straße 165
48153 Münster

Risk reporting and analysis functionalities



Asset liability management (ALM) system module

zeb.control.risk - ALM software module

ALM software module of zeb.control.risk supports you in planning and controlling the key return elements of maturity and liquidity transformation. With this software, we offer you a reliable and well-proven ALM tool for the targeted management of the balance-sheet structure and the related bank-wide interest rate and liquidity risks.

Many credit institutions face discrepancies between management information from present-value and from period-oriented planning. However, plans based on period-oriented P&L view are only suitable up to a limited extent for assessing decisions on assets/liabilities. We offer you an integrated management system that eliminates these deficiencies. Specifically, the ALM solution supports you with the following functionalities and features:

Profit planning

The actual values recorded are used to forecast the future net interest received and the valuation result of interest-bearing financial instruments – in different currencies and in line with alternative accounting rules (e.g Local GAAP and IFRS).

In the context of further period-oriented planning parameters (e.g. administrative expenses, commission results, etc.), performance can be simulated down to operating results or annual profits and equity development – taking account of different planning scenarios (e.g. balance sheet and capital market development). The interest income can be broken down into condition contributions, contributions from interest maturity transformation and liquidity maturity transformation both for the current result and subsequent periods. The key USPs of the ALM module are the differentiated planning of structural contributions on the basis of target cash-flow profiles and the reconciliation of present-value and period-oriented result parameters.

With regard to liquidity, the module ALM also allows you to calculate the new regulatory indicators "liquidity coverage ratio" (LCR) and "net stable funding ratio" (NSFR). The software can compute both the current values and, based on the bank's plans for the balance-sheet structure, the development of these two ratios for the entire planning horizon so that any necessary actions can be taken early on.

Single contract calculation

With the help of zeb’s calculation engine the calculation of Cashflows on single contract level is possible and, besides a high performance, individual contracts can be analysed.

Flexible reporting module

With the reporting module, Cashflows can be intuitively analyzed as pivot tables within the familiar surface. Even drill-downs to individual contracts and filtering for all dimensions are possible. On top of the dimensions already known, further customized ones are taken into account. Since customized dimensions are delivered on individual contract level, analyses can be designed flexibly based on customer-specific requirements, so it is no longer necessary to divide base positions for analysis. Based on the standardized data basis or a data basis extended to include additional KPIs, customized standard reports can be generated.

Risk management

Risk measurement and profit management for interest rate and liquidity positions are based on the representation and valuation of cash flows from "on balance sheet" and derivative transactions. Individual interest rate and liquidity cash flows can be valued on the basis of different yield curves.

Several approaches can be used to measure the interest rate risk: the module ALM supports not only scenario-based methods, but also variance/co-variance approaches or full historical simulation. Finally, the integrated consideration of performance and risk permits the risk-adjusted valuation of the control portfolios.

For liquidity risk, changes can be simulated with regard to liquidity coverage potential and prospective inflows and outflows based on defined stress scenarios.

Trading, settlement and risk management processes

zeb.control.risk - Trading software module

Credit risks identification, portfolio optimization

zeb.control.risk - Credit software module

Increasing pressure on margins and rising regulatory requirements (MaRisk) call for a consistent, risk-adjusted management of the loan portfolio. zeb.control.risk - Credit offers you an innovative software for managing your loan portfolio. The system combines findings from portfolio structure analyses for the past and the present with the future-oriented approach of a value-at-risk concept. Specifically, the module Credit supports you with the following functionalities and features:

Portfolio structure analysis

The standard reports allow you to quickly get an overview of the actual risk situation based on an analysis of the portfolio structure at various aggregation levels (e.g. assessment of credit ratings, volumes and sectors). Both classic indicators, such as expected loss, gross as well as net exposure, and modern parameters, such as value at risk (VaR), expected shortfall (conditional VaR) and RORAC, are used for this analysis. Comparative reports help you to identify changes over the previous month and recognize emerging trends faster.

Flexible scenario analyses and stress testing

The Credit module supports you with a scenario manager in which you can independently change the most significant market and model parameters. It includes a rating table with rating migrations, recovery rates and fluctuations in the value of collateral as well as default time series by industry. As a result, the impact of diverse changes in market conditions can be studied easily and quickly. By including individual (new) transactions or by excluding them from the calculations, you can analyze in detail how changes in the portfolio's composition affect the outcome, for example, in order to assess actions designed to reduce risks (e.g. securitization).

Benchmarking, comparing with portfolio structure, loss distribution and characteristic risk performance indicators

In the Credit module, benchmark or simulation portfolios can be separately defined and analyzed so that you can directly compare them with the actual portfolio with regard to their structure, loss distribution and characteristic risk performance indicators at all the relevant aggregation levels (e.g. overall portfolio, sector). Trend indicators allow you to recognize positive and negative deviations at a glance at the level of sectors, rating classes or customers.