Polish commercial bank BGZ Bank has gone live with FRSGlobal’s automated solution for risk management and profitability analysis, RiskPro. As a result of the implementation the bank can benefit from the following functionality:
- Asset and liability management (ALM) – including advanced analyses of interest rate and basis risks, income- and value-based risk estimates (income-at-risk, equity-at-risk).
- Market risk – with Monte Carlo and parametric value-at-risk (VaR).
- Liquidity risk – with customised gap and cash flow reports for on- and off-balance items, using advanced assumptions related to pre-payments and sales.
- Funds transfer pricing (FTP) – at single contract level allowing for central management of core business driven interest rate and liquidity risks, using advanced replication and exposure assignments methods.
- Foreign exchange (FX) risk – covering foreign exchange position reporting and VaR analysis.
- A central repository of contract and calculation details, accessible via spreadsheets, log files, internal database (GADB), and the bank’s business information (BI) tools (Business Objects, using FRSGlobal’s interface).
The first stage of the project involved FRSGlobal using RiskPro’s extract transform load (ETL) tool to automate the transfer of the details of over 1.5 million of the bank’s contracts creating a single repository of data. These contracts cover a wide range of the bank’s treasury products including interest rate swaps (IRSs), cross-currency interest rate swaps (CIRSs), overnight index swaps (OISs), forward rate agreements (FRAs), FX swaps, FX forwards, treasury and corporate bonds, T-bills, plain vanilla and exotic FX options, as well as full range of BGZ’s banking book products: term deposits, current and saving accounts, loans, credit cards, factoring, etc, which were previously managed separately.
Artur Godlewski, director of financial risk management bureau at BGZ bank, said: “It is essential that we have a full understanding of the level of risk the firm is exposed to at any time, and FRSGlobal’s RiskPro enables us to do this. Specifically, the powerful range of static and dynamic risk analyses, flexibility in parameterisation of reports, the system’s high performance, the wide range of contract types it provides us with, and the ability to deconstruct the bank’s products into building blocks were all key factors behind our choice.”
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