FRSGlobal, part of Wolters Kluwer Financial Services, a leading worldwide provider of compliance and risk management solutions for the financial services industry, today announced that 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:
1. 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)
2. Market risk - with Monte Carlo and parametric Value-at-Risk (VaR)
3. Liquidity risk - with customised gap and cash-flow reports for on- and off-balance items, using advanced assumptions related to pre-payments and sales
4. 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
5. FX risk - covering foreign exchange position reporting and VaR analysis
6. A central repository of contract and calculation details, accessible via spreadsheets, log files, internal database (GADB), and the bank's BI tools (Business Objects, using FRSGlobal's interface).
The first stage of the project involved FRSGlobal using RiskPro's 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 & 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.
Godlewski continued, "In terms of the actual implementation, we were very impressed with how easy it was to populate the system, parameterise the reports, and test the results using the data that was uploaded from our multiple source systems; and by the knowledge and hard work demonstrated by the FRSGlobal team. We are very pleased with our selection of RiskPro and look forward to working with them in the future."
Kris Van Bavel, VP EMEA North commented: "The fact that BGZ can use, re-use, slice, dice, stress test, and shock over 1.5 million contracts to create cash flows that represent any scenario is enormously beneficial to the business. BGZ will be able to provide internal management and regulators with deep insight into the business - a prerequisite in today's climate. Also, the fact that we could deliver such a pain-free implementation is testament to both the bank's and our team's dedication and collaboration. We are very pleased with the results of this project."