Gnosis And Pisa Overview
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Transcript of Gnosis And Pisa Overview
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Overview of the Gnosis Independent Risk & Valuation Service and use of the PISA
Risk System
By Gnosis Group
September 2008
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Introduction
• Gnosis has developed flexible interest rate sensitivity tools to help financial service companies manage their risk.
• This analytical software is comprised of a number of tools including
PISA
(Portfolio Interest rate Sensitivity Analysis)
• Management of interest rate sensitivity remains a major driver of success for all types of financial service companies and their clients.
• Your institution can make a significant contribution to support its affiliates and clients by offering risk management services which may improve the fee based income for your organization.
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What PISA doesUsing PISA a financial institution or clients has the ability to:
• Decide whether they want to hold and fund or sell existing assets that may include loans, bonds or mortgages.
• Understand the effect of buying or selling certain securities on the risk profile of their portfolio.
• Understand the interest rate sensitivity of parts of or all of their balance sheets to better manage their risk and leverage business opportunities.
PISA:• requires very little additional support from the provider, • runs on Excel or can be available through the Web• can be available on the desktop of the appropriate
managers,• Provides a quick understanding of their risk positions • and interactively create what-if scenarios
PISA is fully customizable to meet the your or your client needs.
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Potential for you or your clients
• PISA could enable your organization to increase sales of securities, loans and other products.
• PISA generates profitable business for your organization by supporting the purchases of mortgages, loans and/ or securities.
• PISA provides better risk management reporting for the banks’ Boards of Directors and regulators.
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Gnosis Group
• Gnosis Group provides risk management training and consulting services.
• Gnosis’ proprietary training materials and interactive software has been used in leading investment banking institutions such as Citigroup and Merrill Lynch.
• Gnosis risk management services and software are provided to community banking institutions.
• Gnosis Group principals are banking professionals with experience in treasury and capital markets services and financial risk management.
• Their experience includes the development of financial analytical services and the implementation and use of sophisticated financial technology solutions.
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PISA functionality
• The slides that follow show examples of the functionality of the Gnosis’ PISA risk management applications.
• In these examples, the functionality is supplemented by the use of Bloomberg market data service.
• Gnosis has significant experience and methodologies to assess and apply market values to hard to value assets and liabilities.
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Flexible risk analysis
PISA has tools available for doing sensitivity analysis and value at risk calculations for all interest rate sensitive assets and liabilities.
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Access to market data
Up-to-the-minute market data such as swap rates, option volatilities, and PSA rates for mortgage backed securities can be provided through Bloomberg
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Creating the portfolios
Position data can be easily loaded into the application using templates
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The risk framework
Portfolios are broken down into risk buckets so PISA can quickly perform rate sensitivity, VaR, and other what-if analyses.
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Different scenarios
Different rate scenarios applied to portfolios can be analyzed.
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Clear results
Understandable results are provided instantly
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Drill down
The user can look deeper into the risks of each asset or liability category, or even individual securities, to better understand how the risks arise.
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Instant What-if’s
What-if scenarios can be analyzed by adding to or removing positions from the portfolio to change the risk profile.
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Immediate results
The results of the what-if scenarios are displayed immediately to support instant decisions where appropriate.
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Focus on bonds
Gnosis has developed specific analytical software for monitoring the risks in investment securities portfolios.
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To
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Parallel Yield Curve Shift (b.p.)
Total Return of Bond Portfolio
Sub Port 1
Sub Port 2
Sub Port 3
AGGREGATE
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Customizable analysis
Other tools can perform risk comparisons of a bond portfolio containing significant optionality with the risk in a market interest rate swap portfolio of similar size and duration.
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Gnosis & FHLBC Initial Marketing Support
• Gnosis will work with any institution or their clients to adapt PISA or its other tools for their specific use and environment.
• Gnosis will assist your organization or clients on the appropriate
implementation priorities.
• Gnosis will consider differing hosting and support models to facilitate the IT and operational environment
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Gnosis Engagement
Gnosis Deliverables
• Custom tailored applications
• Data templates for each application
• Hosting for the data and the applications on a secure server with Web access
• Direct support and training to your users and clients
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Next Steps
~~~~Gnosis is ready to work with you now