ETL/DWH/BI competence center

Speaker VASYL BUZUYEV2014

MAIN Competences and experience

Core banking systems (development and support)

Retail banking systems (consulting, development and support)

Internet banking systems (development and support)

Invoicing systems (Utilities) Billing systems (ISP, Utilities) Exchanges (CURRENCY, STOCK)

BI/ DWH/ ETL for banks

Application integration (IBM WEB Sphere ESB)

J2EE CODE Generation Systems (Metasoft Rapid Development Machine)

SOA, Software landscape optimization

Business Process management (REENGINEERING, BPMN, BPEL)

RISK MANAGEMENT CONSULTING for banks

Goals

Complex ETL/DWH/BI solutions delivery based upon proven and scalable platforms

Consulting support in building of:o CES (Controllability Enhancement

Strategy)o DSS (Decision Support systems)o Enterprise level risk management

systems

Market Segments

Competence Centre

Banks

Insurance companies

Retailers

Financial service providers (Invoicing, billing, asset management)

Business is in the trend

Gartner Predicts Business Intelligence and Analytics Will Remain Top Focus for CIOs Through 2017http://www.gartner.com/newsroom/id/2637615

Our Solutions

Enterprise Risk Managemento Credit Risk Management o Liquidity Risk Management o Market Risk Management o Operational Risk Management

Basel II/ Basel III

We possess the following well-known and author's approaches in:

Balance sheet statement analysis Asset Liability Management (ALM) Liquidity and Cash Flow

Management Funding Transfer pricing models Portfolio management

BI & DWH, Risk management consulting for banks

Decision-centric system and processes Action-oriented system and processes Predictive analytics

It marks a transition from MIS (Management Information Systems) to DSS (Decision Support Systems)

Our Solutions ENHANCEMENT of CONTROLLABILITY

We propose new generation systems based on :

We provide our customers with: Decision making effectiveness control at

each management level Shifting from rational decisions to optimal

ones

Our Solutions ENHANCEMENT of CONTROLLABILITY

We consider management processes holistically: Finance – Business – Treasury – Risk Management – Marketing.

We base our solutions on Decision-making and Optimal automatic control and modern finance theories.

Our Solutions

Based on Gary Cokins cash flows models we developed an author’s Complex Risk Management System for banks which integrates all the following risks: Credit risk Deposit risks Market risks Operational risk Liquidity risk

Using the system ensures the target return on equity, liquidity and coverage of risks.

ENHANCEMENT of CONTROLLABILITY

Our Solutions

the construction of arbitrage-free and risk-free zero-coupon yield curves building up marketing supply curves of deposits (total and across to

maturities) assessing the early withdrawal and rollover risks of deposits based on "cash

flow at risk“ approach deposit pricing taking into account the mutual influence of early withdrawal

and rollover risks, migration between the deposit products and embedded options

Retail Deposit Portfolio management

We have competence in addressing the full range of tasks of managing a portfolio of retail bank deposits, including :

Our Solutions

building the dynamic optimal pricing of deposits based on automatic control theory that allows increasing the controllability of attracting the retail deposits

an novel estimates of lifetime of cash on non-maturity accounts, and their present value (which differs from the well-known Jarrow-van Deventer model)

Thus, we can solve daily problems - how to achieve planned, target volumes (or deposit market share) with a minimum interest expense and controlled levels of deposit risks.

Retail Deposit Portfolio management

We have competence in :

The application of these approaches in the largest Ukrainian banks permits increasing its competitiveness by providing planned inflow of deposits at lower interest expense and controlled levels of deposit risks. Interest rates fell by 0.2 ... 0.5% at a general level interest rates of 18%.

Our Solutions

pricing loans based on "cash flow at risk“ approach and the continuous time model (continuous accrual of interests and assessment of default) taking into account the liquidity premium (otherwise the loan remains undervalued as Bohn & Stein said)

obtaining direct, explicit analytic function for the borrower’s survival probability that is free of assumptions about the type of default process, unlike the standard approaches suggesting that the default process subjects to the Poisson, Cox, Markov laws or others; assessment of the new unified measure taking simultaneously into account the both prepayment and default events

stochastic modeling defaults by Monte Carlo Techniques for the first time the dynamic optimal pricing and cut-off scoring for the

retail loan portfolio based on automatic control that allows increasing the controllability of retail lending including the quality of the loan portfolio

Retail Loan Portfolio management

We have the competencies to meet the challenges of portfolio management of retail loans, including:

Our Solutions

We have experience in modeling of the bank’s financial activities including the prediction of the balance sheet, income and cash flow statements

In particular, the original models for the forecast of the bank's ability to create provisions for loan losses taking into account the balance sheet and profitability requirements were developed

Forecasts based on Financial activities models

Due to using these models the large (by the Ukrainian standards, with a balance-sheet of 2.6 BLN US dollars) Ukrainian bank was successfully restructured its debt to international financial institutions (80% discount)

Our Solutions

Construction of internal models for integrated assessment of liquidity cushion for coverage of credit, deposit, market and off-balance sheet risks

It fully meets the requirements of Basel III

Liquidity cushion

This approach declares principle: having this cushion “may sleep quietly”

We have competencies in :

Our Solutions

This is the only method that uniquely distributes cash flows from assets and liabilities between them by terms remaining to maturity

It allows directly allocating the funding cost on the loan price It takes into account the specific characteristics of a bank to attract and

allocate resources. The approach seamlessly integrates risks, in particular, credit risk and liquidity

risk, as well as the capital requirement imposed RAROC-approach

Asset and liability management (ALM)

We have competencies in the building a two-dimensional funding matrix for solving problems in asset and liability management :

Our Solutions

It is suitable for both pricing of new assets and liabilities, as well as to evaluate the effectiveness of existing deals for performance measurement

The matrix is useful for funding transfer pricing The method is applicable to both the banks and insurance companies

Asset and liability management (ALM)

We have competencies in the building a two-dimensional funding matrix for solving problems in asset and liability management :

Using the matrix in control of a large Ukrainian bank allowed it to optimize the pricing assets and liabilities taking into account the regulatory requirements of the Central Bank to the capital adequacy. We developed rigorous mathematical integral models to modeling cash flow streams occurred in banks.

Our Solutions

Building internal models to estimate capital under credit, market and operational risks including creditworthiness ones

Assessment of provisions for credit losses from non-homogeneous loan portfolio with dependent defaults

Collateral management

Basel II

Our Solutions

The estimation of the Liquidity Coverage Ratio (LCR) and the Net Stable Funding Ratio (NSFR) in accordance with the requirements of Basel III

Building the internal models for integrated assessment of liquidity cushion size for coverage of credit, deposit, market and off-balance sheet risk, that is fully compliant with Basel III

The development of bank’s cash flow models The evaluation of behavioral streams of cash flows

Liquidity and liquidity risk management (Basel III)

The LCR and NSFR calculations were implemented in a large Ukrainian bank and worked successfully during 2008-2013

Our Solutions

The direct, explicit extraction of forward and spot yield curves from fixed coupon bond prices

The evaluation of survival probabilities of bond issuers that is free from any assumptions about kind of default process

The estimation of credit spreads from fixed coupon bond prices

Building yield curves

We possess knowledge and experience in :

Solution architecture example (IBM)

Our advantages

In-depth knowledge of banking activity Extensive practical experience in creating core banking, retail banking, card

processing systems Successful experience in creating Banking Datawarehouse, BI solutions

based on IBM and SAS platforms Solid experience of working in banks We possess a knowledge how to translate the partly-structured problems in

banking to fully structured ones and thus how to increase the bank's controllability

The presence of an English-speaking team, core competencies holders for such projects and ready to change their place of work and markets (see resumes in the attachment)

Knowledge of DWH/BI solutions development methodologies and development tools

The deep skills to use modern advanced approaches in finance: the (Value at Risk, Cash Flow at Risk, time value of money (present and future values), the risk-neutral pricing derivatives, free-arbitrage approach, stochastic simulation by Monte Carlo, etc.

We know what to do with the data

Thank you

Vassily.Buzuyev@gmail.comTel. +38 (067) 232-16-45Skype ID: buzuyev

Our contacts