StatConsulting has successfully delivered an analytical project for BRE Bank Hipoteczny S.A.

BRE Bank Hipoteczny S.A., a part of BRE Group, is the biggest specialist mortgage bank in Poland.

Business challenge:

Implementation of the system for calculating and reporting of the Bank's exposure to market risk according to internal and supervisory requirements.

Solution:

The use of the StatMR System for the purposes of dedicated IT solution development together with the specialists from BRE Bank Hipoteczny.

Benefits:

• access to wide range of daily and monthly reports concerning market risk which can be generated by internal and external recipients;
• insight into calculation process;
• flexibility of the system configuration and its modifications or extensions that can be applied by the Bank.

The StatMR System implemented in BRE Bank Hipoteczny produces reports presenting market risk in various views:

• VaR models – including two complementary approaches to value at risk modeling,
• scenario analysis,
• stress tests.

The reporting includes various options of value at risk decomposition and visualization as well as models quality analysis (back-testing).

The StatMR System allows to prepare reports presenting market situation and change dynamics of significant risk parameters.

Furthermore, the solutions applied in the Bank enable users to view or manage extensive historical reports database.

Implemented StatMR reporting engine provides the Bank with possibility to define detailed visual form of produced documents.

“The StatMR System is a solution integrating wide range of statistical analysis with the flexibility and openness not available in other solutions.”, states Grzegorz Sadowski the Director of Controlling, Financial and Operational Risk Management Department at BRE Bank Hipoteczny S.A.