BRE Bank Hipoteczny S.A.

Business challenge:

The task was to implement a system for calculating and reporting the Bank's exposure to market risk according to internal and supervisory requirements.

 

Solution:

StatConsulting  used the StatMR System as a dedicated IT solution developed together with the specialists from BRE Bank Hipoteczny.

 

Benefits:

  • availability of a 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 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.

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

The StatMR System also prepares reports presenting market situation and the dynamics of change for significant risk parameters.

The solutions applied at the Bank lets users view and manage an extensive database of historical reports.

The implemented StatMR reporting engine lets the Bank employees define the visual form of the produced documents with precise detail.

“The StatMR System is a solution combining a wide range of statistical analyses 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.