SAS Solution for Stress Testing v08.2021
Product update with various new features and enhancements.
Summary
SAS® Solution for Stress Testing is a solution available on SAS® Risk Stratum. The solution contains pre-built content that falls into the following categories:
Data Management
- Data definition templates for defining key input data
- Data definition templates for defining key input data
- Uploadable risk scenarios, credit / market risk models, and business evolution plans
- Pre-defined templates for creating business evolution plans
- A system for recording, tracking and governing data sets and data definitions, analysis runs for data quality checks, data transformation, credit risk calculations, front-book generation, balance sheet projection, and manual adjustments to data
Modeling and Analytics
- A COPULA and k-NN (k-Nearest Neighbor) based model for front-book generation
- Both an IFRS9-based and a CECL-based expected credit loss modeling methodology template for calculating stressed ECL and stressed RWA
Aggregation and Reporting
- Pre-built SAS Visual Analytics data quality reports that are aligned with BCBS239 standards
- Pre-built financial statement and management reports on stressed ECL and stressed RWA
Workflow
- Pre-configured workflows for managing either the EBA or CCAR stress testing cycle with end-to-end steps for calculating stressed ECL and stressed RWA
- A pre-configured workflow for managing an ICAAP capital adequacy planning exercise
- A pre-configured workflow within the ICAAP cycle for calculating short-term unstressed market risk and long-term stressed market risk
- Within the (configurable) workflows are additional elements for tracking issues, action plans, correspondence, CAP assessments, etc…
Compatibility for v08.2021
SAS Solution for Stress Testing v08.2021 is supported with the following products:
- SAS Risk Governance Framework 7.4 with hot fix D4Z014
- SAS Infrastructure for Risk Management 3.6
- SAS Model Implementation Platform 3.2
- SAS Visual Analytics 7.5
- SAS Risk Scenario Manager 4.2 & 4.3
SAS Solution for Stress Testing v06.2020
Product update with various new features and enhancements.
Summary
SAS® Solution for Stress Testing is a solution available on SAS® Risk Stratum. The solution contains pre-built content that falls into the following categories:
Data Management
- data definition templates for defining key input data
- sample data quality rules for the checking and adjustment of portfolio data
- uploadable risk scenarios
- pre-defined templates for creating business evolution plans
- a system for recording and tracking analysis runs for data quality checks, data transformation, front-book generation, balance sheet projection, and manual adjustments to data
Modeling and Analytics
- a COPULA and k-NN (k-Nearest Neighbor) based model for front-book generation
- an IFRS9-based expected credit loss modeling methodology template for calculating stressed ECL and stressed RWA
Aggregation and Reporting
- pre-built SAS Visual Analytics data quality reports that are aligned with BCBS239 standards
- pre-built reports on stressed ECL and stressed RWA
Workflow
- a pre-configured workflow for a stress testing cycle with end-to-end steps for calculating stressed ECL and stressed RWA with effective challenge
- additional workflows for tracking issues, action plans, correspondence, CAP assessments, and so on
Compatibility for v06.2020
SAS Solution for Stress Testing v06.2020 is supported with the following products:
- SAS Risk Governance Framework 7.4 with hot fix D4Z007
- SAS Infrastructure for Risk Management 3.6
- SAS Model Implementation Platform 3.2
- SAS Visual Analytics 7.5
- SAS Risk Scenario Manager 4.2
SAS Solution for Stress Testing v03.2020
Product update with various new features and enhancements.
Summary
SAS® Solution for Stress Testing is a solution available on SAS® Risk Stratum. The solution contains pre-built content that falls into the following categories:
Data Management
- data definition templates for defining key input data
- sample data quality rules for the checking and adjustment of portfolio data
- uploadable risk scenarios
- pre-defined templates for creating business evolution plans
- a system for recording and tracking analysis runs for data quality checks, data transformation, front-book generation, balance sheet projection, and manual adjustments to data
Modeling and Analytics
- a COPULA and k-NN (k-Nearest Neighbor) based model for front-book generation
- an IFRS9-based expected credit loss modeling methodology template for calculating stressed ECL and stressed RWA
Aggregation and Reporting
- pre-built SAS Visual Analytics data quality reports that are aligned with BCBS239 standards
- pre-built reports on stressed ECL and stressed RWA
Workflow
- a pre-configured workflow for a stress testing cycle with end-to-end steps for calculating stressed ECL and stressed RWA with effective challenge
- additional workflows for tracking issues, action plans, correspondence, CAP assessments, and so on
Compatibility for v03.2020
SAS Solution for Stress Testing v03.2020 is supported with the following products:
- SAS Risk Governance Framework 7.4 with hot fix D4Z007
- SAS Infrastructure for Risk Management 3.6
- SAS Model Implementation Platform 3.2
- SAS Visual Analytics 7.5
- SAS Risk Scenario Manager 4.2
SAS Solution for Stress Testing v09.2019
Product update with various new features and enhancements.
Summary
SAS® Solution for Stress Testing is a content package that is sold as content package installed on SAS® Risk Governance Framework. The package contains pre-built content that can be customized to accelerate the implementation of the solution. This pre-built content falls into the following categories:
Data Management
- data definition templates for defining key input data
- sample data quality rules for the checking and adjustment of portfolio data
- uploadable risk scenarios
- pre-defined templates for creating business evolution plans
- a system for recording and tracking analysis runs for data quality checks, data transformation, front-book generation, balance sheet projection, and manual adjustments to data
Modeling and Analytics
- a COPULA and k-NN (k-Nearest Neighbor) based model for front-book generation
- an IFRS9-based expected credit loss modeling methodology template for calculating stressed ECL and stressed RWA
Aggregation and Reporting
- pre-built SAS Visual Analytics data quality reports that are aligned with BCBS239 standards and
- pre-built reports on stressed ECL and stressed RWA
Workflow
- a pre-configured workflow for a stress testing cycle with end-to-end steps for calculating stressed ECL and stressed RWA with effective challenge
- additional workflows for tracking issues, action plans, correspondence, CAP assessments, and so on
Compatibility for v09.2019
SAS Solution for Stress Testing v09.2019 is supported with the following products:
- SAS Risk Governance Framework 7.4 with hot fix D4Z005
- SAS Infrastructure for Risk Management 3.5 & 3.6
- SAS Model Implementation Platform 3.1 & 3.2
- SAS Visual Analytics 7.4 & 7.5
- SAS Risk Scenario Manager 4.1