SAS® Model Implementation Platform Features

Scalable, in-memory risk engine 

  • Enables distributed computing, allowing for massively parallel processing without the need to write any distributed processing code.
  • Includes enhanced, high-performance risk capabilities for Monte Carlo loan-level model execution.
  • Provides flexible risk analysis capabilities, enabling:
    • On‐demand risk analysis.
    • Sensitivity analysis.
    • Fast, interactive stress testing and scenario analysis.
    • Advanced, simulation‐based risk analysis.
    • Incremental risk and risk contribution analysis.

Controlled, centralized model deployment

  • Includes prebuilt templates for many common model structures:
    • Cox proportional hazards.
    • Monte Carlo state transition.
    • Markov chain.
  • Supports firm‐specific model structures that can be written easily using SAS code.
  • Enables interactive scenario specification and real‐time aggregation of results via graphical interface.
  • Provides an easy‐to‐use front end and program editor for run‐time analysis of single models or model systems.
  • Enables user‐specified output (RWA, PL, ECL, PD, CPR, CDR, LGD, prepayment amounts, default amounts, loss amounts, balances, principal, interest, etc.).
  • Supports both single path and stochastic economic paths in stress testing.

Central model execution library

  • Automatically documents all changes to data models, and ensures auditability for regulatory reporting.
  • Includes interactive model risk dashboards.
  • Provides an end-to-end model governance platform.
  • Enables complex systems of models to be grouped together.
  • Facilitates model control by enabling all models and model groups to be versioned and searched.
  • Enables promotion of models from development to production and archiving of previous model versions.

Web-based interface

  • Enables visual exploration and drill-down through results.
  • Provides flexible, on‐demand reporting capabilities.
  • Includes an interactive ad hoc scenario and stress test builder.

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