SAS® Solution for Stress Testing Features

Customizable risk & finance data model

  • Staging area for portfolio and economic data at various levels of granularity.
  • Data repository for saving all intermediate and final calculations.
  • Data catalog for keeping track of all input/output objects used in a given analysis.

Built-in data quality & data lineage

  • Preconfigured data quality rules, mapped to BCBS 239 principles, that can be executed automatically.
  • Data quality reports with full drill-down functionalities to support diagnostics and auditability.
  • User-defined data quality rules that can be executed on any data set throughout the process.
  • Insightful graphical representations that display links between calculation process components.

Streamlined process workflow

  • Customizable workflow to map all relevant activities and assign individual tasks to respective organizational units.
  • Task-level status tracking for project monitoring and bottleneck identification.
  • Automated end-to-end execution of all tasks in the production process flow in batch mode.

Centralized model library & scenario management

  • Centralized scenario repository manager for conveniently managing all your stress testing scenarios.
  • Model inventory for maintaining and executing all models used for stress testing and business planning.
  • User-friendly interface for creating and editing segmentation and allocation schemes.

Qualitative assessment of capital adequacy process

  • Ability to define and track stress testing process narratives, interdependencies and controls, and automatically route appropriate notifications and escalations.
  • Centralized library of all documents related to the stress-testing cycle, organized by principle, taxonomy, file structure and context.

Robust projection engine

  • Predefined front-book generation methodologies.
  • Tools for applying business assumptions over different levels of granularity, from a contract to a segment level basis. 
  • User-friendly interface for creating and editing segmentation and allocation schemes.
  • Tools to aggregate and map instrument-level model results to line items in balance sheet and income statement.

Best-in-class model templates

  • Prebuilt templates for forecasting stressed expected credit loss (ECL) and risk weighted assets (RWA).
  • Prebuilt templates support multiple methodologies for calculating economic capital (EC) and credit risk Value-at-Risk (VaR).
  • Model template to project balance sheet and income statement, as well as define management actions to adjust projections.
  • Ability to customize templates to meet unique requirements.
  • Ability to incorporate portfolio runoff and prepayment profiles, credit quality movements (e.g., risk rating and delinquency level) and IFRS 9 stage migrations in your ECL calculations.
  • Ability to apply stage allocation rules and calculate stressed ECL and RWA for your portfolio.

Prebuilt reports

  • Suite of prebuilt, customizable, reports that summarize the entire stress testing process.
  • Ability to use SAS Visual Analytics to modify variables, derive new metrics and drill down through results.
  • Data quality reports displaying overall and specific quality metrics based on data quality rules.
  • Result reports, including actual and projected financial statements, for visualizing the effects of stress scenarios on the income statement and balance sheet, and quickly assessing effects on capital.

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