Risk Solutions Papers A-Z

Paper 1442-2014:
A Risk Score Calculator for Short-Term Morbidity Following Hip Fracture Surgery
Hip fractures are a common source of morbidity and mortality among the elderly. While multiple prior studies have identified risk factors for poor outcomes, few studies have presented a validated method for stratifying patient risk. The purpose of this study was to develop a simple risk score calculator tool predictive of 30-day morbidity after hip fracture. To achieve this, we prospectively queried a database maintained by The American College of Surgeons (ACS) National Surgical Quality Improvement Program (NSQIP) to identify all cases of hip fracture between 2005 and 2010, based on primary Current Procedural Terminology (CPT) codes. Patient demographics, comorbidities, laboratory values, and operative characteristics were compared in a univariate analysis, and a multivariate logistic regression analysis was then used to identify independent predictors of 30-day morbidity. Weighted values were assigned to each independent risk factor and were used to create predictive models of 30-day complication risk. The models were internally validated with randomly partitioned 80%/20% cohort groups. We hypothesized that significant predictors of morbidity could be identified and used in a predictive model for a simple risk score calculator. All analyses are performed via SAS® software.
Yubo Gao, University of Iowa Hospitals and Clinics
Paper 1630-2014:
Application of Survey Sampling for Quality Control
Sampling is widely used in different fields for quality control, population monitoring, and modeling. However, the purposes of sampling might be justified by the business scenario, such as legal or compliance needs. This paper uses one probability sampling method, stratified sampling, combined with quality control review business cost to determine an optimized procedure of sampling that satisfies both statistical selection criteria and business needs. The first step is to determine the total number of strata by grouping the strata with a small number of sample units, using box-and-whisker plots outliers as a whole. Then, the cost to review the sample in each stratum is justified by a corresponding business counter-party, which is the human working hour. Lastly, using the determined number of strata and sample review cost, optimal allocation of predetermined total sample population is applied to allocate the sample into different strata.
Yi Du, Freddie Mac
Paper 1732-2014:
Automatic and Efficient Post-Campaign Analyses By Using SAS® Macro Programs
In our previous work, we often needed to perform large numbers of repetitive and data-driven post-campaign analyses to evaluate the performance of marketing campaigns in terms of customer response. These routine tasks were usually carried out manually by using Microsoft Excel, which was tedious, time-consuming, and error-prone. In order to improve the work efficiency and analysis accuracy, we managed to automate the analysis process with SAS® programming and replace the manual Excel work. Through the use of SAS macro programs and other advanced skills, we successfully automated the complicated data-driven analyses with high efficiency and accuracy. This paper presents and illustrates the creative analytical ideas and programming skills for developing the automatic analysis process, which can be extended to apply in a variety of business intelligence and analytics fields.
Justin Jia, Canadian Imperial Bank of Commerce (CIBC)
Amanda Lin, Bell Canada
Paper SAS193-2014:
Effective Risk Aggregation and Reporting Using SAS®
Both recent banking and insurance risk regulations require effective aggregation of risks. To determine the total enterprise risk for a financial institution, all risks must be aggregated and analyzed. Typically, there are two approaches: bottom-up and top-down risk aggregation. In either approach, financial institutions face challenges due to various levels of risks with differences in metrics, data source, and availability. First, it is especially complex to aggregate risk. A common view of the dependence between all individual risks can be hard to achieve. Second, the underlying data sources can be updated at different times and can have different horizons. This in turn requires an incremental update of the overall risk view. Third, the risk needs to be analyzed across on-demand hierarchies. This paper presents SAS® solutions to these challenges. To address the first challenge, we consider a mixed approach to specify copula dependence between individual risks and allow step-by-step specification with a minimal amount of information. Next, the solution leverages an event-driven architecture to update results on a continuous basis. Finally, the platform provides a self-service reporting and visualization environment for designing and deploying reports across any hierarchy and granularity on the fly. These capabilities enable institutions to create an accurate, timely, comprehensive, and adaptive risk-aggregation and reporting system.
Wei Chen, SAS
Jimmy Skoglund, SAS
Srinivasan Iyer, SAS
Paper 1320-2014:
Internal Credit Ratings.Industry's Norms and How To Get There with SAS®
This presentation addresses two main topics: The first topic focuses on the industry's norms and the best practices for building internal credit ratings (PD, EAD, and LGD). Although there is not any capital relief to local US banks using internal credit ratings (the US hs not adopted the Internal Rating Based approach of Basel2, with the exception of the top 10 banks), there is an increased responsiveness in credit ratings modeling for the last two years in the US banking industry. The main reason is the added value a bank can achieve from these ratings, and that is the focus of the second part of this presentation. It describes our journey (a client story) for getting there, introducing the SAS® project. Even more importantly, it describes how we use credit ratings in order to achieve effective credit risk management and get real added value out of that investment. The key success factor for achieving it is to effectively implement ratings within the credit process and throughout decision making . Only then can ratings be used to improve risk-adjusted return on capital, which is the high-end objective of all of us.
Boaz Galinson, Bank Leumi
Paper 1730-2014:
PROC TABULATE: Extending This Powerful Tool Beyond Its Limitations
PROC TABULATE is a powerful tool for creating tabular summary reports. Its advantages, over PROC REPORT, are that it requires less code, allows for more convenient table construction, and uses syntax that makes it easier to modify a table s structure. However, its inability to compute the sum, difference, product, and ratio of column sums has hindered its use in many circumstances. This paper illustrates and discusses some creative approaches and methods for overcoming these limitations, enabling users to produce needed reports and still enjoy the simplicity and convenience of PROC TABULATE. These methods and skills can have prominent applications in a variety of business intelligence and analytics fields.
Justin Jia, Canadian Imperial Bank of Commerce (CIBC)
Amanda Lin, Bell Canada
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