SAS Risk Management solutions Papers A-Z

A
Session SAS0339-2017:
An Oasis of Serenity in a Sea of Chaos: Automating the Management of Your UNIX/Linux Multi-tiered SAS® Services
UNIX and Linux SAS® administrators, have you ever been greeted by one of these statements as you walk into the office before you have gotten your first cup of coffee? Power outage! SAS servers are down. I cannot access my reports. Have you frantically tried to restart the SAS servers to avoid loss of productivity and missed one of the steps in the process, causing further delays while other work continues to pile up? If you have had this experience, you understand the benefit to be gained from a utility that automates the management of these multi-tiered deployments. Until recently, there was no method for automatically starting and stopping multi-tiered services in an orchestrated fashion. Instead, you had to use time-consuming manual procedures to manage SAS services. These procedures were also prone to human error, which could result in corrupted services and additional time lost, debugging and resolving issues injected by this process. To address this challenge, SAS Technical Support created the SAS Local Services Management (SAS_lsm) utility, which provides automated, orderly management of your SAS® multi-tiered deployments. The intent of this paper is to demonstrate the deployment and usage of the SAS_lsm utility. Now, go grab a coffee, and let's see how SAS_lsm can make life less chaotic.
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Clifford Meyers, SAS
B
Session SAS0609-2017:
Building a Bridge between Risk and Finance to Address IFRS 9 and CECL
Historically, the risk and finance functions within a bank have operated within different rule sets and structures. Within its function, risk enjoys the freedom needed to properly estimate various types of risk. Finance, on the other hand, operates within the well-defined and structured rules of accounting, which are required for standardized reporting. However, the International Financial Reporting Standards (IFRS) newest standard, IFRS 9, brings these two worlds together: risk, to estimate credit losses, and finance, to determine their impact on the balance sheet. To help achieve this integration, SAS® has introduced SAS® Expected Credit Loss. SAS Expected Credit Loss enables customers to perform risk calculations in a controlled environment, and to use those results for financial reporting within the same managed environment. The result is an integrated and scalable risk and finance platform, providing the end-to-end control, auditability, and flexibility needed to meet the IFRS 9 challenge.
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Ling Xiang, SAS
Anthony Mancuso, SAS
Martim Rocha, SAS
F
Session SAS0538-2017:
Fast implementation of State Transition Models
Implementation of state transition models for loan-level portfolio evaluation was an arduous task until now. Several features have been added to the SAS® High-Performance Risk engine that greatly enhance the ability of users to implement and execute these complex, loan-level models. These new features include model methods, model groups, and transition matrix functions. These features eliminate unnecessary and redundant calculations; enable the user to seamlessly interconnect systems of models; and automatically handle the bulk of the process logic in model implementation that users would otherwise need to code themselves. These added features reduce both the time and effort needed to set up model implementation processes, as well as significantly reduce model run time. This paper describes these new features in detail. In addition, we show how these powerful models can be easily implemented by using SAS® Model Implementation Platform with SAS® 9.4. This implementation can help many financial institutions take a huge leap forward in their modeling capabilities.
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Shannon Clark, SAS
M
Session SAS0366-2017:
Microservices and Many-Task Computing for High-Performance Analytics
A microservice architecture prescribes the design of your software application as suites of independently deployable services. In this paper, we detail how you can design your SAS® 9.4 programs so that they adhere to a microservice architecture. We also describe how you can leverage Many-Task Computing (MTC) in your SAS® programs to gain a high level of parallelism. Under these paradigms, your SAS code will gain encapsulation, robustness, reusability, and performance. The design principles discussed in this paper are implemented in the SAS® Infrastructure for Risk Management (IRM) solution. Readers with an intermediate knowledge of Base SAS® and the SAS macro language will understand how to design their SAS code so that it follows these principles and reaps the benefits of a microservice architecture.
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Henry Bequet, SAS
Session 0820-2017:
Model Risk: Learning from Others' Mistakes
Banks can create a competitive advantage in their business by using business intelligence (BI) and by building models. In the credit domain, the best practice is to build risk-sensitive models (Probability of Default, Exposure at Default, Loss Given Default, Unexpected Loss, Concentration Risk, and so on) and implement them in decision-making, credit granting, and credit risk management. There are models and tools on the next level that are built on these models and that are used to help in achieving business targets, setting risk-sensitive pricing, capital planning, optimizing Return on Equity/Risk Adjusted Return on Capital (ROE/RAROC), managing the credit portfolio, setting the level of provisions, and so on. It works remarkably well as long as the models work. However, over time, models deteriorate, and their predictive power can drop dramatically. As a result, heavy reliance on models in decision-making (some decisions are automated following the model's results-without human intervention) can result in a huge error, which might have dramatic consequences for the bank's performance. In my presentation, I share our experience in reducing model risk and establishing corporate governance of models with the following SAS® tools: SAS® Model Monitoring Microservice, SAS® Model Manager, dashboards, and SAS® Visual Analytics.
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Boaz Galinson, Bank Leumi
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