SASŪ Credit Risk Management for Banking
About SAS Credit Risk Management for Banking
SAS Credit Risk Management for Banking is a robust and flexible solution for measuring and reporting regulatory credit risk measures of a bank portfolio. SAS Credit Risk Management for Banking also helps optimize the allocation of Credit Risk Mitigants, while computing such credit risk measures. SAS Credit Risk Management for Banking lets a bank configure all regulatory parameters and options that drive the calculations, and supports multiple configuration sets. Banks can also create and perform stress tests to compute credit risk measures under stressed scenarios.
SAS Credit Risk Management for Banking, when combined with SAS Credit Scoring for Banking, provides an end-to-end solution to banks to estimate Portfolio Credit Risk. It enables you to seamlessly compute Credit Risk Parameters (Probability of Default, PD and Loss Given Default, LGD) and Credit Risk Capital charges.
The solution has an extensive catalog of prebuilt reports, including Regulatory and Internal Reports, and customizable reports. A bank can compute and report Risk weighted assets, Expected losses and Capital charges (based on the Basel-II regulatory framework), rolled up or granular at any level, by using SAS OLAP capabilities. The solution has a flexible reporting warehouse, which enables you to build ad hoc reports using any level of summarization as needed, by leveraging SAS Business Intelligence tools.
The solution offers a graphical user interface dashboard that enables you to execute risk analytics and view the results.
The most recent release is Credit Risk Management for Banking 4.8.
What's New in SAS Credit Risk Management for Banking 4.8?
After the adoption of Capital Requirements Regulation (CRR) by the European Parliament (Approved in July 2013), European Banks (including existing customers of SAS Credit Risk Management for Banking or SAS CRMB) will be required to calculate and report Basel-III based Capital requirements. These Capital requirements and Reporting are based on:
- Capital Requirements Directive IV (or CRD-IV) updates
- Consultation Paper 50 and corresponding EBA ITS for Capital Adequacy and Credit Risk RWA Reporting
- Consultation Paper 51 and corresponding EBA ITS for Large Exposure Reporting
- Guidelines for Leverage Ratio Reporting
Basel-III Calculation changes (Banking Book and Trading Book) brought about by CRD-IV include:
- Standardized Approach: RW calculations as per Exposure Class treatment in CRD-IV
- Standardized Approach: Securitization Related Changes (Resecuritization have new Risk Weights )
- IRB Approach: Higher R Correl for large / unregulated Financial Institutions
- IRB Approach: Others (including RWA for Defaulted Exposures not scaled up by 1.06)
- Basel-III Capital Charge for Credit Valuation Adj (CVA) ( Standardized)
- Basel-III Capital Charge for Large Exposure in Trading Book exceeding a Threshold
- Credit Risk Templates: CR SA, CR IRB 1 and 2, CR GB 1 and GB 2, CR IRB Equity 1 and 2
- Market Risk: CVA Capital Charge
- Large Exposures: LE1 and LE2
- Leverage Ratio: LR 2 and LR4
Visit our general product information page on www.sas.com for more information.
Free Online Documentation
- SAS Regulatory Risk Management 5.4: User's Guide
- SAS Regulatory Risk Management 5.4: Administrator's Guide
- SAS Regulatory Risk Management 5.4: Data Reference Guide
- SAS Regulatory Risk Management 5.4: Upgrade and Migration Guide
- Help for Regulatory Risk Management 5.4 is accessible within the product.
- SAS Risk Reporting Repository 2.4: Data Dictionary
- SAS Risk Reporting Repository 2.4: Data Model
SAS Publishing Representatives are available in the U.S. from 8-5 ET to answer your documentation questions. Contact us at 1-800-727-3228 or e-mail.
Curriculum consultants are available in the U.S. from 9-5 EST. Contact us at 1-800-333-7660 or e-mail.
International customers, please contact your country office.
Online Support ResourcesThis page contains online support resources that are specific to this product. Visit the Support page to access various self-help and assisted-help resources or submit a problem through the SAS Technical Support form.
- How to Apply IF-THEN-ELSE Logic by Using SAS Enterprise Guide
- How to use code to write log and listing files to disk using SAS Enterprise Guide
- Changing the Output Format with SAS Enterprise Guide
- Converting columns using a custom add-in task in SAS Enterprise Guide 4.2