SAS® Regulatory Risk Management
SAS Regulatory Risk Management is a robust and flexible solution for measuring and reporting the regulatory credit risk of a bank portfolio. It helps optimize the allocation of credit risk mitigants while computing the credit risk measures. It lets a bank configure all regulatory parameters and options that drive the calculations, and it supports multiple configuration sets. SAS Regulatory Risk Management, when combined with SAS Credit Scoring, provides banks with an end-to-end solution for estimating portfolio credit risk. It enables them to seamlessly compute credit risk parameters (probability of default and loss given default) and credit risk capital charges.
The solution has an extensive catalog of ready-made reports, including regulatory and internal reports, as well as customizable reports. A bank can compute and report risk-weighted assets, expected losses, and capital charges (based on the Basel III regulatory framework), at any level of detail, by using SAS data aggregation capabilities. The solution has a flexible reporting framework, which enables you to build customized reports at any level of summarization that you need by using SAS® Visual Analytics or SAS® Web Report Studio and other SAS Business Intelligence tools.
The most recent release is SAS Regulatory Risk Management 6.1.
What's New in SAS Regulatory Risk Management 6.1
SAS Regulatory Risk Management 6.1 is a major release of SAS Regulatory Risk Management on the SAS Infrastructure for Risk Management execution platform. In addition, the release is also shipped with SAS® Risk and Finance Workbench with a process flow template that regulatory analysts can use to launch and track all tasks in a regulatory calculation and report submission cycle. The functional features of previous releases-Credit Risk Measures, Credit Valuation Adjustment (CVA) Capital Charge, and Large Exposure Measures-will be calculated as before for all approaches and exposure classes.
SAS Infrastructure for Risk Management has a parallel job execution environment with its own User Interface. All the processing code from previous versions of SAS Regulatory Risk Management has been now converted to a sequence of processing nodes. SAS Regulatory Risk Management on SAS Infrastructure for Risk Management has the following features:
- Full traceability of processing: The process flows are traceable and auditable. All processing steps are documented in a clickable online format. All input data sets and output data sets can be examined for tracing a result or troubleshooting.
- Interactivity and support for "What-If?": Certain input data sets at processing nodes are editable, (identified with a "Pencil" icon) and can be modified to change the parameters of a calculation run.
- Exposure-level results and diagnostics: Key result data sets for risk-weighted assets (RWA) processing, Large Exposures, and CVA and Diagnostic data sets are available in the SAS Infrastructure for Risk Management "Results" area.
- Faster execution: SAS Regulatory Risk Management processing nodes can be run in parallel in this release, leading to up-to 50% reduction in processing time for a typical large portfolio.
A regulatory analyst can now use SAS Risk and Finance Workbench to launch the tasks that are involved in a typical regulatory calculation and report submission cycle:
- Orchestrate job flows for regulatory calculations and preparation of regulatory reporting data.
- Create report packages for submission.
- Generate Microsoft Excel, HTML, and XBRL versions of the report based on a regulator-supplied data point model.
- Run validation rules (typically, regulatory validation rules) and provide notification of validation failures.
- Enable users to manually add cell-level data or override cell-level data.
- Generate the submission XBRL instances.
For several CoRep RWA reports, there is full backward integration between SAS Risk and Finance Workbench, the reporting module and SAS Regulatory Risk Management.
Visit our general product information page on www.sas.com for more information.
Free Online Documentation
SAS Regulatory Risk Management (Release 6.1 in 2017 and onwards) is delivered as a content release that runs on top of SAS Infrastructure for Risk Management. SAS Regulatory Risk Management calculates risk-weighted assets (RWA) and other Basel-III Own Funds measures. In addition, the European regulatory driven reporting (of RWA and other Own Funds measures) is done using SAS Regulatory Content for EBA Taxonomies. This content package runs on top of SAS Risk and Finance Workbench. You can download the most current SAS Regulatory Risk Management content release from here: SAS Regulatory Risk Management – Content Releases.
- System Requirements--SAS Regulatory Risk Management 6.1 HTML
The documentation for SAS Regulatory Risk Management is provided within the solution content.
The SAS Regulatory Risk Management Content page covers the following releases:
- SAS Regulatory Risk Management Content
- SAS Regulatory Content for EBA Taxonomies
SAS Publishing Representatives are available in the U.S. from 8-5 ET to answer your documentation questions. Contact us at 1-800-727-0025, option 4 or e-mail.
Curriculum consultants are available in the U.S. from 9-5 EST. Contact us at 1-800-727-0025, option 4 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