SAS Risk Engine is an end-to-end risk calculator for a wide variety of risk applications, including market risk, credit risk, asset liability management, and risk aggregation. In this course, students learn how to evaluate portfolios and market states and run simulations using SAS Risk Engine and risk pipelines in examples, demonstrations, and practices. After they complete this course, students will be comfortable working with risk methods, model groups, and risk pipelines in the user interface.

Note:This course focuses on using SAS Risk Engine via its interactive interface. Analysts who prefer using a programming approach should take the Programming with SAS Risk Engine course.

Learn how to Use SAS Risk Engine in the user interface to configure and execute risk models and explore results. After completing the course, students will be able to:

• Identify caslibs to use for your input and output data.
• Set up input objects, including portfolio data, market data, and counterparty data.
• Define risk method programs that run computations for each instrument and counterparty of a given type at each market state and horizon.
• Configure risk pipelines to create risk environments, evaluate portfolios and market states, and explore risk results at any aggregation level.
• Perform an end-to-end risk analysis following the Risk Engine workflow.
• Create and use risk data objects and functions sets.
• Explore additional forms of risk analysis that SAS Risk Engine can be used for, including cash flow analyses and mitigation.

Who should attend

Risk analysts responsible for creating and deploying risk models to support activities such as stress testing, credit loss reserving (including regulatory), and loan valuations and who prefer to use an interactive user interface

The course is for modelers and risk analysts who are experienced using statistical modeling concepts and methods. Experience with programming for SAS Viya is helpful but not required.

This course addresses SAS Risk Engine software.

This course addresses SAS Risk Engine 2021.1.1 in SAS Viya.

Introduction to Risk Modeling

• Introduction to SAS Risk Engine.
• Working with SAS Risk Engine in SAS Viya.

Working with Input Data

• Assembling your input data.

Working with Risk Pipelines

• Introduction to risk pipelines.
• Configuring the input nodes in a pipeline.
• Defining risk methods.
• Using the Simulate Risk Factors node.
• Creating a risk method map.
• Configuring nodes to produce results.
• Running a risk pipeline.
• Exploring results.
• Adding custom code to a risk pipeline.

Working with Models

• Using model groups.
• Defining models.
• Introduction to model method code.
• Running models in a risk pipeline.
• Using import and export.

Working with Risk Data Objects and Functions Sets

• Using risk data objects.
• Using function sets.

Overview of Risk Method Programs

• Defining risk methods.

Additional Topics

• Cash flow analyses.
• Working with mitigation.