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 by using SAS Risk Engine in examples, demonstrations, and practices. After completing this course, students will be comfortable working with risk actions.

Note: This course focuses on using SAS Risk Engine programmatically. Analysts who prefer using an interactive interface should take the Using the SAS® Risk Engine Interface course.

Lernen Sie, wie Sie / Learn how to Use SAS Risk Engine through code 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.
• Define risk method programs that run computations for each instrument and counterparty of a given type at each market state and horizon.
• Use code to create risk environments, evaluate portfolios and market states, and explore risk results at any aggregation level.
• Perform an end-to-end risk analysis with SAS Risk Engine actions.

Zielgruppe / 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 SAS Risk Engine programmatically

This 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. You can get programming exposure by attending the Programming for SAS® Viya® course.

In diesem Kurs wird mit folgenden Software Modulen gearbeitet / This course addresses SAS Risk Engine Software

This course addresses SAS Risk Engine 2021.1.1 in SAS Viya.

Getting Started with SAS Risk Engine

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

Working with Input Data

• Assembling your input data.

Using SAS Risk Engine Actions

• Overview of Risk Engine action sets.
• Coding Risk Engine tasks.

Incorporating User-Written Code

• Defining risk methods.
• Creating a function set.
• Using a parameter matrix.

Working with Different Languages

• Working with open-source languages.
• Transitioning from SAS Risk Dimensions.