The training aims at providing an overview of IFRS9, Expected Credit Loss, Classification and Measurement not only on theoretical basis but also from the perspective of SAS Solutions for IFRS9/CECL. The training focusses on two major components of the solution are Model Implementation Platform (MIP) and Risk and Finance Workbench (RFW). The two components together aims course prepares model implementation teams in financial institutions to conduct credit loss reserving, and loan valuation to satisfy regulatory requirements including IFRS9 and CECL along with a learning of a web-based environment in which financial analysts can orchestrate the stress testing process, specify scenarios, and consolidate modeling results into balance sheets, financial statements, and capital plans.

Who should attend

Formats available	Duration
Classroom:	5.0 days

Basic SAS Software knowledge, Data Sets and Basic Programming, knowledge of SAS SMC, SAS Modelling DI Studio & SAS VA knowledge

IFRS9 Overview, CECL, Conceptual Overview of Key terms, Expected Credit Loss, Classification and Measurement and Credit ImpairmentSAS IFRS9 Solution Value proposition and Overall Solution Demo.Walkthrough from Data to MIP to RFW to SAS VA reporting

Getting Started with SAS Model Implementation Platform• Introduction• OverviewCreating Input Data Sets• Overview of input data sets• Portfolio data set requirementsCreating Input Data Sets▪ Economic data set requirements▪ Model requirements model group▪ Overrides data set requirements▪ counterparty and cash flow data set requirements▪ mitigation data set requirements▪ actuals data set for backtesting requirementsCreating Portfolio Analysis Objects▪ creating model groups▪ preprocessing and post-processing▪ copying portfolio analysis objects▪ using mitigation

Introduction to SAS Risk and Finance Workbench▪ oversee key aspects of the risk and finance process from a centralized environmentFunctional Overview of SAS Risk and Finance Workbench▪ preparing the environment▪ working with data▪ reporting resultsPreparing the Environment▪ setting up the foundation▪ designing the process definitions▪ importing macroeconomic scenarios▪ creating a project▪ defining hierarchy categories and hierarchies▪ defining formulas and link data▪ creating worksheet categories and templates▪ using models and model groupsUsing a Worksheet in SAS Risk and Finance Workbench▪ selecting data for worksheets▪ using a worksheet▪ running a model groupReporting Results▪ setting up a Microsoft Excel template▪ generating reporting output

▪ Exploring vocabularies▪ Exploring and Working with rule flows▪ Exploring and working with rule sets and testing

Exploring IRM