SAS® Expected Credit Loss

Calculate and account for expected credit losses and perform loss reserving with this web-based solution, SAS Expected Credit Loss.   The models used for calculating expected credit losses must be run on a regular basis to capture changes in the portfolio, to account for changes in macroeconomic conditions and credit quality, and to modify and test various shock scenarios.  Under these regulations, the models must be transparent to risk managers and regulatory auditors and provide the ability to review intermediate data, make adjustments as needed, and report final results.  

The solution is made up of a suite of products, including SAS® Business Rules Manager, SAS® Model Implementation Platform, SAS® Risk and Finance Workbench,SAS® Infrastructure for Risk Management, and SAS® Visual Analytics

 

The most recent release is SAS Expected Credit Loss 2.3.

What’s New

The solution consists of a platform suite of risk products designed to facilitate the analysis, calculation and reporting of expected credit loss (ECL).

This release contains a number of new features, including the following:

  • Supports the ability to execute scripts for preparing data and running expected credit loss (ECL) calculations through SAS Risk and Finance Workbench.
  • Enables you to create and review results from multiple modeling approaches, such as top-down and bottom-up, at both the asset level of detail as well as the aggregated level.
  • Supports the ability to create different sets of business rules for performing stage allocation based on the work group or line of business.
  • Supports automated reporting and financial accounting entry through pre-defined templates.
  • Supports the tracking of the entire ECL process through an auditable workflow cycle.
  • Supports the use of granular permissions for assigning work groups to different business divisions in order to protect data access.
  • Contains sample portfolios for running the ECL model templates (included in SAS Model Implementation Platform).

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Documentation

Find user's guides and other technical documentation for SAS Expected Credit Loss.


SAS Expected Credit Loss is a software solution that consists of a suite of products plus an optional content release. Please see the related documentation below for information about installing and configuring the supporting products.

  • The documentation for SAS Expected Credit Loss is intended for use by existing customers and requires an access key lock. You can obtain the access key from your SAS consultant or by contacting SAS Technical Support. In order to expedite your request, please include SAS Expected Credit Loss in the subject field of the form. Be sure to provide the SAS Site Number for your software license along with your request.
  • An additional license is required for each content release (month/year).

 

IFRS 9

SAS Expected Credit Loss 2.3: Administering SAS Regulatory Content for IFRS 9

CECL

SAS Expected Credit Loss 2.3: Administering SAS Regulatory Content for CECL

IFRS 17

SAS Expected Credit Loss 2.3: Administering SAS Regulatory Content for IFRS 17

SAS Expected Credit Loss 2.3: Administering SAS Solution for IFRS 17

EBA Stress

SAS Expected Credit Loss 2.3: Administering SAS Regulatory Content for EBA Stress


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