SAS^® Solution for Stress Testing

SAS^® Solution for Stress Testing Features

Customizable risk & finance data model

Staging area for portfolio and economic data at various levels of granularity.
Data repository for saving all intermediate and final calculations.
Data catalog for keeping track of all input/output objects used in a given analysis.

Preconfigured data quality rules, mapped to BCBS 239 principles, that can be executed automatically.
Data quality reports with full drill-down functionalities to support diagnostics and auditability.
User-defined data quality rules that can be executed on any data set throughout the process.
Insightful graphical representations that display links between calculation process components.

Customizable workflow to map all relevant activities and assign individual tasks to respective organizational units.
Task-level status tracking for project monitoring and bottleneck identification.
Automated end-to-end execution of all tasks in the production process flow in batch mode.

Centralized scenario repository manager for conveniently managing all your stress testing scenarios.
Model inventory for maintaining and executing all models used for stress testing and business planning.
User-friendly interface for creating and editing segmentation and allocation schemes.

Ability to define and track stress testing process narratives, interdependencies and controls, and automatically route appropriate notifications and escalations.
Centralized library of all documents related to the stress-testing cycle, organized by principle, taxonomy, file structure and context.

Predefined front-book generation methodologies.
Tools for applying business assumptions over different levels of granularity, from a contract to a segment level basis.
User-friendly interface for creating and editing segmentation and allocation schemes.
Tools to aggregate and map instrument-level model results to line items in balance sheet and income statement.

Prebuilt templates for forecasting stressed expected credit loss (ECL) and risk weighted assets (RWA).
Prebuilt templates support multiple methodologies for calculating economic capital (EC) and credit risk Value-at-Risk (VaR).
Model template to project balance sheet and income statement, as well as define management actions to adjust projections.
Ability to customize templates to meet unique requirements.
Ability to incorporate portfolio runoff and prepayment profiles, credit quality movements (e.g., risk rating and delinquency level) and IFRS 9 stage migrations in your ECL calculations.
Ability to apply stage allocation rules and calculate stressed ECL and RWA for your portfolio.

Suite of prebuilt, customizable, reports that summarize the entire stress testing process.
Ability to use SAS Visual Analytics to modify variables, derive new metrics and drill down through results.
Data quality reports displaying overall and specific quality metrics based on data quality rules.
Result reports, including actual and projected financial statements, for visualizing the effects of stress scenarios on the income statement and balance sheet, and quickly assessing effects on capital.