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.
Built-in data quality & data lineage
- 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.
Streamlined process workflow
- 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 model library & scenario management
- 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.
Qualitative assessment of capital adequacy process
- 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.
Robust projection engine
- 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.
Best-in-class model templates
- 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.
Prebuilt reports
- 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.