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SAS(R) Expected Credit Loss: Workshop

Course Details
Code: RECLW
Tuition (USD): $2,275.00 • Classroom (3.5 days)

This workshop on SAS Expected Credit Loss prepares members of your organization to configure and use the solution, as well as test the results it produces. The course provides details on how to use each component of SAS Expected Credit Loss. After completing the course, participants are prepared to engage in testing activities and sign-off milestones during the test and deploy phases of the implementation, and to begin the configuration activities needed for business as usual support.

Skills Gained

  • use SAS Business Rules Manager to create rule sets, rule flows, test, and publish rule flows
  • use SAS Model Implementation Platform to import the required data sets and create model groups, model group mappings, portfolio cubes, and scenario runs in order to generate ECL output data sets
  • use SAS Model Implementation Platform to review and interpret user-defined logic (UDL) and diagnose and troubleshoot run time errors
  • use SAS Risk and Finance Workbench to manage the ECL workflow by creating projects, associating process definitions, and loading detail data
  • use SAS Risk and Finance Workbench worksheets to review and adjust ECL projections and allocate any adjustments to the loan level
  • use SAS Risk and Finance Workbench to generate reports based on final approved ECL values.

Who Can Benefit

  • Anyone who will be involved in reviewing, testing, and using output of SAS for Expected Credit Loss, including members from Finance/Accounting, Risk Management, and Model Execution/Deployment teams

Prerequisites

  • There are no formal prerequisites for this course.

Course Details

Introduction to SAS for Expected Credit Loss

  • what is expected credit loss?
  • components of SAS Expected Credit Loss
  • example IFRS9 monthly production workflow

Using Data Quality and Stage Allocation Rules

  • registering data and creating vocabularies
  • creating rule sets and rule flows
  • rule flow testing and publishing

Implementing Models Using SAS Model Implementation Platform

  • introduction to the solution
  • working with input data sets
  • creating portfolio analysis objects
  • analyzing a portfolio

Reviewing ECL Output and Process Management

  • introduction to SAS Risk and Finance Workbench
  • review of environment configuration
  • review of data load
  • using worksheets and reports
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