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SAS Credit Risk Management for Banking 4.5 Users Guide

IP.com Disclosure Number: IPCOM000244062D
Original Publication Date: 2007-Dec-31
Included in the Prior Art Database: 2015-Nov-09
Document File: 209 page(s) / 4M

Publishing Venue

SAS Institute Inc.

This text was extracted from a PDF file.
This is the abbreviated version, containing approximately 3% of the total text.

Page 01 of 209

SAS® Credit Risk Management for Banking 4.5

User's Guide



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The correct bibliographic citation for this manual is as follows: SAS Institute Inc. 2007. SAS ® Credit Risk Manager for Banking 4.5: User's Guide. Cary, NC: SAS Institute Inc.

SAS® Credit Risk Manager for Banking 4.5: User's Guide

Copyright © 2007, SAS Institute Inc., Cary, NC, USA


All rights reserved. Produced in the United States of America.

For a hard-copy book: No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, or otherwise, without the prior written permission of the publisher, SAS Institute Inc.

For a Web download or e-book: Your use of this publication shall be governed by the terms established by the vendor at the time you acquire this publication.

U.S. Government Restricted Rights Notice. Use, duplication, or disclosure of this software and related documentation by the U.S. government is subject to the Agreement with SAS Institute and the restrictions set forth in FAR 52.227-19 Commercial Computer Software-Restricted Rights (June 1987).

SAS Institute Inc., SAS Campus Drive, Cary, North Carolina 27513.
1st electronic book, November 2007
SAS® Publishing provides a complete selection of books and electronic products to help customers use SAS software to its fullest potential. For more information about our e-books, e-learning products, CDs, and hard-copy books, visit the SAS Publishing Web site at support.sas.com/pubs or call 1-800-727-3228.

SAS® and all other SAS Institute Inc. product or service names are registered trademarks or trademarks of SAS Institute Inc. in the USA and other countries. ® indicates USA registration.

Other brand and product names are registered trademarks or trademarks of their respective companies.


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Contents

Chapter 1. What's New in SAS Credit Risk Management for Banking 4.5 . . . . . . 1

Chapter 2. Introduction to SAS Credit Risk Management for Banking . . . . . . . 5

Chapter 3. SAS Credit Risk Studio . . . . . . . . . . . . . . . . . . . . 9

Chapter 4. Calculations . . . . . . . . . . . . . . . . . . . . . . . . 33

Chapter 5. Reporting . . . . . . . . . . . . . . . . . . . . . . . . . 129

Glossary

135

Appendix A. Report Templates . . . . . . . . . . . . . . . . . . . . . 141

Appendix B. Stored Processes . . . . . . . . . . . . . . . . . . . . . . 187

Index

199


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Chapter 1

What's New in SAS Credit Risk Management for Banking 4.5

Overview

SAS Credit Risk Management for Banking 4.5 has the following primary changes and enhance- ments:


New Regulatory Report Templates


Calculations


- Application of Credit Conversion


- Capital Requirement for Counterparty Risk


User-Defined High Risk Exposures


Support for Expected Loss Models


SAS Risk Reporting Repository


Optimization Procedure


New Capital Requirements Directive (CRD) Sample Configuration

New Regulatory Report Templates

The fol...