SAS Institute Inc. - Model Risk Management with SAS

The correct bibliographic citation for this manual is as follows: SAS Institute Inc. 2020. Model Risk Management with SAS . Cary, NC: SAS Institute Inc.

Model Risk Management with SAS

Copyright 2020, SAS Institute Inc., Cary, NC, USA

ISBN 978-1-970170-63-4 (Paperback)
ISBN 978-1-970170-64-1 (Web PDF)
ISBN 978-1-970170-65-8 (EPUB)
ISBN 978-1-970170-66-5 (Kindle)

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Contents

About This Book

What Does This Book Cover?

Model risk can occur when a model has inappropriate data, specifications, assumptions, calibration, or other errors. Proper model risk management can mitigate this risk through the development, validation, and governance of models across the entire organization. SAS Model Risk Management is a web-based solution that helps your organization capture and manage information that you can use for model inventory management, model validation, ongoing monitoring and maintenance, change management, and model usage documentation.

The training in this book prepares members of your organizations project team to be effective and informed participants in the requirements development and solution design phases of your implementation. The book includes hands-on demonstrations, and it teaches key concepts, terminology, and base functionality that are integral to SAS Model Risk Management.

The first chapter of this book provides an overview of the regulatory environment, and it introduces the SAS Model Risk Management platform. This chapter is based on videos narrated by David Asermely and Peter Plochan, which are available on the SAS video site at https://video.sas.com/category/videos/sas-model-risk-management . The remainder of the chapters are a step-by-step introduction to using SAS Model Risk Management based on the course SAS Model Risk Management: Workshop from SAS Education.

In addition, this book includes an Appendix that provides an overview of SAS Model Implementation Platform (MIP). SAS MIP executes complex and computationally intensive modeling systems for bank stress tests and for other enterprise-level risk assessments. SAS MIP is a web-based solution that helps you streamline the model estimation-to-implementation process, dramatically reduce model run times, and improve auditability.

Is This Book for You?

SAS is the largest and most successful model risk management software vendor in the world. Software like SAS Model Risk Management and SAS Model Implementation Platform enable organizations to use a data-driven approach to assess their model risks, identify gaps, review and update their policies and procedures, and reassess their risks. This iterative approach continually improves their model quality and efficiency. If you want to learn more about the model risk management life cycle, as well as fine tune your governance policy and approach, then this book is for you.

What Are the Prerequisites for This Book?

Familiarity with SAS Model Risk Management is helpful to understand this book. Access to the software is necessary to follow along with the demonstrations.

What Should You Know about the Examples?

This book includes tutorials for you to follow to gain hands-on experience with SAS.

Software Used to Develop the Books Content

SAS Model Risk Management 7.4, SAS Model Implementation Platform 3.2, and SAS Visual Analytics were used to develop the content and examples for this book.

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Chapter 1: Introduction to SAS Model Risk Management

Overview

In this chapter, you will be introduced to SAS Model Risk Management. Model governance and model risk management is getting increasingly demanding. The number of models is rising based on both regulatory and business demands. The amount of input data is growing and getting more complex. And on top of that, the authorities are placing stricter demands on the organizations ability to keep the overview and make fact-based decisions around the governance of models and the mitigation of model risk.

SAS Model Risk Management enables all stakeholders in the model life cycle developers, validators, internal audit, and management to get overview reports as well as detailed information in one central place. Not only does the solution ensure that the model validation team can easily provide quick replies to questions and inspections from the authorities, but it also provides business benefits through better overview and higher efficiency in the model life cycle.

With SAS Model Risk Management, there are two key focuses that drive our product. The first is delivering efficiencies and other benefits to modeling teams. We know that banks spend a tremendous amount of resources on their models. Having a solution that helps organizations work more efficiently is one of the key business drivers behind the solution. The other, of course, is reducing the risk associated with those models.