SAS Risk Engine is an end-to-end risk calculator for a wide variety of risk applications, including market risk, credit risk, asset liability management, and risk aggregation. In this course, students learn how to evaluate portfolios and market states and run simulations by using SAS Risk Engine in examples, demonstrations, and practices. After completing this course, students will be comfortable working with risk actions.
Note: This course focuses on using SAS Risk Engine programmatically. Analysts who prefer using an interactive interface should take the Using the SAS® Risk Engine Interface course.
Learn How To
Identify caslibs to use for your input and output data.Define risk method programs that run computations for each instrument and counterparty of a given type at each market state and horizon.Use code to create risk environments, evaluate portfolios and market states, and explore risk results at any aggregation level. Perform an end-to-end risk analysis with SAS Risk Engine actions. Who Should Attend
Risk analysts responsible for creating and deploying risk models to support activities such as stress testing, credit loss reserving (including regulatory), and loan valuations and who prefer to use SAS Risk Engine programmatically
Prerequisites
This course is for modelers and risk analysts who are experienced using statistical modeling concepts and methods. Experience with programming for SAS Viya/Base SAS is helpful but not required. You can get programming exposure by attending the Programming for SAS(R) Viya(R) course and the free SAS(R) Programming I: Essentials course.
SAS Products Covered
SAS Risk Engine
Course Outline
Getting Started with SAS Risk Engine
Introduction to SAS Risk Engine.Working with SAS Risk Engine in SAS Viya.Working with Input DataAssembling your input data.Using SAS Risk Engine ActionsOverview of Risk Engine action sets. Coding Risk Engine tasks.Incorporating User-Written CodeDefining risk methods.Creating a function set.Using a parameter matrix.Working with Different LanguagesWorking with open-source languages. Transitioning from SAS Risk Dimensions.
