In this hands-on course, risk modelers learn how to manage models and related risk objects. Updates to SAS code models and modeling systems used in the monthly production cycle are demonstrated and practiced. Related model risk objects such as risk scenarios and attribution templates are introduced and modified. Students will become comfortable working in SAS Risk Stratum work spaces that are used for updates and changes to statistical models.
The self-study e-learning includes:
- Annotatable course notes in PDF format.
- Virtual lab time to practice.
Learn How To
Create new model objects and register them for use in SAS Risk Stratum. Work with sample credit risk models. Update modeling systems in SAS Model Implementation Platform. Work with SAS code and other code models, including Python, R, and Lua. Create and use model parameters to provide additional processing instructions. Add pre- and post-run processing to a credit risk model run. Submit and analyze model run results. Prepare master risk scenarios and include them in a credit risk model analysis run. Create and modify attribution templates and then run an attribution analysis and interpret results.
Who Should Attend
Risk modelers who are responsible for modeling activities that calculate expected credit loss using SAS Risk Stratum
Prerequisites
This course is for experienced modelers and analysts who have expertise using statistical modeling concepts and methods. Experience with SAS programming language is helpful but not required.
SAS Products Covered
SAS Expected Credit Loss
Course Outline
Getting Started with SAS Risk Stratum
Course overview. Introduction to SAS Risk Stratum. Working with Risk Models in Risk StratumRisk models overview. Working with sample credit risk models. Working with modeling systems. Working with SAS code and other code models, including Python, R, and Lua. Using model parameters. Adding pre- and post-run processing.Interpreting Credit Risk Analysis Run ResultsLocating analysis run results. Using the management summary report. Using High-Performance Risk Explorer.Configuring Master Risk ScenariosConfiguring and applying master risk scenarios.Working with Attribution AnalysisConfiguring attribution templates.Reviewing attribution analysis results.
