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Company: Akbank TAŞ
Company background: Banking
Contact: Merve Işıklıoğlu Birinci
Title: Validation Manager
Country: Turkey
Award Category: Innovative Problem Solver
Tell us about the business problem you were trying to solve?
There are more than 800 models in the Bank used for different needs. All models should be gathered under one roof (one unit). Monitoring, validation and reports must be regularly monitored and inventoried. In addition, a reliable methodology and speed become important when performing all these operations. Also all outputs should be inline with audit progress. Considering all these tasks, it became clear that a solution/program was needed. Some faults in the management of all models in the bank. In the current system, when a new model was developed, it was slow to process and had difficulties in including the relevant model in the validation inventory.
How did you use SAS to solve that business problem? What products did you use and how did you use them?
At the beginning 20 models have been selected from different model families such as IFRS-9, IRB, Expert Opinion Models.. As our experience increased, we aimed to apply it in other models as well.
SAS MRM solution is used for Business needs. Addition to that SAS EG was used to write the test scripts. These scripts were moved to SAS MRM. Number of 51 scripts were developed in SAS MRM.
We created validation codes for the models and made them automatic processes in MRM. Thanks to this product, we were able to validate, analyze and report our models more effectively. We have automated the process of continuously validating and updating models.
What were the results or outcomes?
51 test scripts were developed. The most important innovative approach here was to write each test developed paremetrically. In this way, it was ensured that each test worked in any desired model. Additionally, scheduling mechanism was created in SAS MRM. With the help of this we enabled model tests to run automatically
An automated validation report was created for each model includes all test results used for the model. In this way, it was ensured that many test results, not a single test, were taken into account in validation.
A dashboard was also created for monitoring/reviewing all the results from the screen. This dashboard will be presented to top management and audit functions.
We have created a user-friendly structure where even people who are not experts in their field can easily progress their business processes. We have reduced the possibility of errors and uniformity. A major improvement has been observed in our risk assessment processes.
Decision-making processes have accelerated and become a more data-oriented standard structure.
Why is this approach innovative?
We actually consider the MRM solution, which was implemented for the first time in Turkey, as the most important innovative approach. Secondly; thanks to parametric scripts all tests can be performed with all models.
It was essential to manage the internal models of teams that were not aware of each other on a single platform. This innovative approach, unlike traditional risk management practices, offers a dynamic and constantly monitored model configuration. Advanced analytics and automatic model validation (schedule) features enable us to adapt to model changes much faster and more effectively.
What advice would you give to new SAS users?
Develop Understanding of Model Risk Management: Before using SAS MRM, one must understand the basic principles and importance of model risk management. This will help you understand how the system works and how it can create value for your bank.
Identify your needs: Clearly define your bank's risk management needs. Determine which features of SAS MRM can meet these needs.
Take an Incremental Approach: Rather than moving all your risk models to SAS MRM at once, it's important to start with a smaller, manageable set of models. This helps in understanding the system and organizing internal processes accordingly.
Benefit from Training and Support: benefit from training programs and technical support services for this product. This allows both the system to be used more effectively and your team to become competent in this regard. In the future, it will eliminate foreign dependency in defining new models/scripts within the bank's product.
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