Company: Standard Chartered Modeling and Analytics Centre
Company background: Banking and Finance
Contact: Sayak Sarkar
Title: Associate Director
Country: India
Award Category: Innovative Problem Solver
Tell us about the business problem you were trying to solve?
Identify pockets in population, adjusting the accuracy of which helps with more accurate capital provisioning.
How did you use SAS to solve that business problem? What products did you use and how did you use them?
To solve this, we have used the PROC HPSPLIT functionality of SAS and iterated it over multiple hyperparameters and extended time periods.
What were the results or outcomes?
The output would be a list of all iterations with MAPE (Mean absolute percentage error) for different periods. The objective of the list is to enable a user to look at all possible iterations and time periods and choose an iteration that works best for a particular portfolio.
Why is this approach innovative?
In a lot of scenarios, the best statistical solution may not always be the best solution. The idea behind this approach was to allow the user with the flexibility of choice that suits the use case and reduce significant man-hours.
What advice would you give to new SAS users?
Practice writing dynamic pieces of code and functions that can be used for multiple problem statements. Also, aim for efficient codes rather than plain old deliverables.
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