How to work in SAS Regulatory Risk Management 6.1 without frontend

[asbabasba]

Hello everyone

Greetings of the day.

A little background about the project I am working on is as follows.

I am trying to implement Credit Risk Basel III Standardized approach using SAS regulatory risk management (RRM) for a small Indian bank, dealing majorly in retail and wholesale credit and also very limited treasury products. There is no securitization, CDS, CVA or Double default framework. Expectation is to implement Basel II/III standardized approach rules aligned with Indian Regulator's expectation and generate regulatory reports.

Impediments I am facing are as follows.

1. Client is having SAS RRM 6.1. From 6.1 version onwards, there is no front end of SAS RRM.
2. Being a small bank, its business areas are limited and hence, for many DDS fields data is not available.

My question are as follows:

1. As RRM is designed for Europe (CRD IV/COREP) or US (USFINAL/Basel III/CCAR) taxonomies,can we use those taxonomies and modify them to suit Indian regulatory requirements?
2. Second question is if I directly populate RRM staging area, can RRM itself generate regulatory reports ( say for Basel III, US rules) itself without any further coding in SAS?
3. Third question is if I am for some reason not able to use RRM, what alternative SAS product can be used. Is it feasible to write all asset class category classification codes manually in enterprise miner? If feasible, what are the likely timelines to write these codes?

Looking forward to help from SAS communities members, especially if someone can share his/her experience in Indian scenarios.

Regards

[Patrick]

@asbabasba

I don't know the specifics of your situation and whether you're working for a SAS partner or as an independent contractor but your questions feel very much like you should get in contact with your local SAS office and get their support and guidance.

[asbabasba]

Hi Patrick

Thanks for reply.

We tried contacting SAS local office. Ask price for help is more then my project cost.

I am new to SAS, so wanted to understand the flow process.

Whether DDS has to be populated or not, If not, what are the mandatory fields in staging area. 

However, my main question is how do i work on Regulatory risk management piece without frontend?

Regards

[Patrick · Accepted solution]

SAS solutions are often put together using multiple SAS products (framework) and the moment when you start changing the out of the box configuration you need to understand the SAS architecture, the components and how they interact with each other. You normally do need the specific SAS solution training and senior level generic SAS skills to design the configuration changes. And you have ideally already experience in implementing the solution at another site - or access to someone who's got this experience.

From what you write you're not on this level so I can just repeat that you will need support from your local SAS office or there is a high risk of failure.

I have of course no idea if your project costing is just unrealistic or not and if you've already discussed sufficiently with SAS so they understand what level of help (with what degree of effort/cost involved) you need.

[SASKiwi]

I've worked in the Basel II / III credit risk field for a number of years using both off-the-shelf and custom-built solutions. In my experience, because regulatory requirements vary so much from country to country inevitably you are going to end up building a lot of custom code regardless of the off-the-shelf versus custom approach. It goes without saying that SAS is my tool of choice.

Personally I prefer custom-built systems rather than trying to modify existing ones for new requirements. It can take longer to modify an existing solution than to build one from scratch.

You can use Base SAS to do asset classing - EM is not necessary. The important thing is to understand your local regulatory rules, and the banking data you are working with so you can apply the rules correctly. You will find that most of your time will be spent finding, collecting and preparing the data you require. The actual calculations are simple, as Standardised Basel just involves applying risk weights to credit-rated lending.