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