SAS

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SAS helps organizations anticipate business opportunities, empower action and drive impact. We do this through advanced analytics that turn data about customers, performance, financials and more into meaningful information. The result? Fact-based decisions for undeniable bottom line impact – this is how we transform the way our customers do business.

Accomplishment

Design, specification, development and testing of an analysis tool based on SAS-technology for data-analysis and quality assurance of LGD-calculation.

 

Project Summary

LGD-calculation for CRE following the guidelines of the VdP (Verband deutscher Pfandbriefbanken) considering the international portfolio.

 

Tasks Nagler & Company

  • Technical and functional documentation of VdP’s LGD-method
  • Enhancement of a LGD-prototype in VBA and validation of the LGD-model
  • Implementation and testing of VdP’s LGD-model in SAS
  • Backtesting, time series-analysis and delta-analysis of the expected loss (EL)

 

Approach

By implementing a highly automated solution, the effectiveness of the CRE-validation using the VdP-approach could be increased significantly.A close contact with all business departments and the external data provider, prompt status reports and short reconcilement-cycles allowed an agile, benefit-oriented development approach.

see illustration (de)

 

Solution

  • Review of all existing processes and interfaces to design the analysis-tool
  • Detailed technical and functional documentation of the new models
  • Implementation of the SAS-tool to automate the time series-analysis and change-analysis of the new LGD-values
  • Implementation of custom and automated reports for different management levels

 

Client Benefit

The old LGD-models have been replaced providing a full audit-conform historization and increased usability and accuracy.
Using SAS-routines statistical-analyses are ad-hoc executable.

Company