SAS: References

Service

Planning, specification, implementation and testing of a SAS-based tool for data analysis and quality assurance for LGD calculation.

Project order

Calculation of LGD according to the specifications of the "Verband deutscher Pfandbriefbanken" (VdP) for the German and international Commercial Real Estate (CRE) sector.

Task Nagler & Company

• Technical and functional documentation of the LGD calculation according to the VdP method
• Further development of the LGD prototype and the functional as well as technical validation of the VdP model in VBA
• Implementation and testing of the LGD model according to the VdP approach in SAS
• Backtesting through time series analysis and variance analysis of the expected loss

Approach

A high degree of automation significantly increased the effectiveness of CRE validation in the VdP approach.

The constant exchange with the involved departments and the external data provider, timely status information and short coordination cycles made an agile, benefit-oriented development possible.

VdP analysis tool Structure

Method

• Recalculation of VdP LGD values in SAS
• Delta analysis for method control

TDA

• "Time Dependent Analysis"-Tool
• Time series analysis, backtesting and reporting

CA

• "Change Analysis"-Tool
• Analysis of significant differences (expected loss) and their causes

Solution

• Review of existing processes and interfaces for the conceptual design of the analysis tool
• Detailed technical and functional documentation of the new models
• Development of the SAS tool for the automation of the LGD analysis
• Provision of automated and specific reporting for different management levels

Customer benefits

The replacement of the old models was done with a long-term usable data history, increased user comfort and better accuracy.
In addition, SAS routines allow statistical analysis of the newly developed models at any time.

Service

Specification, implementation

Project order

• Investigation of vulnerable account areas in the retail banking business
• Design and implementation of a control process that enables Operational Risk Management to perform automated analyses

Task Nagler & Company

• Development and implementation of statistical analysis procedures
• Training of bank staff and presentation of project results at divisional manager and board level

Solution

• Development of analysis procedures with R and MySQL
• Implementation of the statistical analysis in a SAS tool
• Upload of raw data into SAS tool, regular execution of analysis by OpRisk employees

Customer benefits

• Effective monitoring of vulnerable accounts
• Effective prevention of fraud
• Bank complies with regulatory and auditor requirements, prevention of financial losses

Service

• Project management support
• Support of specification and implementation

Project order

All tax-relevant data and documents are outsourced to a SAS-based software system designed specifically for this purpose and stored there for electronic tax auditing.

Task Nagler & Company

• Support in the areas of planning, decision management and documentation
• Execution of tests (with the help of SAS EG) and test management

Solution

• Development of analysis procedures with R and MySQL
• Development of a data archive based on SAS
• Accessibility via SAS Web Report Studio for the end user

Customer benefits

• Central collection point for all tax-relevant data of the bank
• Access or authorization of the tax auditor only necessary to one system

Service

Support of test cycles in the data warehouse

Project order

• Ensuring the neutralization of the data to be provided as far as possible under the new connection of a credit system for various customer systems
• Validation of the test deliveries (technical and functional)

Task Nagler & Company

• Monitoring of the tests and analysis of the test results
• Tasks in the overall test and defect management

Solution

Using existing SAS technology, development of scripts for test support (production vs. test reconciliations). Execution of tests and data analysis using SAS 9.1

Customer Benefits

• Efficient testing of test deliveries through plausibility routines, creation of repeatable deviation analyses
• Reduction of test effort & efficient allocation of resources

Service

Validation of the rating models (SAS), specification of the new rating tool, data preparation and data migration (SAS)

Project order

The PD rating tool with internal models and historical credit data of the bank will be migrated to a new platform. Historical data will be cleansed and standardized in SAS. Models are validated with SAS and adapted to new requirements

Task Nagler & Company

• Creation of raw data sets for validation and migration
• Specification of the rating tool
• Test management
• Coordination of implementation and project management

Solution

• Use of SAS for data normalization
• SAS projects for automation of data preparation
• Documentation of migration processes
• Calculation of ratings in SAS as benchmark for the rating tool

Customer benefit

Replacement of the old rating tool with long-term usable data history, increased user comfort, increased data security and extended analysis options

Service

• Reconstruction of data processing and test support
• Clarification of technical interrelationships

Project order

• Connection of the credit risk and engagement platform to a new data warehouse
• Cleanup of the data model and conversion of all processing to the new interface

Task Nagler & Company

• Deviation analyses
• Provision of synthetic test data
• Test support

Solution

SAS projects to automate test processes and create synthetic test data

Customer benefits

• Connection of the system to a central data warehouse
• Consolidation of the data repository
• Ensuring traceable data lineage